Closing Price Adjustments

Discussion in 'Index Futures' started by BBSLamer, Sep 1, 2020.

  1. BBSLamer


    At 4pm, the S&P, Nasdaq, Dow, Russell etc all have a price they "close" at. Sometimes this price is adjusted (usually by a few cents if at all). Anybody know what causes this adjustment? Is there a certain time this adjustment usually takes place? Is there a reliable source for the official closing print?

    murray t turtle likes this.
  2. Overnight


    Well, this is the futures section, so not sure why you posting it here, because futures do not close at 4PM ET. If you mean why the stock indices always seem to have a bit of overflow a few seconds past 16:00:00 hours ET? Dunno'. Ask in the stocks section. :)
  3. d08


    @Overnight is right in that this doesn't apply to futures.
    Closing auctions aren't guaranteed to execute at 16:00 exactly. So first what you're seeing is the regular tape close (last trade at 15:59:59.999?) and when the auction finishes later, it's updated because the closing auction is much more significant than the last one lot trade.
    murray t turtle likes this.
  4. BBSLamer


    Thank you both for the replies, and apologies for asking it in the wrong section. If I could move the thread I would. Since the damage is already done, I'd like to ask a follow-up, if I may..

    How late can the regular tape close? Is it always in the last 5 minutes or so? Or can it be much later during certain circumstances. Thank you
  5. jharmon


    Typically any stock trade reported to the tape can be busted/corrected up to 8pm.

    But flash crash bust events can last longer.
  6. Of course, all this assuming you are not actually asking about corporate actions price adjustments. Obvious but you really never know, after all we are in the futures section talking about stocks.
  7. d08


    Closing auction can be 15 minutes after the close at extreme cases. Regular tape would simply be the last trade at regular hours.
  8. jharmon


    Closing auction on the listed exchange is regular tape.

    Extreme cases are flash crashes with reports up to 8pm.

    According to CTA rules, closing auction is the primary source for closing price.

    We're talking stocks here.

    The futures rules are irrelevant apart from determining fair value and final settlement price. Futures are not adjusted for corporate actions - but stock indexes are.
  9. Just for completeness, sometimes corporations actions (splits, dividends) can also cause the prices and volumes to change/adjust after market close. The "adjusted and unadjusted historical prices" section of this article illustrates this point.
    Last edited by a moderator: Oct 16, 2020