Hello, confused about something. The settlement price on 30Nov for the Dec contract is 2648. Yet as per: https://www.cmegroup.com/confluence/display/EPICSANDBOX/Standard+and+Poors+500+Futures the settlement price is the VWAP of trades done between 3.14.30 and 3.15.00pm CET. If I plot the intraday chart, in the time the futures were trading closer to 2641, a full 7pts below (the spike seems to have happened 5 minutes before). What happened? Thanks for your help,
End of month settles are based on "trading activity in the respective contracts between 2:59:30 p.m. and 3:00:00 p.m. CT."
The futures are marked where they "should be" based on the closing index price of the SPX. SPX options are also remarked based on this figure as well. Basically as @truetype mentioned, trades after 3pm ct are thrown out, where normally they are marked based on their last trades at 3:15.
According to the end-of-month procedure, it's the mini that determines the fixing price of the daddy contract, not other way around. Interesting. For products that have both a standard-size and E-mini futures contract, the E-mini futures contract will determine the fixing price for both products.
Any claim of a trade made after the fact is just a fanciful story. There is no reason to call a trade after the fact other than braggadocio of something that didn't occur. After the fact trades are dismissed as being unreal.
I no longer keep track of ES, but 4:15 would be an exception -- aren't there still American-settled, too? Artifacts of construction. "Know your underlying!" And don't try to memorize it, cuz just when you do, they'll change it on you.