E-mini S&P 500 settlement on 30Nov - is it wrong?

Discussion in 'Index Futures' started by alex314159, Dec 1, 2017.

  1. 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,
     
  2. truetype

    truetype

  3. FSU

    FSU

    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.
     
    alex314159 likes this.
  4. Overnight

    Overnight

    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.
     
  5. Thank you all - I didn't realise end of month settled 15 minutes early!
     
  6. 4pm is the rule, not the exception.
     
  7. Buy1Sell2

    Buy1Sell2

    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.
     

  8. :wtf:
     
  9. 15 minutes early? I'd always thought the futures settled at the EOM closing cash price. ??
     
  10. 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.
     
    #10     Dec 5, 2017