ES March settlement price is 1893.30. http://www.cmegroup.com/CmeWeb/html.wrap/wrappedpages/clearing/contracts/CurrentCashSettles.htm?h=2 http://www.cmegroup.com/wrappedpages/clearing/contracts/201403exp.htm But sp 500 spot open is 1874.53 (1893.3-1874.53=~20)and high is 1883.97(1893.3-1883.97=~10) Additional info(pay attention the chart): http://www.cmegroup.com/education/files/understanding-the-soq.pdf 1) I am curious where I can find the "the actual opening values for each of the component equities" so that we can examine the difference. Anyone know where to find these info? 2) The highest difference between SOQ and spot open is 66 points (9/19/2008)! I may stop to trade future and future option on that day and week! any thought? suggestions? ideas?
http://www.cmegroup.com/education/files/understanding-the-soq.pdf If you still think it is wrong you have a lot of calculating to do... Edit: You can use the open in yahoo finance for each individual stock as that does not include pre-open trades in the event there were any. 2nd Edit: You just need to roll you position to the next contract a few days before expiration. 3rd Edit: http://www.cmegroup.com/education/files/Pace-of-the-Roll-Monitor-032912.pdf