Futures Settlement Prices -way out of wack again!!

Discussion in 'Index Futures' started by lynx2004, Jan 31, 2006.

  1. I see they settled March ER2 @ 736.70 !!
    and ES @ 1283.60

    ..way higher settle for the ER2 than where they were trading between 4:00-4:15pm

    Looks to me like a screwy system of settling month-end

    Who is making money on these out of wack settles??

    I'm po'd that my shorts settled against me by a big margin. Tempted to close out after-market (now @ 5:01pm) but ER2 volume sucks now.

    Anyone else there have a solution or want to commiserate w/ me?

  2. tomcole


    Just because you choose to trade and not be involved in settlement committes or other exchange related functions and feel left out when something doesnt suit you, why should anyone commisserate with you?

    Just because others work harder than you and are more involved than you, you want sympathy?
  3. yeah right, settlement committees "work hard" to make sure the settlements are favorable to THEIR positions (and not that the settlements are a fair representation of the market at the close.) I have seen most of these "wachy" settles in ER2 happen at month-end. In my past, I have succeeded in changing stettles (@ Nymex, not equities) but haven't really spent any time finding out how to get more involved in the settlement process in the equity index futures.

    You seem to imply that (besides working hard) you also are involved in the settlement process in the index futures markets-- is that correct? I'd like to know how an independent trader can join the settlement committee?
  4. You've observed this happen many times? Use an MOC or "buzzer shot" order next month in order to short-sell the closing price spike.
  5. tomcole


    I'm not involved, but why dont you go buy or lease a seat and all those possibilities open up for you.

    Just because others work harder than you, stay longer than you and then get the results they want, maybe its you not them thats at fault.
  6. this won't work because on the close, the market doesn't trade where they settle it -- for example today
    ER2 last trade was 730.50 but the settle is 736.70
    ES last trade was 1279 but the settle is 1283.60

    I won't have much of an issue if the price they settle on was a tradable (MOC or "buzzer shot" as you suggest) but it isn't.

    I think it is the methodology for month-end settlement which I think is based on where the index settles and not where the futures price is (doesn't make sense to me why a market is not looking at its own price for settlement).

    Even the relative value between ER2 and ES has been settled out of wack (ER2 much higher settlement compared to ES).
  7. c'mon you can't be serious...

    lease a seat to join the settlement committee!

    (or are you one of those who takes it in silently as it is delivered?)
  8. futures theoretically converge to spot at settlement. if the contract represents the value of the underlying, then in the last moments up to settlement, it shouldn't hypothetically be worth more or less than the underlying or it would resemble an arb. as for the remaining 3 point diff, not sure
  9. tomcole


    Maybe you should read the exchange rules beofee you start posting.
  10. Actually, futures theoretically converge to spot when the future goes off the board....until then they can differ and they most certainly do.

    The issue is not that. The issue is that the settles are not where the market was trading at the end of the day or the close .
    #10     Jan 31, 2006