First off it makes no difference as to where the market will "trade" the next day. EOM sett is merely the cash close plus fair value. If not for GOOG the futures close would probably have been right around parity anyway.
maybe tomcole should stop being such an asshole. clearly there was something bogus going on with the closing price today. i have no position so it doesnt affect me financially but it bothers me that this happened just for the sake of fairness. overall its no big deal though as its not expiration today.
You and Pabst are both right. It just ties up capital more than it should (minor but still a financial loss) and also matters as to the acct return% for today and for the month as being incorrect compared to what it really was. This affects my volatility of returns also negatively. That is my main complaint as I manage OPM as well. Thanks, yes I'm glad it's not expiration.
I had to put this together for a similar discussion at the quarter end expiration for some other folks who didn't understand the various settlements. Mainly I was focused on qtr end but after seeing this thread I added the first couple of sections to include daily settlements as well as settlement procedure in general. Included a press release from 2001 which happens to be the last time the settlement rules were changed for the most part. Most of the rules regarding settlement on cme products have been the same for a very long time. There are other rules that If I have time I will include also that govern when and if an inaccurate settlement quote is offered by the clearing house. This isn't everything on the subject but covers most of it. I have read the cmerulebook cover to cover. Something anyone who trades other people's money should do as I do trade OPM. If I don't understand clearly what risk I putting my clients money into then I don't trade the instrument until I do. From the school of hard knocks. fwiw Good luck and good trading. Bsulli
Bsulli, Thanks for the post. I saw no shenanigans with the settlement. Every month - end is the same process and the prices are closely tied to the 4pm actual underlying close. The main reason the futures were down was GOOG, which isn't in the S&P index. There were certainly sympathy moves in other underlyings, but those were after 4pm. I believe the CME has revised the month end settlement at least once since that publication. This was due primarily to manipulation of the futures from 4 - 4:15 (by guys like Lynx I guess) who wanted to paint the tape. The same thing happens with SOQs on quarterly settlements. Settlements may be outside the range where the index traded for the entire morning. It's easier to post a thread on ET than to read the rulebook.