At the opening I pay attention to the morninggaps in the eminis for gapplays. Which closing time should I look at for determining the gaps, 16:00 when the cash markets close, or 16:15 when the futures close? TIA, Bachelier
Pay attention to 16:15 as that is the last price tick that is applicable to the minis. There is a settlement price which is usually slightly different from the last tick. The settlement price is actually the official "close" for the day. I believe the settlement price is calculated as an average of the final 30 seconds of trading's range.
Check the Eminis all night if you want, but close to opening they are pretty accurate to where the Index will be at arround 9:35 am. JJ