I noticed that intraday charts on any futures product have a "last trade" price at the close that is different from what ends up being the settlement price shown on a daily chart. Does anyone know how the exchange calculates or comes up with this settlement price? Thanks in advance.
Read the official documentation made available by the exchange for every particular market. Here's an example: http://www.cmegroup.com/trading/equ...xP_500_Futures_Daily_Settlement_Procedure.pdf