How is Coffee's settle price determined?

Discussion in 'Ag Futures' started by mizhael, Jul 1, 2010.

  1. Today's Coffee Sept contract,
    why the settle is at that price?
    I just don't get it...
    Anybody help me?
    Thank you!
     
  2. TraDaToR

    TraDaToR

    During the settlement window, price oscillated between 16890 and 16700( if I'm right ), but most volume was done near the high so I didn't make the calc but 16825 seems a reasonable volume weighted average.

    ?
     
  3. But all the prices during that last 2-min time window were below 16825,

    I did not see any prices that are around 16890 on Bloomberg trade recap...

    KCU0 Comdty QRM
     
  4. Blotto

    Blotto

    Certain large interests influence the settlement price by transacting a high volume of contracts during the last minutes of trading to influence the VWAP calculation used by the exchange.

    From time to time a hapless broker is caught doing this and banned, however the large interests are not named, punished, or otherwise deterred from this "illegal" market manipulation.

    Large interests may also collude to fix the settlement prices.

    The regulators are toothless and the real traders understand why and how this so called manipulation takes place.

    Exhibit A: http://www.fsa.gov.uk/pubs/final/andrew_kerr.pdf


    The mechanism for determining the settlement price can be discovered by reference to the exchange rules.
     
  5. TraDaToR

    TraDaToR

    I rechecked : 13h28-13H30 ET or 12H28-12H30 CT : High : 16890
    Low: 16700

    ????
     
  6. Interesting.
    Why is sending a large volume during settle time window a "manipulation" of the market?
     
  7. You are right. I got it wrong. Thank you!