I have some open positions in ESH10 & NQH10. I was looking at the open positions list in the email IB sent the night of 12/31, and the closing prices are as follows: ESH0 close: 1,110.7 NQH0 close: 1,858.75 What prices are these? As far as I can see, ESH0 & NQH0 closed at 1,113.25 & 1,867.00 respectively. Why are they off so much? Also, how can ESH0 even have a price of 1,110.7? They move at .25 increments Edit: Ok. These are "settlement prices". Actually the ESH0 should be 1,110.75 (per CME), but okay. Someone kindly explain why "settlement prices" are so much off from "closing prices"? Thanks! Edit2: http://www.cmegroup.com/market-data/files/CME_Group_Settlement_Procedures.pdf wtf? I can't trade at settlement prices; why mark me to it?
Month end fair value settlement prices are independent of where the index futures traded at the close. "Month-End Fair Value Procedures Understanding the End of Month Fair Value Settlements Special Fair Value (FV) stock index settlement procedures are applied on a monthly basis. Specifically, domestic stock index futures and options contracts are settled to an adjusted price per Rule 813.D that reflects their "fair value,â i.e., by reference to the closing cash index value plus finance charges less anticipated dividends. Please note that spot index values utilized to calculate fair values are sampled at 3:15 p.m., ChicagoTime (CT). This minimizes the extent to which post-close fluctuations of stock prices may cause the sampled spot index value to depart from the final spot index value of the day. As a result, final settlements become available shortly after 3:15 p.m. CT. Trading in stock index products closes at 3:15 p.m. CT the last business day of the month â consistent with practices applied on normal trading days." http://www.cmegroup.com/trading/equity-index/fairvaluefaq.html
I am sure this is going on since time immemorial, but it never mattered to me. Since 12/31 is end of year, it matters in yearly P&L calculations. Also, as you can see, prices are an order of magnitude off
It's end of month, not just end of year. It has no economic meaning except insofar as it pushes a little bit of tax liability forward or back a year. The market, all else equal, will open at its true, 4:15pm, value the next day. When someone seeking an investment from me gets foamed up about mark-to-market or margin issues, it's a red flag in my mind. Traders should focus on trading, not accounting, and especially not on how "they" are "out to get me."
I know. I am not. No one is out to get me. I do run money for others, and I treat them with utmost respect, transparency and as true partners. I need to explain what is what. Since you have added nothing of value so far, I suggest you resume your thread crapping elsewhere.