Settlement prices for ES & ER2

Discussion in 'Index Futures' started by FCostella, Sep 21, 2008.

  1. Sep08 ES high on 9/19 is 1263. So how the f*** does it settle at 1279.31?? 16.31 pts higher than the high of the day!

    <pre>cme e-mini s&p 500 futures
    settlement prices as of 09/19/08 07:00 pm (cst)
    MTH/ ---- DAILY --- PT EST ---- PRIOR DAY ----
    SEP08 1201.00 1263.00 1197.25 1263.00 127931 UNCH 133K 1198.25 913547 1144K</pre>
  2. Same for Sep08 ER2. Settlement was 771.41, over 1% higher than the high of the day! Talk about manipulation. Thanks, Paulson.
  3. sweet if you were a seller at that price.

    teach ya to be short.
  4. I am (and was) short as a midget in the NBA All-Star Game. Why the frig do you think I was bitchin about the settlement spike ala Paulson and crew?
  5. If you took a second to understand how SET is calculated it would make perfect sense.
  6. JackR


    Quarterly settlement of S&P 500, E-mini S&P 500, ....... is based on a Special Opening Quotation of the relevant underlying index.

    The Special Opening Quotation for each index is based on the opening price of each component stock in that index on expiration Friday.

  7. Which closing ES option prices are based on, I presume.

    How are closing options priced on non-quarterly futures expiration months (Jan, Feb, Apr, May, July, Aug, Oct, Nov) - closing price of underlying future on Expiration Friday? That's a little queer, closing option prices based on expiration Friday's opening price 4 months a year and the closing price the other 8 months of the year. Do I have this right?
  8. 1263.00 was overnight lock limit up for ESU8 and ESU8 stopped trading exactly at 09:30 EDT. ESZ8 had a high of 1291.25, so if ESU8 traded past 09:30 it would have had a high price around 1288.00.

    If you look back at the history of index futures settlement prices you will see a number of settlement prices are either above the cash index high of the day or below the cash index low of the day. The problem with the settlement price using the open for each stock is that every stock doesn't open at exactly 09:30.
  9. Why don't you read the ES options contract specification?

    Quarterly options: Settled into the expiring cash-settled futures contract.

    Serial options: Settled into the nearest futures contract.
  10. Well, I have read the CME website info and I cannot find where it differentiates the option settlement prices other than quarterlies.

    "Last Day of Trading Rule The business day of determination of the Final Settlement Price (normally, the 3rd Friday of the contract month)."

    So is what I posted above accurate regarding quarterly and serial expirations?
    #10     Sep 21, 2008