If I look at a chart of ER2 trading for yesterday, it looks like the March 08 contract was trading in a down slope for the last hour of the session, and should have closed around the 766 area. Yet the reported close was around 772, which is quite a difference. What am I missing here?
I didn't think there was an after-hours yesterday, was there? (maybe that's what I'm missing!) Or are you talking about the 4:00 to 4:15 pm period? Anyhow, 772 was what was reported by both my broker (OX) and data source (Pinnacle). But 767 sounds more like it to me.
On the last trading day of each quarter (in fact it might be each month) the CME settles Index futures at fair value to cash, irregardless of what price those contracts traded after 3:00pm Chicago.
Thanks to Pabst Prime's information, I was able to locate the following FAQ on this subject: http://www.cme.com/trading/prd/equity/fairvaluefaq.html I think this fair-value settlement process is the reason for the effect I noticed. Now that I know it happens every month, I'll be on the lookout for it. Thanks to Pabst for the info.