What happens to live contracts at rollver??

Discussion in 'Index Futures' started by kakakidan, Sep 22, 2007.

  1. kakakidan


    The 09-07 DAX closed on Friday. I was trading live when it closed and was not able to get out in time.
    I was short at 7763 and 09-07 closed at 7750. Since I did not close my trade, I called the provider and they closed it manually at 7766.
    When I got my statement, it shows that it was closed at 7831 which is where 12-07 was.
    Now that is a big difference as compared to where 09-07 closed or where the trade was manually closed.
    Any ideas?? I can talk to the provider only on Monday, so wanted to know if someone else came across something like this.
    Take care.
  2. BKuerbs


    I guess by now you know what happened.

    FDAX trading stops at 13:00 CET. When you called your broker after this time, he was not able to close your position.

    FDAX is cash settled and the settlement price is based on the prices of the DAX-Index components in the 13:00 XETRA-auction.

    On Friday, 21st September, FDAX closed at 7750,00 but settlement price is 7831.79.


    Bernd Kuerbs
  3. chicago5


    To be precise, an average of the last 10 transactions before settlement is used to find the settlement price.

  4. What happened?

    I naively assumed cash settlement meant just that - you settle at cash and not the 3 months futures price.

    Given the information presented in this confusing thread, I still don't know if you were closed with a loss, still short (rolled over) or closed with profit.

  5. kakakidan


    closed at 7831 with loss for 2 contracts.
  6. Mate its a lesson for you avoid trading contracts that close to expiry. I had a hedge fund client who forgot to roll his some oil futures (they didnt clear our firm) and ended up having it delivered gold as well I think. It can be very expensive when this happens.
  7. FGBS


    You learned the hard way but trading without knowing the exchange rules is really risky. Here are the sttlement rules for the eurex futures.
    Expirations sometimes get blown up completely. If someone is long a huge amount of futures it is beneficial for them to buy up the underlying stocks and the index in the auction so that their futures settle at the higher price... basic decision between cost and benefit and trying to stay under the radar of market supervision.
    This expiration stocks got bought up like crazy (some 1 % higher in the mid-day auction), so it seems someone needed the higher print.

    Final Settlement Price
    The Final Settlement Price is established by Eurex on the Final Settlement Day according to the following rules:

    Contract Final Settlement Price
    DJ EURO STOXX 50® Index Futures: Index values calculated between 11:50 and 12:00 CET.

    DAX® Futures: Futures Value of the index, based on Xetra® auction prices of the respective index component shares. The intraday auction starts at 13:00 CET (for MDAX® shares at 13:05 CET).

    SMI® Futures: Value of the SMI® respectively SMIM®, based on virt-x respectively SWX Swiss Exchange opening prices of the respective index component shares.

    OMXH25 Futures Value of the index, based on Helsinki Stock Exchange weighted average prices of the OMXH25 component shares from 08:40 until 17:30 CET.

    RDXxt® USD - RDX Extended Index Futures Value of the index, based on the basis on the closing prices determined at London Stock Exchange (international order book) for the components of the RDXxt® USD - RDX Extended Index.
  8. I don't understand this. Would someone be kind enough to explain how this works in a bit more detail.

    This is what I understand so far: settlement of the Sep contract was done at the Dec Futures price, not the cash index value.

    (So why not simply go long Sep the morning of expiry and take the full 3 months premium?)
  9. FGBS


    Settlement of the September future was done at the cashi Index price at the close of the 13:00 auction... This might have been very similar to the DEC future price.
    So at 13:00 all stocks in the DAX Index go into auction and the opening price of the auction is the price at which the DAX future settles.
    Like I mentioned above there was a HUGE buyer in the auction and so the DAX Index spiked up almost 1% if I remember correctly. At the end of the 13:00 auction Dec future was at 7880+...
    Hope this answers your question.
  10. Yes, thanks.
    #10     Sep 25, 2007