why are stock index fut settlement off EOM ?

Discussion in 'Index Futures' started by SethArb, Mar 2, 2003.

  1. if you look at the number monday am

    because it was the end of the month

    the CME exhchange sometimes settles them
    a few handles from where they traded last on the
    end of the month day ( in this case it was friday)

    last trades in SP500 friday were 844 CME settled the contract at approx 841
    last trades in nas100 friday were 1014 CME settled the contract at approx 1010.50

    I would love an explanation as to what is going on when they do this ...
     
  2. NAZDAWG

    NAZDAWG

    I believe that the finial settlement prices are determined by the clearinghouse and not the exchange. They have a formula and I will try to look it up for you.
     
  3. acrary

    acrary

    "How are settlement prices be determined on the last business day of each month?

    Settlement prices for domestic stock index futures and options are determined on the basis of their fair value, i.e., by reference to the closing cash index value plus finance charges less anticipated dividends. Because the final cash index value may not be known for several minutes past the cash close, the cash index component of the calculation will be surveyed at 3:15 p.m. (Chicago time) and settlements shall be made available shortly thereafter. As is the practice with other Exchange products, fair values will be determined through a survey of market participants. "

    http://www.cme.com/products/index/products_index_fairvalue_faq.cfm#q1