E-mini S&P 500 settlement on 30Nov - is it wrong?

[alex314159]

Hello,

confused about something. The settlement price on 30Nov for the Dec contract is 2648. Yet as per: https://www.cmegroup.com/confluence/display/EPICSANDBOX/Standard+and+Poors+500+Futures
the settlement price is the VWAP of trades done between 3.14.30 and 3.15.00pm CET. If I plot the intraday chart, in the time the futures were trading closer to 2641, a full 7pts below (the spike seems to have happened 5 minutes before). What happened?

Thanks for your help,

 

[truetype]

End of month settles are based on "trading activity in the respective contracts between 2:59:30 p.m. and 3:00:00 p.m. CT."

 

[FSU]

The futures are marked where they "should be" based on the closing index price of the SPX. SPX options are also remarked based on this figure as well. Basically as @truetype mentioned, trades after 3pm ct are thrown out, where normally they are marked based on their last trades at 3:15.

 

[Overnight]

The futures are marked where they "should be" based on the closing index price of the SPX...

According to the end-of-month procedure, it's the mini that determines the fixing price of the daddy contract, not other way around. Interesting.

For products that have both a standard-size and E-mini futures contract, the E-mini futures contract will determine the fixing price for both products.

 

[alex314159]

Thank you all - I didn't realise end of month settled 15 minutes early!

 

[tommcginnis]

Thank you all - I didn't realise end of month settled 15 minutes early!

4pm is the rule, not the exception.

 

[Buy1Sell2]

Nobody cares

Any claim of a trade made after the fact is just a fanciful story. There is no reason to call a trade after the fact other than braggadocio of something that didn't occur. After the fact trades are dismissed as being unreal.

 

[tommcginnis]

Any claim of a trade made after the fact is just a fanciful story. There is no reason to call a trade after the fact other than braggadocio of something that didn't occur. After the fact trades are dismissed as being unreal.

 

[Scataphagos]

4pm is the rule, not the exception.

15 minutes early? I'd always thought the futures settled at the EOM closing cash price. ??

 

[tommcginnis]

15 minutes early? I'd always thought the futures settled at the EOM closing cash price. ??

I no longer keep track of ES, but 4:15 would be an exception -- aren't there still American-settled, too? Artifacts of construction. "Know your underlying!" And don't try to memorize it, cuz just when you do, they'll change it on you.