ES Journal Archive (2009 - 2010)
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WTF ? Settlement price 984.50 ?????? 
Month-End Fair Value Procedures
Understanding the End of Month Fair Value Settlements
Special Fair Value (FV) stock index settlement procedures are applied on a monthly basis. Specifically, domestic stock index futures and options contracts are settled to an adjusted price per Rule 813.D that reflects their "fair value,â i.e., by reference to the closing cash index value plus finance charges less anticipated dividends.
Please note that spot index values utilized to calculate fair values are sampled at 3:15 p.m., ChicagoTime (CT). This minimizes the extent to which post-close fluctuations of stock prices may cause the sampled spot index value to depart from the final spot index value of the day. As a result, final settlements become available shortly after 3:15 p.m. CT.
Trading in stock index products closes at 3:15 p.m. CT the last business day of the month â consistent with practices applied on normal trading days.
The following questions and answers relate to the Fair Value settlement process:
1 How are settlement prices determined on the last business day of each month?
2 How will settlements be determined if the cash index value is unavailable at 3:15 p.m (Chicago time)?
3 What products are affected by this procedure?
4 What is meant by the term "fair value?"
5 Why has this procedure been implemented?
6 What are the trading hours on days when FV settlement procedures are applied?
7 How will options be settled on days when FV settlement procedures are applied?
8 How will Market-on-Close (MOC) orders be handled on days when FV settlement procedures are applied?
9 How will the post-close session be conducted on days when FV settlement procedures are applied?
Q1 How are settlement prices determined on the last business day of each month?
A1 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 will be made available shortly thereafter. As is the practice with other Exchange products, fair values will be determined through a survey of market participants.
That survey will be conducted by Exchange staff. Settlement prices will be made available shortly after sampling the 3:15 p.m. (Chicago time) cash index values. CME Group® stock index futures and options will close at 3:15 p.m. (Chicago time) on the last business day of each month when FV settlement procedures are employed. This is fifteen (15) minutes past the normal cash equity market close at 3:00 p.m. (Chicago time).
Regular settlement procedures will be observed on all other trading days apart from the last business day of each month.
Month-End Fair Value Procedures
Understanding the End of Month Fair Value Settlements
Special Fair Value (FV) stock index settlement procedures are applied on a monthly basis. Specifically, domestic stock index futures and options contracts are settled to an adjusted price per Rule 813.D that reflects their "fair value,â i.e., by reference to the closing cash index value plus finance charges less anticipated dividends.
Please note that spot index values utilized to calculate fair values are sampled at 3:15 p.m., ChicagoTime (CT). This minimizes the extent to which post-close fluctuations of stock prices may cause the sampled spot index value to depart from the final spot index value of the day. As a result, final settlements become available shortly after 3:15 p.m. CT.
Trading in stock index products closes at 3:15 p.m. CT the last business day of the month â consistent with practices applied on normal trading days.
The following questions and answers relate to the Fair Value settlement process:
1 How are settlement prices determined on the last business day of each month?
2 How will settlements be determined if the cash index value is unavailable at 3:15 p.m (Chicago time)?
3 What products are affected by this procedure?
4 What is meant by the term "fair value?"
5 Why has this procedure been implemented?
6 What are the trading hours on days when FV settlement procedures are applied?
7 How will options be settled on days when FV settlement procedures are applied?
8 How will Market-on-Close (MOC) orders be handled on days when FV settlement procedures are applied?
9 How will the post-close session be conducted on days when FV settlement procedures are applied?
Q1 How are settlement prices determined on the last business day of each month?
A1 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 will be made available shortly thereafter. As is the practice with other Exchange products, fair values will be determined through a survey of market participants.
That survey will be conducted by Exchange staff. Settlement prices will be made available shortly after sampling the 3:15 p.m. (Chicago time) cash index values. CME Group® stock index futures and options will close at 3:15 p.m. (Chicago time) on the last business day of each month when FV settlement procedures are employed. This is fifteen (15) minutes past the normal cash equity market close at 3:00 p.m. (Chicago time).
Regular settlement procedures will be observed on all other trading days apart from the last business day of each month.
Yep, forgot about it.
http://online.wsj.com/mdc/public/page/2_3022-mflppg-moneyflow.html?mod=mdc_leader wonder how many of these blocks went off at the close
What's up with the 10 point moves ?
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