ICE futures.. settlement vs close?

H

heech

Hi,

Can someone give a newbie some quick insight into a column in this table:

https://www.theice.com/marketdata/r...portId=13&productId=1234&hubId=727&isOption=y

(That should be CC end of day, but I assume all of the futures have similar columns.)

What's the difference between "close" and "settlement"? Today, SEP07 futures "closed" at 2700, while they settled at 2757.

I dug around, and I'm getting the feeling that settlement is the number used for margin calculation... to prevent last minute surges/declines in price (with close = last trade of the day) from affecting people with tight margins? Is that the idea?
 
Someone else might be able to give more insight, but I think you're right that the settlement price isn't just the price of the last tick because that is too easy to influence. If I remember correctly, for the NYMEX energy contracts, the closing period is the last 2 minutes of pit RTH, and the settlement price is the VWAP of that period. A quick search for the procedure for ICE turned up this, and it sounds about the same:

https://www.theice.com/publicdocs/f...endmentstoRule428-FuturesSettlementPrices.pdf

If there's another reason for the procedure besides trying to dissuade people from manipulating the close, I'd be curious to learn about it as well.
 
What do they use to establish if an option is in or out of the money on the last day of trading? Settlement or close?
 
I found it:

"Rule 11.30. Automatic Exercise Levels for Sugar Options
After the close on the Last Trading Day in the Sugar Options Contract, the Clearing
Organization will automatically exercise any open long Option that has a Strike Price below (in
the case of a Call Option) or above (in the case of a Put Option) the Settlement Price of the
Underlying Futures Contract on that day by an amount which equals or exceeds the minimum
price increment permitted under the Rules for the Underlying Futures Contract, unless, before
5:00 p.m. on the Last Trading Day, the Clearing Member carrying such Option gives the Clearing
Organization written instructions that any such Option is to expire unexercised."
 
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