Settlement of Russell March Mini??

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NYSEtrader123

Does anyone know how the settlement works on todays 1:00 settlement of the March Russell Mini contract. My broker was down and i couldn't roll my last 10 short march contracts so i got stuck with them. They are telling me that the settlement is at 1:00, but have not been able to get an answer as to if they take the 8:30 price or the 1:00 price or something in between. Now its dropping hard here so if they go with the 8:30 price i will get screwed big time.

Please let me know if you are familiar with the settlement process.

Thanks.
 
I don't think they use either. I think you just have to wait and see what they calculate. Here is what I found:

(e) Russell Index Monthly Fair Value Calculation: On the last
trading day of every calendar month, the Exchange shall survey market
participants and review financial news media as to the fair value of the
Russell 1000 Index, the Russell 1000 Mini Index, Russell 2000 Index
and the Russell 2000 Mini Index Futures Contracts listed for trading at
the Exchange and using the surveys and the financial news media
information, determine the fair value of the Russell 1000 Index, the
Russell 1000 Mini Index, Russell 2000 Index and the Russell 2000 Mini
Index Futures Contracts and the price so determined shall be the
Settlement Price on each such day.

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

I think i'm going to get screwed on this portion on my short position. Looking at an over $10k loss on the difference at this point.

Quote from olias:

I don't think they use either. I think you just have to wait and see what they calculate. Here is what I found:

(e) Russell Index Monthly Fair Value Calculation: On the last
trading day of every calendar month, the Exchange shall survey market
participants and review financial news media as to the fair value of the
Russell 1000 Index, the Russell 1000 Mini Index, Russell 2000 Index
and the Russell 2000 Mini Index Futures Contracts listed for trading at
the Exchange and using the surveys and the financial news media
information, determine the fair value of the Russell 1000 Index, the
Russell 1000 Mini Index, Russell 2000 Index and the Russell 2000 Mini
Index Futures Contracts and the price so determined shall be the
Settlement Price on each such day.

https://www.theice.com/publicdocs/f...endmentstoRule428-FuturesSettlementPrices.pdf
More...
 
Quote from NYSEtrader123:

Does anyone know how the settlement works on todays 1:00 settlement of the March Russell Mini contract. My broker was down and i couldn't roll my last 10 short march contracts so i got stuck with them. They are telling me that the settlement is at 1:00, but have not been able to get an answer as to if they take the 8:30 price or the 1:00 price or something in between. Now its dropping hard here so if they go with the 8:30 price i will get screwed big time.

Please let me know if you are familiar with the settlement process.

Thanks.
More...

Final settlement is going to be high - somewhere close to 684-685.
 
Quote from NYSEtrader123:

Thanks Olias.

I think i'm going to get screwed on this portion on my short position. Looking at an over $10k loss on the difference at this point.
More...

Yes, it looks that way. See Rule 19.51:

(a) The final Settlement Price for the Russell 2000 Index Futures Contract and the Russell
2000 Mini Index Futures Contract shall be determined on the third (3rd) Friday of the delivery
month or, if the Russell 2000 Stock Price Index is not published for that day, on the first (1st)
preceding day for which such Index is scheduled to be published.
(b) If the New York Stock Exchange (NYSE), American Stock Exchange (AMEX) or
NASDAQ are not open on the day scheduled for the determination of the final Settlement Price,
then the NYSE-stock, AMEX-stock or NASDAQ-stock component(s) of the final Settlement
Price shall be based on the next opening prices for NYSE, AMEX and NASDAQ stocks.
(c) The final Settlement Price shall be a special calculation of the Russell 2000 Index based
on the opening prices of the component stocks in the Index, or on the last sale price of a stock that
does not open for trading on the regularly scheduled day of final settlement.

https://www.theice.com/publicdocs/rulebooks/futures_us/19_Russell.pdf
 
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