Change in Settlement Procedure for S&P Eminis

2020-11-23 · Alex Castaldo, Steve Ellison, Victor Niederhoffer
Original source

Alex Castaldo writes:

BUT THIS IS NO LONGER THE CASE. Since Monday October 26, 2020 the CME always uses 4pm as the settlement time. So the 4:15 price and the settlement are now different every day, not just on the last day of the month.

Steve Ellison writes:

Thanks, Doc. I had done a double take a couple of times when the S&P 500 settlement price was completely outside the range of the last 15-minute bar. For example, on November 12 the range of the 16:00-16:15 period was 3543.75 to 3533.00, but the emini settlement price was 3532.50. Because I do intermarket analysis, I have long kept a separate database of each day's 16:00 price in the S&P 500 and other markets (US Eastern time).

Victor Niederhoffer  writes:

more important what is the predictive  properties  of the move from 1600 to the real 1615 price