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: Same thing happened in the NQ's/ND's. I'm also stumped.
:
: > Can anyone explain how this settlement price was arrived at?
On March 30 and the last day of trading every month, CME will close its
domestic equity index futures contracts 10 minutes early and revise its
daily settlement procedures to reflect a fair value settlement price. CME
stock index futures and options will close at 3:05 p.m. (Central Time) at
month's end, five minutes after the close of cash equity trading-instead of
the usual 15 minutes after the cash markets' close-in order to coordinate
more closely with the close of index-related products on other exchanges.
All of CME's domestic stock index futures and options will settle according
to the new procedure, including the S&P 500, E-mini S&P 500, Nasdaq-100,
E-mini Nasdaq-100, S&P 500/BARRA Growth, S&P 500/BARRA Value, S&P MidCap
400, Russell 2000 and FORTUNE e-50T indexes. While the Nikkei 225 will not
be settled using this procedure, it will also close at 3:05 p.m.
Following its normal procedure, fair values will be determined by a survey
of market participants conducted by exchange staff. Settlement prices will
be made available shortly after the 3:15 p.m. sampling of cash index values.
Fair value represents an "arbitrage free" level at which futures
theoretically should be priced in relation to cash index values in the
absence of transaction costs, although this is not necessarily the level
where they will trade. Fair value is typically calculated as a function of
the cash or spot index value, plus financing charges, less any dividends
that would accrue with the purchase and carry of all index constituents
until the final futures settlement date.
: > Time And SalesDateTimePriceSizeExgBATEIndcInfo
: >
: > 11/30/200116:15:001135.7500001gTrade
: > 11/30/200116:15:001136.00000061gBest ask
: > 11/30/200116:15:001135.50000048gTrade
: > 11/30/200116:15:000.00000048gBest bid
: > 11/30/200116:15:001135.25000016gBest bid
: > 11/30/200116:15:001136.0000001gTrade
: > 11/30/200116:15:000.00000061gBest ask
: > 11/30/200116:15:001136.00000060gBest ask
: > 11/30/200116:15:001135.25000017gTrade
: > 11/30/200116:15:000.00000016gBest bid
: > 11/30/200116:15:011135.2500001gTrade
: > 11/30/200116:27:281140.0000001cSettlementTrade
: > 11/30/200116:27:281140.0000001gSettlementTrade
: >
: > Regards,
: > Mike
: >
: >
:
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