|
PureBytes Links
Trading Reference Links
|
Charles:
Yes. Here is the notice from the CME, which references the regular close for
the equities markets:
Close Early at End of Quarter on Friday, Dec. 29
Dec. 27, 2000—Following its regular quarter-end settlement
procedure, Chicago Mercantile Exchange Inc. (CME) will close its domestic
equity index futures contracts 10 minutes early at the end of the quarter,
Friday, Dec. 29, and revise its daily settlement procedures to reflect a
“fair value” settlement price.
CME stock index futures and options on that day will close at
3:05 p.m. (Central Time), 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, -mini Nasdaq 100, S&P 500/BARRA Growth, S&P 500/BARRA Value, S&P
MidCap 400, Russell 2000 and FORTUNE e-50™ indexes. While the Nikkei 225 will
not be settled using this procedure, it will also close at 3:05 p.m.
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. Many financial news media regularly publish estimates of
fair value for stock index futures contracts.
CME stock index futures and options will reopen for the New Year
on the GLOBEX®2 electronic trading system at 5:30 a.m. on Tuesday, Jan. 2,
2001.
Regards,
John J. Lothian
In a message dated 12/29/00 9:15:26 AM Central Standard Time,
chmeyer@xxxxxxxx writes:
<< John:
To verify, today is a full trading day (4:00EST close) for the U.S.
stock market, right?
Chas >>
-------------------------- eGroups Sponsor -------------------------~-~>
eGroups eLerts
It's Easy. It's Fun. Best of All, it's Free!
http://click.egroups.com/1/9698/0/_/152424/_/978105265/
---------------------------------------------------------------------_->
To unsubscribe from this group, send an email to:
realtraders-unsubscribe@xxxxxxxxxxx
|