I was wondering why they rebalance at the beginning of a new month? In other words, the close on the last month for ESH8 might be 1335.25, but tonight could open at 1340.25 and it might say +1 instead of +5
I think that they calculate the fair value based on cash and that's what's used to calculate the change at open:
Settlement prices for domestic stock index futures and options are determined on the basis of their fair value, i.e., by reference to the closing cash index value plus finance charges less anticipated dividends. Because the final cash index value may not be known for several minutes past the cash close, the cash index component of the calculation will be sampled at 3:15 p.m. (Central Time - CT) and settlements shall be made available shortly thereafter. As is the practice with other Exchange products, fair values will be determined through a survey of market participants.