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Discrepancy in the “daily change summary table”


DT. You posted the close of the esm11 on April 29, 2011 at 1359.75 I have the close at 1363.50 Do I miss something?
You're talking about this page right?
http://www.mypivots.com/dailynotes/symbol/417/-1/e-mini-sp500-june-2011

I just checked a couple of difference resources and 1359.75 seems to be a popular choice for the close on Friday.

Anybody else have a different value for this close?

@khamore1 - where did you get 1363.50 from?
Yes DT I'm talking about this page. I have a trade station platform and under the symbole esm11 and @es I have the close of the Emini at 4:00 Pm 1359.75 and the close of 4:15 at 1363.75
Does your numbers end at 4:00 Pm? or 4:15 ?
DT HERE WHAT I FOUND on CME GROUP IT CLOSED on 1363.50 AS I SAID BUT SETTLED 1359.75 AS YOU SAID NOW I'M MUCH MORE CONFUSED THAN BEFORE I THOUGHT THE CLOSING PRICE IS THE SETTLED PRICE CAN YOU EXPLAIN PLEASE



Daily Settlements for E-mini S&P 500 (Dollar) Futures (FINAL)Trade Date: 04/29/2011



Month

Open

High

Low

Last

Change

Settle

Estimated
Volume

Prior Day
Open Interest



JUN 11

1355.00

1363.75

1352.75

1363.50

+4.75

1359.75

1,270,478

2,743,397
IMPORTANT NOTICE on SETTLEMENT PRICES (I STILL DON'T UNDERSTAND THEM)

Settlement prices for the E-mini S&P 500 and the E-mini S&P MidCap 400 may differ slightly from the "true" settlement price displayed on CME's Daily Bulletin. These slight variances in settlements are the result of rounding due to differences in the minimum tick sizes between the E-mini contracts and the full-sized contracts. Additionally, the settlement price displayed on the Daily Bulletin matches that of the full-sized contracts for purposes of marking-to-market, as the contracts are offsettable, on a 5:1 basis. Example: E-mini S&P 500 futures contracts are traded in .25 increments and the full-sized S&P 500 contracts in .10 increments.
Originally posted by khamore1

IMPORTANT NOTICE on SETTLEMENT PRICES (I STILL DON'T UNDERSTAND THEM)

Settlement prices for the E-mini S&P 500 and the E-mini S&P MidCap 400 may differ slightly from the "true" settlement price displayed on CME's Daily Bulletin. These slight variances in settlements are the result of rounding due to differences in the minimum tick sizes between the E-mini contracts and the full-sized contracts. Additionally, the settlement price displayed on the Daily Bulletin matches that of the full-sized contracts for purposes of marking-to-market, as the contracts are offsettable, on a 5:1 basis. Example: E-mini S&P 500 futures contracts are traded in .25 increments and the full-sized S&P 500 contracts in .10 increments.


Right, so the price that we use is the settlement price (based on a formula that includes the last traded price) while what you are looking at on your chart is the last traded price.
The exchange, www.cmegroup.com also printed a YMM1 (June e-mini $5 Dow futures) settlement at 12756, far from the 13:15PDT last print, 12794 (29 April closing two ticks off the high, 12796). The 2 May A session opening (15:00PDT) price print was 12787 +31 points.

Prices rose four ticks in that final minute. Time and sales from the exchange would probably show (a dozen different reasons could be pondered) positions being sold into the market at the close, which was reflected in the settlement price. The close and the settlement are defined differently.

In the final minute, 13:14PDT, of trading the 29 April YMM1 futures, DT Pro shows 469 contracts traded within the following range:
Open: 12791
High: 12795
Low: 12789
Close: 12794