Settlement Numbers

Hi! I get daily settlement numbers on CME website; they usually do not coincide with numbers you post on the website and use for Cammarilla calculations.
Which numbers should I use? Thanks!
I am also attaching a link of CME website.

http://www.cme.com/html.wrap/wrappedpages/end_of_day/daily_settlement_prices/es.html?h=1

The settlement numbers on the CME website are for the 24 hour continuous sessions. The ones that we use on this site are for the Regular Trading Hours - RTH - which is from 9:30 AM to 4:15 PM Eastern Time.

The numbers that you use will depend on what works best for you with the sizes of stops and targets that you are using. If I were you, I would track both sets of numbers. It will only take a short while to plug the all sessions numbers into the calculator and calculate the Camarilla Pivots.

Theoretically (and this is only theory and hasn't been tested) if you only trade during RTH then those are the numbers to use.

there is no difference between closing price for the RTH and the 24 hour trade session. both sessions close at 3:15pm CST and the new 24 hour session opens at 3:30pm every day.
there is however a difference between the closing price and the settlement price.
A closing price is the last traded price of a contract at the end of a trading session. A settlement price is a figure determined by the closing range that is used to calculate gains and losses in futures market accounts, performance bond calls and invoice prices for
deliveries. The settlement price is the official daily closing price of futures contracts.
therefore, i also use the CME site for the settlement price and base my pivot calculations on that price.
this may explain any discrepancies that leezab may have noticed.

Thanks rrl!!

I forgot to mention the difference about the closing and settlement price. I've asked the CME a couple of times for an exact formula for the settlement price but never received one. I guess that it's protected business information.

The opening range is the range of prices at which the first bids and offers were made or first transactions were completed. It must be initiated by at least one trade. The closing range is the high and low prices or bids and offers recorded during the period designated by the exchange as the official close (the final 60 seconds of trading in currencies and 30 seconds in all other contracts).

So in a contract such as the ES which almost certainly has trades during the last 30 seconds the closing range is the range between the highest and lowest traded prices from 16:14:30 to 16:15:00? Now if the settlement price is based on the closing range, is it an average of the high and low (i.e. a simple mean) or is it weighted by volume of contracts traded at each price in the closing range?

thats the $64 dollar question.
i dont know and cant seem to find the answer. but i have a friend wo is a pit trader. i'll ask him.

i dont believe its the highest and lowest trade prices in the last 30 seconds, but the highest and lowest bids and offers.
so if at countdown 30 - its bid 20 offer 50, and then at countdown 20 seconds - its bid 10 and offer 40, the offer at 50 remains the high offer and stands unless it is topped and vice versa. whether there has to be a trade to validate the bids and offers i do not know. then at the bell i dont know if they take an average or do it by volume.

Well if they use volume and the bid/ask it would be very tricky because the volume at bid/ask changes so quickly and could easily include large fake bids/asks to manipulate the settlement price. Based on that, if volume is involved in the calculation, I'm guessing that it would only be traded volume and not bid/ask sizes. The permutations of ways to calculate this figure are infinite.

quote:

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Originally posted by rrl

thats the $64 dollar question.
i dont know and cant seem to find the answer. but i have a friend wo is a pit trader. i'll ask him.

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rrl: Did you get an answer to this?