How E-mini S&P Futures Opening and Settlement Prices Are Set

Summary

The document distinguishes an E-mini S&P futures session’s opening trade from its official daily settlement. The answer describes the opening price as the first trade after the evening session reopens, giving the start of the Monday session as an example. It says the daily settlement is calculated from a combined volume-weighted average price of E-mini and standard S&P futures during the final thirty seconds of the session. It also describes a month-end exception: the same general procedure is applied earlier, at 3 p.m. Central time, to align the month-end value with the stock-market close.

This is a brief operational explanation, not a detailed specification or trading strategy. The author signals uncertainty about the opening-price convention, and the answer points to exchange materials for the formal settlement rules. Session schedules and rule details can change, so the stated timing should be checked against current CME documentation before being relied on for trading or historical data interpretation.

Key ideas

• The opening price is described as the first trade after the evening session reopens.
• The daily settlement is distinguished from the last traded price.
• The described settlement method uses a combined VWAP of standard and E-mini S&P futures near the session close.
• The answer describes an earlier settlement calculation at month end to align with the equity-market close.
• The opening-price explanation is tentative and formal procedures should be checked in exchange rules.

Tags

# How are open and close price of mini snp futures determined


# How are open and close price of mini snp futures determined












I'd like to know how are open and close prices of the mini snp futures contracts determined. For some reason I cannot find an answer to this basic question on the cme website.

## Answer by Alex C (score 1)

https://quant.stackexchange.com/a/46243

By Close do you mean the Last Price? I think what you mean is technically known as the Daily Settlement price at the CME, it is described here

https://www.cmegroup.com/content/dam/cmegroup/market-regulation/rule-filings/2018/01/18-008_APPAF.pdf

In essence it is based on the combined VWAP of the big S&P and mini S&P in the last 30 seconds. There is a special rule on the last day of the month, which is described separately here

https://www.cmegroup.com/trading/equity-index/fairvaluefaq.html

In essence on that day the same procedure is applied, but at 3pm Central time, instead of at the close, i.e. the settlement is 15 minutes before the close. This is to line up the EOM value with the NYSE closing time which is 4pm Eastern or 3 pm Central.

The open price, as far as I know is just the price of the first trade when the market re-opens for the night at 5pm Central, 6pm Eastern. So for example the Open price for the Monday session is the price shortly after 5pm CT Sunday when the Monday trading session begins.

Hope this answers your question.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.