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How the E-mini S&P 500 Trading-Day Open Is Defined

Article Quant Q&A · Author: rchen
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Summary

The document clarifies that the E-mini S&P 500 futures session open for a given trading day is tied to the evening session start on the prior calendar day. The contract begins its next trading day at 6 p.m. New York time, so the listed open can differ from prices seen later in the morning. This explains why an apparent mismatch between an official open and an intraday chart does not necessarily indicate incorrect data.

The answer illustrates the point with the January 19, 2022 contract: the quoted open corresponds to the start of trading the previous evening. It also notes that nearly continuous trading makes the daily open less intuitive, and contrasts the E-mini session convention with the historical morning open of the older Big S&P contract. The explanation concerns session labeling; it does not assess the full quality of CME data.

Key ideas

  • The E-mini S&P trading day begins in the evening on the prior calendar day.
  • Its session open is the price at the start of that evening session, not the morning price.
  • Nearly continuous trading can make the official daily open seem inconsistent with later intraday chart levels.
  • The older Big S&P contract historically began trading in the morning, unlike the E-mini session convention.

Tags

FuturesUS marketsMarket microstructure
Full text
# Incorrect ES future open data from CME?


# Incorrect ES future open data from CME?












I was trying to validate some intraday ES future data. However, it looks like even the CME official is incorrect.

Let's take 2022-01-19 as an example

- CME shows the open price for MAR 22 is 4577.75 (link)

- If you look at their intraday chart (link from here), the price around 8:30 is well above 4577.75

Does anyone have any thoughts? How is the open price determined?

## Answer by nbbo2 (score 0, accepted)

https://quant.stackexchange.com/a/69601

The emini open for day T refers to the start of trading at 6pm NY time (5pm chicago) the night before (day T-1). The trading stops at 5pm NY time and then just one hour later trading for the next day starts. Historically the Big S&P contracts started trading at 9:30 am (8:30 chicago) but these contracts no longer trade. I used to write down the open for the Big S&P every day but I lost this data point with the demise of the Big S&P contract in 2021. (I suppose that is a disadvantage of having a contract that trades nearly 24 hours a day).

You can see in the graph on the extreme left that the emini starts at 5pm of jan 18 at 4577.75 then dips slightly (red) to a little under 4576 before recovering (green) to above 4576. The value 4577.75 is considered the "open" for the jan 19 trading.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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