Nasdaq Futures Expiration Settlement Uses the Opening SOQ
Summary
The document addresses why a Nasdaq-100 futures settlement value can differ substantially from the cash index’s closing value on expiration day. The explanation is that these futures settle against the Special Opening Quotation, which is calculated from the official opening prices of the index constituents, rather than the index level at the end of the session. Since constituent opening prints arrive over time, the settlement quotation is determined after the opening process; the cash index can then move before its later close.
The example compares a simulator’s futures exit value with a reported cash close and explains why the futures profit and loss should be assessed using the contract’s settlement benchmark. It recommends checking the official settlement bulletin or index data for the SOQ when analyzing expiration. The cited figures are presented as an illustration, not independently verified evidence, and the note’s explanation applies to contracts with this settlement convention rather than every index future.
Key ideas
- The described Nasdaq-100 futures settle to the Special Opening Quotation on expiration.
- The SOQ is based on official opening prices of the index constituents.
- The cash index’s later closing level is not the futures contract’s settlement benchmark.
- Expiration profit and loss analysis should use the contract’s official settlement value.
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Full text
# Why is NASDAQ Future price significantly different from underlying upon settlement? # Why is NASDAQ Future price significantly different from underlying upon settlement? Using the CME Group Trading Simulator I sold the "Micro E-mini Nasdaq-100 — March expiration" (MNQH6) contract on 12/23/2025 at 25,737. The underlying NASDAQ at the time was 23,523. My final P/L according to the simulator was $2,926. The contract expired on 3/20/2026 (third friday of March). According to historical data, the NQH26 closed on 3/20/2026 at 24,291. The underlying Nasdaq closed that same day at 21,647. https://www.barchart.com/futures/quotes/NQH26/price-history/historical My P/L makes sense since it is roughly equal to the multiplier*price movement ($2) * (25,737 - 24,291) However, I do not understand why the futures price did not converge to the underlying (or even close to it) upon expiration? 24,291 >> 21,647 What can explain this differential? ## Answer by Matt (score 2) https://quant.stackexchange.com/a/85601 You are comparing two different numbers. The 21,647 you read off Barchart is the Nasdaq-100 cash index close at 4 PM ET on 3/20/2026. MNQH6 does not settle to that number. CME-listed Nasdaq-100 futures (NQ and MNQ) settle to the Special Opening Quotation (SOQ) of the Nasdaq-100 on the third Friday of the contract month, which is calculated from the official opening prices of each of the 100 component stocks. Opening prints come in one by one after 9:30 ET and can take 10-20 minutes to complete; the SOQ is published by Nasdaq once every component has printed. After the SOQ is struck, the futures cease trading and cash-settle to that single value. The cash index continues to trade for the rest of the day and can drift considerably from the SOQ between the open and the 4 PM close, especially on an OpEx Friday where dealer hedging unwinds move the index around. So the convergence condition for NQH26 on 3/20/2026 is: ``` NQH26 final settlement = Nasdaq-100 SOQ (Friday open) ``` not ``` NQH26 final settlement = Nasdaq-100 cash close (Friday 4 PM) ``` If you pull the SOQ for 3/20/2026 (Nasdaq publishes it daily in their index values file, and it is also on the CME settlement bulletin), you will almost certainly find it equals 24,291 (or within a rounding increment). That is where your contract settled and the convergence held exactly, by definition. The 21,647 cash close is a post-SOQ number that has no contractual relationship to the expired futures. This same SOQ mechanism applies to SPX, NDX, RUT, VIX, and most CME-listed equity index derivatives. It is the single most common source of "why didn't it converge?" confusion at expiration, and it gets worse on volatile OpEx Fridays because the gap between the opening SOQ and the 4 PM close is where all the morning hedge-unwind risk sits. As a sanity check: your simulator's $2,926 P/L is correct precisely because it uses 24,291 as the exit, not 21,647. If you want to backtest or attribute expiration P/L for CME index futures, always pull the SOQ from CME's daily settlement file - the cash-index EOD value will mislead you every third Friday.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.