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Why Futures Opening and Closing Prices Can Differ

Article Quant Q&A · Author: Wray
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Summary

The document addresses why an S&P E-mini futures opening price may differ substantially from the prior reported close. Its central point is that “open” and “close” are defined prices whose calculation depends on the security and exchange rules. An opening price may come from a designated auction period, for example, rather than a simple snapshot of the midpoint at a particular instant. Consequently, the two values need not represent consecutive trades or directly comparable moments in continuous trading.

The answer recommends consulting the relevant exchange rulebook to establish how those prices are determined. It does not analyze the cited date’s specific gap, identify the exact settlement or opening procedure applicable to that contract, or attribute the move to news, overnight trading, or order flow. The explanation is therefore a useful starting point for interpreting reported price gaps, but the actual cause requires contract-specific price definitions and trading context.

Key ideas

  • Exchange-defined opening and closing prices can follow different calculation procedures.
  • An opening price may be determined by an auction rather than a market snapshot.
  • A reported close and open may not correspond to consecutive moments of trading.
  • The exchange rulebook is needed to establish the price definitions for a particular contract.
  • The general explanation does not determine the cause of any specific futures price gap.

Tags

FuturesMarket microstructureUS markets
Full text
# S&P e mini price difference between close and opening


# S&P e mini price difference between close and opening












Why on some days is there a price gap on the S&P futures market. Meaning why is there a major difference in the closing price and opening price. Example on 2/18/2022 market closed at 4343.5 and on 2/22/2022 it opened at 4324.5 almost 20-point difference between close and open.

## Answer by ThatDataGuy (score 2)

https://quant.stackexchange.com/a/73493

The mechanisms behind the determination of 'special' prices like 'close', 'open' etc are non-trivial and vary from security to security. For example, 'open' prices can be (but not always) the average from a special auction period, rather than just the mid snapped at certain time. To fully understand the origin of these prices, refer to the exchange's rulebook.

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.