Why Futures Settlement Data Usually Follows Exchange Business Days

Summary

The document explains why end-of-day futures datasets commonly contain exchange business days rather than every calendar day. The key distinction is that end-of-day records often report the exchange’s settlement price, which supports daily profit-and-loss calculations and margin requirements. When an exchange is closed, it generally does not calculate or publish a new settlement price, so the absence of a record does not imply that data was omitted from an otherwise continuous series.

Futures markets may reopen on Sunday evening, but trading then can be relatively illiquid. The response cautions that prices formed during these quieter hours may be less representative of broader market views. This distinction matters when interpreting daily settlement data alongside intraday trading. The document offers general guidance rather than provider-specific rules; exchange schedules, holiday calendars, and data vendor conventions can vary, and Sunday session activity may still appear in intraday feeds.

Key ideas

• End-of-day futures records often represent settlement prices rather than the final trade of a calendar day.
• Settlement prices support daily profit-and-loss calculations and margin requirements.
• An exchange generally does not publish a new settlement price while it is closed.
• Sunday evening trading can have lower liquidity, so its prices may be less representative.

Tags

# Is futures contracts data only reported for business days?


# Is futures contracts data only reported for business days?












After digging around a few sources of futures data (in particular Quandl and EOD Data), I noticed the data only reports for business days (i.e. Monday-Friday excluding national holidays).

The NYMEX trades from Sunday at 6:00pm to Friday at 5:15pm. Naturally the Sunday won't be included if only business hours are reported.

Is this true in general - that data sources only report business days? If so - why?

## Answer by SRKX (score 5, accepted)

https://quant.stackexchange.com/a/27950

Usually end-of-day prices refer to settlement prices; they are not the last price at which the instrument was trading during that business day. Settlement prices are important because they are the ones considered when computing the P&L for a given day and for posting margin requirements, if necessary.

When markets are closed (during non-business days of the exchange in question), then no settlement price is computed, and hence no data is being published because market did not "generally agree" on the price.

Also, markets are usually open intraday from Sunday night, but volumes (i.e liquidity) is much lower and hence prices are less reflective of markets views as well, this is why these data points need to be considered with care.

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.