Globex index futures - new session times

wackypete2

Legendary member
10,229 2,055
I never understood some of the screwy time schedules CME has anyway, but thanks for the reminder.

Peter
 

GreyFox

Newbie
3 3
Re: Globex index futures - new session times (& Problems)

New Session times - Take Care

For those using end of day data, these new session times and changes may create a problem. The session ends officially one hour later than it used to but the settlement time is still the same. Also trading after the settlement is part of the same day, not the next day as it was previously. This means that you could get significant range expansion after the settlement and incorrect closing prices, especially after a big move, as the new daily limits are applied to the last 45 minutes of trading.

Here is an example of the problem
ES drops 20 handles and at 3.15 Central time is settled at 1360. It then drops another 10 points to 1350 and closes at the low. Many data systems will show the low as 1350 (correctly) and the close as 1360 (incorrect). Your chart and algos, will see a 10 point bounce that never existed. This type of problem has happened too many times over the past 20 years and each time it has happened it has taken a considerable amount of time to get rid of the spurious closes. The settlement is for book-keeping, not for trading. Too many data vendors automatically assume that they are one and the same.

If your data vendor shows the settlement, as the closing price, on CME equity products (not just the ES), then I would suggest that you complain and complain loudly. You will be making decisions off of incorrect data. What you need in the closing field is either the last price traded or even better a price which fairly represents the trading at the very end of the last session. CSI did this for Eurex data and it worked well (I have no connection with them other than being a long term customer).
 

GreyFox

Newbie
3 3
Not really sure what you mean by that question. Options would be exercised at the strike price. Any futures variation margin would be against the settlement and not the closing price. Margin calls might happen at any time, even before settlement.
 

wackypete2

Legendary member
10,229 2,055
Not really sure what you mean by that question. Options would be exercised at the strike price. Any futures variation margin would be against the settlement and not the closing price. Margin calls might happen at any time, even before settlement.

Sorry I wasn't clear. I want to be sure that if I am short calls that expired worthless at the settlement price time of day then they could not then be exercised against me later if the close price of the day fell below the strike price even though CME says it's the same trading day.

Peter
 

GreyFox

Newbie
3 3
I would check this with your broker and/or the exchange. I used to be a pro option trader for a large bank but gave up trading options a few years ago because of rubbish fills, so I'm a bit out of touch on the finer points. I know exactly what you mean but I can't give you you a 100% answer. Options can have slightly different expiry times to the futures daily close (it might even be earlier). Sorry I can't be of more help on that part.

Try this - it might be what you need

http://www.cmegroup.com/trading/equ...xP_500_Futures_Final_Settlement_Procedure.pdf
 
Last edited:

robster970

Veteren member
4,566 1,390
I find it interesting that it still behaves like it did with 21:00GMT close for NYSE and then it winds up for a CME finish at 21:15GMT.

Then it sits there like this, with an flickering DOM, no orders coming through until 21:30GMT which used to be the open of the next CME day.

It's like nothing has changed even though CME has decided to change close/open times.
 

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wackypete2

Legendary member
10,229 2,055
I would check this with your broker and/or the exchange. I used to be a pro option trader for a large bank but gave up trading options a few years ago because of rubbish fills, so I'm a bit out of touch on the finer points. I know exactly what you mean but I can't give you you a 100% answer. Options can have slightly different expiry times to the futures daily close (it might even be earlier). Sorry I can't be of more help on that part.

Try this - it might be what you need

http://www.cmegroup.com/trading/equ...xP_500_Futures_Final_Settlement_Procedure.pdf

Thanks for the info and link (y)

Peter
 
 
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