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Closing Price of ES


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Closing Price of ES

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  #1 (permalink)
 patrick88 
Hong Kong
 
Experience: Intermediate
Platform: Interactive Brokers
Trading: Futures, Stocks
Posts: 10 since Feb 2023
Thanks Given: 7
Thanks Received: 1

Hi guys,

How is the closing price of ES futures measured every day?

I have just looked at the Nasdaq website for historical closing prices of ES. The value they present is NOT the closing price at 5pm EST every day, nor 4:15pm nor 6pm.

Can somebody please advise?

Thank you,
Patrick

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  #2 (permalink)
 chasepatrol 
Bremen, Germany
 
Experience: Intermediate
Platform: Sierra Chart
Broker: AMP/CQG
Trading: ES, FDAX
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patrick88 View Post
Hi guys,

How is the closing price of ES futures measured every day?

I have just looked at the Nasdaq website for historical closing prices of ES. The value they present is NOT the closing price at 5pm EST every day, nor 4:15pm nor 6pm.

Can somebody please advise?

Thank you,
Patrick

You want to have a look at the CME Futures Settlement Action and understand the logic behind it.

https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.settlements.html
https://www.cmegroup.com/trading/about-settlements.html

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  #3 (permalink)
 tr8er 
Europe
Market Wizard
 
Experience: Advanced
Platform: TradeNavigator, BookMap
Trading: ES, CL, 6E, 6B
Posts: 704 since Jan 2017
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patrick88 View Post
Hi guys,

How is the closing price of ES futures measured every day?

I have just looked at the Nasdaq website for historical closing prices of ES. The value they present is NOT the closing price at 5pm EST every day, nor 4:15pm nor 6pm.

Can somebody please advise?

Thank you,
Patrick

The closing-price is the last tick 5 pm ET, but most platform use the settlement-price which now is calculated as a VWAP of the last minute before cash-close (4 pm ET) in the past it was calculated the last minute before the 15 min break of ES (at 4:15 pm ET), but since this break is not available anymore they switched to 4 pm ET

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Last Updated on March 22, 2023


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