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Search: Posts Made By: Fat Tails

Forum: Brokers

April 8th, 2012, 03:19 PM

Replies: 6

CME funny settlement ES Friday 120406

Views: 3,035

Posted By Fat Tails

Yes, but it this is true for every day. For...

Yes, but it this is true for every day. For futures there are different ways of building daily data:

(1) Official high, low and settlement from CME group
(2) Regular trading hours with settlement...

Forum: Brokers

April 8th, 2012, 02:56 PM

Replies: 6

CME funny settlement ES Friday 120406

Views: 3,035

Posted By Fat Tails

The point is that settlement on holidays follows...

The point is that settlement on holidays follows peculiar rules.

Good Friday is a separate trading day on CME with trade date Friday, April 6. That is not obvious, as there are 6 holidays with...

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