The CME Group provides the settlement prices. The settlement price is the official price of a financial instrument at a specific time.
It is the CME Group that determines the settlement prices through its own method, volumes, and open interests are also included.
They calculate the settlement or official closing prices daily for each futures contract.
After the closure of the CME markets, all the settlement prices are used for the calculation of the margin and they update the accounting positions.
Each Exchange can define different ways of calculating the official closing prices.
The settlement prices can be preliminary or final.
The official daily settlement is the final settlement price published by CME.
The settlement price is used, for example, to calculate the margin.
They publish the Monday final settlement price on CME Globex, on Thursday, between 5:30 p.m. and 9:30 p.m. CT.
They publish the final settlement price for Friday on Sunday, between 12:00 p.m. and 4:00 p.m. CT.
The settlement price can be intraday.
Intraday An intraday settlement is any price that is released before the official end-of-day settlement calculation.
The daily settlement prices files contain the settlement prices, volume, open, close, high and low for all the products of the CME Group.
Futures E-mini Dow
The daily adjustments of the futures of the CME Equity Index are determined by the staff of the CME Group based on trading and market activities on CME Globex.
When calculating the price of a derivative, the CME must follow standard procedures.
If you want to deepen the calculation method, visit this link where all the tools are listed.
We don’t think it’s useful to know how the CME performs settlement price calculations.
The procedure is very long and complicated, even difficult to understand.