Definition. A contract's official end-of-day price, set by the exchange. It's used for the daily settlement of profits and losses and for calculating margin.
How it works
For equity index futures, the CME sets the settlement price based on trading in a short window just before the close of the regular session, around 3:15 PM Chicago time (22:15 in Warsaw). It can differ from the last traded price.
Example
Your platform shows the daily change calculated from the previous day's settlement price, not from the last traded price.
What to watch out for
The detailed rules for setting the settlement price are in the contract specifications on the CME website.
You'll find the full explanation with graphics, examples and exercises in the 🖥️ Order flow atlas space, and its use in the live market in the 🔴 Live Room. Both are available to Club members (in Polish).
