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Strategies & Market Trends : Systems, Strategies and Resources for Trading Futures -- Ignore unavailable to you. Want to Upgrade?

To: thomas todd bishop who wrote (43021)	12/30/2000 5:29:25 PM
From: OX	Respond to of 44573

the main reason ES and SP trade in unison is due to arbitrage. but during fast markets ES can swing widely from SP. that's what happened yesterday after the cash close. my guess is the "fast" activity was related to JPM/CMB (and subsequent rebal of remaining index components) and year-end close. the settlement price is some averaging of some last set of closing trades. my guess here is that ES always settles at SP settlement value. --- and on that note, don't forget to mark2market all your open futures and index options. happy new year all.

To: thomas todd bishop who wrote (43021)	12/30/2000 6:21:56 PM
From: Louis V. Lambrecht	Respond to of 44573

thomas, OX - yes, confounding: cme.com Dec. 27, 2000—Following its regular quarter-end settlement procedure, Chicago Mercantile Exchange Inc. (CME) will close its domestic equity index futures contracts 10 minutes early at the end of the quarter, Friday, Dec. 29, and revise its daily settlement procedures to reflect a “fair value” settlement price. ..... Fair values will be determined by a survey of market participants conducted by exchange staff. ..... Sometimes, I also would have liked to close positions at "fair value" and not at market prices. I don't get it either.