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Difference between futures market settlement and last price?


#1

Why are there 2 prices from the first place? I wonder what traders are using as their reference for the close.


#2

“Settlement price” varies depending on the exchange and market. For most the settlement price is determined by trades made in the last 30 seconds of the session. Then either the midpoint of prices is used or the VWAP (Volume Weighted Average Price) is used. The settlement price is used for daily bars and higher (weekly, etc.).

The “last price” is the price of the last trade made of that session. It is the price that is used for intraday time frames (5 minute, 30 minute, etc.).

Traders using intraday time frames are using last price, and traders using daily bars are higher are using the settlement price.

This link may be of help as well: http://www.cmegroup.com/trading/fx/files/FX-Settlements.pdf

Matt