Timeline for Why historical data of futures contract price include data after settlement date of the contracts?
Current License: CC BY-SA 4.0
3 events
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| Nov 13, 2023 at 0:08 | comment | added | Richard at NorgateData | Exchanges typically have a daily settlement procedure which includes how they derive settlements for back months, based upon whether certain events have occurred during the settlement period. This varies between contracts of course, but for an equity index it's typically determined by normal trades then (if none) spread trades then (if none) bid/ask spread then (if none) a carry formula that incorporates an interest rate. | |
| Nov 9, 2023 at 14:02 | comment | added | Clay ZHAI | Thank you for your answer! I wonder how the exchange determines settlement value in "When no trading occurs, the exchange provides a daily settlement value"? | |
| Nov 8, 2023 at 9:52 | history | answered | Richard at NorgateData | CC BY-SA 4.0 |