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I am studying historical data of futures contract prices. I found there are price data after the settlement date of the contract. For example, for Hang Seng Futures with expiry date of Jun, there are still price data records in investing.com:
enter image description here

I know there could be some roll over, but isn't that being price reocord of new contracts? Why it is the case?

Also, I found for the future contract of Jun, the price data records include data for many years ago, but did the contracts start so long ago? Or is that sort of price record methods such as nearbys?

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  • $\begingroup$ It seems very unusual, possibly an error in the data from Investing.Com. Try to get data from a Hong Kong SAAR source and compare it. $\endgroup$
    – nbbo2
    Commented Nov 8, 2023 at 9:09

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The Hang Seng futures June 2023 contract started trading on 13 June 2022. When no trading occurs, the exchange provides a daily settlement value. The first real trade occurred on 12 Aug 2022 (daily volume was 220).

The last trading date for Hang Seng futures is defined as "The business day immediately preceding the last business day of the contract month" which is Thursday 29 June 2023.

Some contract deliveries months are listed way ahead of time - for example, as at 8 Nov 2023, there is a Dec 2028 contract listed. It has zero volume and open interest right now though.

By definition, there are no trades after the last trading data, so I think that the screenshot is erroneous.

Contract specs: https://www.hkex.com.hk/Products/Listed-Derivatives/Equity-Index/Hang-Seng-Index-(HSI)/Hang-Seng-Index-Futures?sc_lang=en#&product=HSI

Data source: Norgate Data https://norgatedata.com/

Full disclosure: I am a co-owner of Norgate Data, a futures data vendor.

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  • $\begingroup$ 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"? $\endgroup$
    – Clay ZHAI
    Commented Nov 9, 2023 at 14:02
  • $\begingroup$ 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. $\endgroup$
    – Richard at NorgateData
    Commented Nov 13, 2023 at 0:08

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