Daily settlement price
The daily settlement price is the official end-of-day price the exchange sets for each futures contract, used by the clearing house to mark every open position to market and move variation margin. It follows a published procedure, typically a volume-weighted average over a short window near the close, and it can differ from the last traded price.
Senzoukria · Glossary · Updated September 2026
Definition
Each trading day ends with a settlement price per contract. It is the price at which gains and losses are computed for positions held through the close, the reference for next day's price limits on many products, and the anchor for trade-at-settlement orders. It is set by the exchange's procedure, not by the last trade.
How CME builds it
CME's equity index procedure as filed with the CFTC in January 2018 shows the typical structure. The lead month, the contract expected to be most active, settles to the volume-weighted average price of its trades during a short settlement period. With no trades, it settles to the midpoint of the bid and ask in that period; without a two-sided market, to a carry formula applied to the cash index. The second month is derived from the lead month plus the calendar spread's traded price, and further months from the carry formula, provided the result does not violate their bid or ask. Settlement windows differ by product and have been revised over time, so read the current procedure for the contract you trade.
Worked example
During the settlement window the lead month trades 10 contracts at 5,000.00, 30 at 5,000.25 and 10 at 5,000.50. VWAP = (10 × 5,000.00 + 30 × 5,000.25 + 10 × 5,000.50) / 50 = (50,000 + 150,007.50 + 50,005) / 50 = 250,012.50 / 50 = 5,000.25, already on the 0.25 tick. If the last trade of the day was at 5,000.50, the close and the settlement differ by one tick.
In Senzoukria
The Prior Session H/L/C indicator draws PDH, PDL and PDC for the previous session, and its PDC is the close of the last bar of that session, a last traded price. It is not the exchange's settlement price, and the two can differ by a tick or more. The application does not display settlement prices; broker statements and the exchange publish them.
Common mistakes
- Treating the chart's session close as the settlement used for P&L and margin.
- Assuming every product settles at the same time of day.
- Reading a settlement derived from a carry formula on a thin back month as a traded price.
Related
In the same section
- Final settlement
- Conflation
- Price limits
- Data vs software cost
- Daily loss limit
- Data feed
- d1 and d2
- Data freshness
Sources
This page in other languages
Frequently asked questions
- Why does my broker's daily P&L differ from my chart's close-to-close change?
- Because the broker marks positions to the settlement price, which comes from a volume-weighted window or other tiers of the procedure, while the chart's close is the last trade of the session. A difference of a tick on a multi-contract position is enough to make the numbers disagree.
- Are back-month settlements traded prices?
- Not necessarily. Deferred months with little trading are often settled from the spread to the lead month or from a carry calculation, so their settlement can be a computed value rather than a price that traded.