Marking the close (banging the close)

The rule in US futures

Among the disruptive practices listed in section 4c(a)(5) of the Commodity Exchange Act is any trading, practice or conduct that demonstrates intentional or reckless disregard for the orderly execution of transactions during the closing period. The CFTC's guidance adds three points. Conduct outside the closing period can also violate the provision, for example accumulating a large position just before the closing period with the intent, or reckless disregard, to disrupt it. Bids and offers count, not only executed trades. And accidental or even negligent conduct is not enough: the provision requires intent or recklessness.

Why the close matters

The settlement price of a futures contract is used to mark positions to market every day, so it drives margin flows between accounts. Options, structured products and fund benchmarks can also reference closing or settlement values. That concentration of consequences in a short window is what makes the close attractive to influence and why the law singles it out.

Reading closing-window activity

• Volume often rises into a settlement window for ordinary reasons: positions squared before the end of the day, index rebalancing, hedges timed to the benchmark.
• Compare a closing bar with the same minute of previous sessions rather than with the rest of the day, which has a different rhythm.
• A burst of aggressive prints in the final minutes, followed by a reversal in the next session, is a pattern to note, not evidence of intent.
• The official settlement price is published by the exchange and follows its own procedure; a chart's last traded price can differ from it.

A worked example

A one-minute bar in the closing window prints 4,000 contracts. Over the five previous sessions, the same minute averaged 1,000. A time-of-day comparison puts the bar at 4.0 times its usual activity for that minute. That is a measurement worth recording, together with delta and price change, but it establishes nothing about why the volume arrived.

In Senzoukria

The Time-of-Day Volume indicator divides each bar's volume by the average volume printed during the same session minute over the previous sessions, five by default, with sessions anchored on the CME open at 17:00 Chicago time; it is the reading used in the example above. The Prior Session H/L/C overlay projects the previous session's high, low and close onto the next session; its close is the close of the last bar of that session as loaded on the chart, not the exchange's official settlement price.