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On Wed, 23 Sep 1998, TJ wrote:
>many times, if there is a order discrepancy or closing range argument
>on or after the close, the s&p pit comittee will open a post-close
>trading session lasting several minutes until the discrepancy or
>argument is resolved. this price becomes the settlement price and can
>be outrside the day's trading range. these post-close prices are
>significant to locals, floor traders, and institutional traders.
I hope the following sections from the CME rulebook help
clarify matters:
"During the post settlement session, members are obligated
to bid or offer any orders that: (1) were received prior to
the close; (2) were executable in the closing range; and (3)
are executable in the post settlement session. In order to
be eligible for execution during the post settlement
session, customer orders must have been received and time
stamped on the trading floor prior to the close of Regular
Trading Hours ."
"However, in no event may a trade in the post settlement
session take place at a price which is outside of the
closing range, except for contracts which have been settled
outside of their closing range pursuant to Rule 813.B. , C.
, or D. ("Settlement Price "), in which case, trades during
the post settlement session may occur only at the settlement
price and the next two ticks in the direction of the closing
range for interest rate contracts, at the settlement price
and the next three ticks (four ticks for Mexican peso
contracts) in the direction of the closing range for foreign
currency contracts, and at the settlement price and the next
five ticks in the direction of the closing range for equity
contracts."
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