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Some time ago, perhaps a year-and-a-half or so, I read that the CME was
adopting a special procedure for determining the settlement price for the
front S&P 500 contract. This special procedure was to be employed only on
the last trading day of each month and the price would be a consensus or
average of the fair-value estimates from several different industry sources.
I'm trying to confirm that this practice is still being followed and that
the schedule is still the same - the last trading day of each month and that
day only. I sent an e-mail to the CME but received only a boiler-plate
reply - I doubt that the respondent actually knew what I was talking about.
Does anyone on this list know the answer, or have the name of a specific CME
contact who could help me?
Thanks.
Carroll Slemaker
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