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Hello ketayun,
At month end the CME does what I believe they call a fair value
closing price. What they do is take the actual closing price of the
S&P 500 stocks at the 4pm Eastern close and that is the close for the
cash index. They then ad the computed expected premium to determing
the posted close. This has the primary result of ignoring the futures
trading from 4:00 to 4:15.
As for which number to use, I can't help you there but keep in mind
they do this every month.
Monday, April 3, 2006, 8:30:13 AM, you wrote:
k> The last trade price on Friday was 1307.75 but CME is showing 1303.25. Could
k> someone please explain what this means and which is correct? Which one
k> should be used for weekly pivots?
k> Thank you very much,
k> Kate
k> ----------------------------------------------------------------------------
k> ----
--
Best regards,
Roger mailto:mailrs@xxxxxxxxxx
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