Skip to content
GetProfitable
Search

Settlement time and the open and close

Lesson 14 · about 9 min

Three moments in each futures day matter more than the other 22 hours: the cash market open, the cash market close, and the daily settlement. Each one has a defined mechanism, each moves price for reasons that have nothing to do with any chart pattern, and each is when your broker does things to your account.

The daily settlement

Every futures contract has an official daily settlement price. It is not the last trade; it is calculated by the exchange from trading in a short window, and it is the price used to mark every open position, compute margin calls and determine whether limit-move rules apply the next day.

Contract Settlement window (ET) Method
ES, NQ, YM, RTY 3:59:30 pm to 4:00:00 pm Volume-weighted average of trades in the last 30 seconds before the cash close
CL 2:28 pm to 2:30 pm VWAP of the final two minutes of the energy RTH session
GC 1:29 pm to 1:30 pm VWAP of the final minute of the metals RTH session
ZB, ZN 2:59 pm to 3:00 pm VWAP around 3:00 pm ET (2:00 pm CT)
6E 2:59 pm to 3:00 pm Around 3:00 pm ET (2:00 pm CT)

Note that most settlements happen hours before the Globex session ends at 5:00 pm. Crude settles at 2:30 pm and then trades for another two and a half hours; that post-settlement trading counts toward the next day's session for P&L purposes. When your broker's statement says you made $300 today, it is measuring settlement to settlement, not midnight to midnight.

The exact windows and methods are set by the exchange and occasionally change; the settlement page for each product has the current rule.

What happens at settlement

  • Open positions are marked to the settlement price and cash moves between accounts.
  • Margin is recomputed; if equity is below maintenance, the call is issued (Module 3).
  • Hedgers who need to match a settlement price (funds tracking an index, commercial hedgers pricing off settlement) do their trading in the settlement window.

That last point is why the settlement window is often the highest-volume minute of the day. Large participants who have to trade at the settlement price bring their orders precisely then. Prices can move sharply into it, and can reverse right after, because the flow was obligatory rather than opinionated.

The cash open

For index futures, the 9:30 am ET cash open is the moment the arbitrage against 500 stocks switches on. The futures have been trading since 6:00 pm the previous evening, so there is no futures "opening auction"; instead, the cash market's opening auction resets the fair value of the futures in one step. The first few minutes are the widest-range and most-slipped minutes of a normal day.

Illustrative ES behavior in the first 30 minutes versus a mid-day 30 minutes:

Window Typical range (points) Typical volume share of day Slippage on stops
9:30 to 10:00 am 15 to 40 12% to 18% 1 to 4 ticks
12:00 to 12:30 pm 4 to 12 3% to 5% 0 to 1 tick
3:30 to 4:00 pm 10 to 30 12% to 20% 1 to 3 ticks

The open is where most of the day's move is often decided, which is why traders cluster there. It is also where a stop in ticks is least reliable. Both statements are true, and the response is to trade the open with the stop sized for the open's slippage, not the midday's.

The cash close

The 4:00 pm ET close is the mirror image: a stock market closing auction resets fair value, index funds and ETFs rebalance at the close, and the ES settlement window falls in the last 30 seconds. Volume spikes, price can swing several points in the final minute, and then the futures keep trading in a thin post-close session until 5:00 pm where a single earnings release can move NQ 1% on almost no volume.

Two practical consequences:

  1. Do not carry a tight-stop trade into the final minutes unless the plan is to exit at the close. The close is the exit for a day trade; it is not a good place to be waiting for a target.
  2. The broker's intraday margin cut-off is usually just before the close for the index products, and earlier for energy and metals, matching their settlement. Holding one minute past the cut-off converts the trade to overnight and full margin.

Key idea: Settlement is a defined window, not the last trade; it drives margin calls and attracts obligatory flow. The cash open and close are when fair value resets in one step, so they carry the day's widest ranges and worst fills.

Products that settle mid-afternoon

If you trade crude or gold intraday, "the close" is 2:30 pm and 1:30 pm ET respectively, not 4:00 pm. The volume profile of those products peaks around their own settlement, and the book thins out considerably afterward even though the index futures are still busy. A crude trader still holding at 3:30 pm ET is in an overnight position by their broker's rules, and in a thin one by the market's.

Try it: For the one contract you plan to trade, write down: its settlement window, your broker's intraday margin cut-off time, and the time of the cash open and close of its underlying. Then pull up a one-minute chart of the last five sessions and note the range of the first 15 minutes after the cash open compared with the range from 12:00 to 12:15 pm.

Recap

  • Daily settlement is a computed price from a short window, not the last trade; it marks positions and triggers margin calls.
  • ES settles in the final 30 seconds before the 4:00 pm cash close; CL at 2:30 pm; GC at 1:30 pm; Treasuries and 6E at 3:00 pm ET.
  • Obligatory flow clusters in the settlement window, producing volume spikes and sharp moves that can reverse.
  • The cash open resets futures fair value in one step; the first minutes have the widest range and worst fills.
  • The broker's intraday cut-off sits just before each product's settlement; a minute late means full margin.

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

Margin and leverageA small deposit controlling a much larger position, and the point at which losses trigger a margin call.Position you controlnotional value $100,000your margin deposit: $5,000$100,000 / $5,000 = 20:1 leverageYour deposit absorbs every dollar of loss$5,000$2,500$0Equity leftMARGIN CALLequity has fallen to $2,5000%1%2%2.5%3%4%5%How far the price moves against you
Margin and leverage. A $5,000 deposit can control a $100,000 position, which is 20:1 leverage. Because the loss is measured on the full $100,000, a 2.5% move against you halves the deposit and brings a margin call, and a 5% move uses all of it.
Intraday price swinging around VWAPA price line for one trading day weaving above and below a smoother VWAP line, with a band drawn one standard deviation either side of it.INTRADAY PRICE AND VWAPprice9:3012:4516:00+1 SD bandVWAP−1 SD bandIllustrative session. VWAP starts fresh at the open and firms up as the day fills in.
VWAP and its standard-deviation bands. VWAP is the day's average price weighted by how much volume traded at each price, so it shows where the bulk of the day's business was done. The bands sit one standard deviation either side, and price here swings between them all session.
A range beside a trendOne chart swinging between a flat floor and ceiling, another stepping upwards inside a pair of sloping lines.Range-boundresistancesupportprice bounces between two levelsTrendingthe trend channelhigher highs and higher lowsA range has two flat edges; a trend has two sloping ones.
Range versus trend. On the left price keeps bouncing between the same floor and ceiling, which is a range. On the right each high and each low is higher than the last, inside a pair of sloping lines called a channel.