Daily Settlement Price
The official closing price established by the exchange each session, used to calculate mark-to-market P&L and margin requirements.
The daily settlement price is the official price the exchange assigns to each futures contract at the end of each trading session. It is used to calculate each account's mark-to-market gain or loss and to assess whether maintenance margin thresholds have been breached.
For CME equity futures, the settlement price is typically derived from a volume-weighted average of trades in the last 30 seconds of the regular session (3:15 PM CT for ES). It is not simply the last trade price, so it can differ slightly from the 4:15 PM electronic close.
Understanding the settlement price matters when evaluating open P&L vs. realized P&L and when assessing overnight margin requirements.
Related Terms
Cash Settlement
A settlement method where no physical asset changes hands at expiration — the contract settles to a final index or reference price in cash.
BeginnerExpiration
The date on which a futures contract reaches the end of its life and is either cash-settled or triggers physical delivery.
BeginnerMaintenance Margin
The minimum equity level a futures account must maintain; falling below triggers a margin call demanding top-up to initial margin.
BeginnerMark-to-Market
The daily revaluation of open futures positions to the settlement price, with gains and losses settled in cash each session.
IntermediatePit Session vs Electronic
The comparison between historical open-outcry floor trading (the "pit") and the now-dominant electronic Globex/ICE trading sessions.
Beginner