CSI settle prices odd on Feb-23 for GLOBEX EURUSD CHFUSD?

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tovetski
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CSI settle prices odd on Feb-23 for GLOBEX EURUSD CHFUSD?

Post by tovetski » Thu Feb 23, 2012 9:42 pm

Hi CSI Users,

Looking at the charts on the CME website under the fx section, the settlement price on CHFUSD & EURUSD seem to spike down to pit close levels and resume back up to electronic close level on the next electronic open.

Any other user find this odd, normal, occasional?

Thanks,

Pierre

tovetski
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Posts: 46
Joined: Fri Jan 13, 2006 10:49 am
Location: Montréal, Québec, Canada

Not so odd in the end

Post by tovetski » Thu Feb 23, 2012 10:32 pm

Hi CSI Users,

This actually seems to be standard procedure as per the link below. It represents the VWAP from 13:59:30-14:00:00. A more representative settlement price than the globex close which sees less volume.

http://www.cmegroup.com/market-data/fil ... edures.pdf

Still good to know given that the CSI close for the electronic and combined contracts is actually the close of the pit session.

A good evening to you,

Pierre

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