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Why Do Futures Quotes Change After the Close?

Roger, I am confused. After the market close today I looked at CME webpage and saw December corn prices:

My next corn price goal was to set one of my basis contracts at $3.60 Dec 2020. When I called my merchandiser, I heard him mumble $3.59. Then I got your Weekly Basis email tonight and you said Dec 20 closed at $3.59¼.

What am I missing here?

Why does the CME website show $3.60 but everyone else has 3.59¼?

My reply:

You should be confused. I learned a long time ago that the CME website is not as up-to-date as all other quote boards. I do not know why, my guess is CME is customer service oriented toward traders who trade hundreds of contracts a day... traders who pay money to CME to have up-to-the second "live" quotes rather than ten-minute delay quotes for free, such as what you see on the CME website, DTN and grain elevators web pages. The CME wants you and me to pay them for up-to-the second futures quotes.

The freebee ten-minute delay is a pain in the butt for them and does not make them money. Or maybe they just don't care or have a lazy employee who does not do his job well. On second thought, probably the software whiz who prepared this quote screen does not know the difference between “Last” and “Settlement”.

Note the CME quote sheet has a column listed as "Last", but no column labeled "Settlement". They have a column label of "Previous Settlement", meaning the settlement the day before, but no "Settlement" for the current day. The "Last" refers to the most recent trade, in this case the very last trade of the day. The number of trades per second vary greatly from none to hundreds, but on average about four contracts trade every second for the nearby contract during daylight hours. However, the first few seconds of trading day and the last few seconds of the trading day have the greatest number of trades per second, probably more than a thousand trades in the closing seconds and they are not all at the same price.

In the 20 or so minutes after the end of trading each day, a person or committee (or maybe a computer now) reviews the number of trades, the number of contracts traded at what prices in a period of time called the "closing" is the last minute of trading and establishes the "closing range" (high and low price during the closing period) and a decision is made as to the most fair "settlement price", which is not necessarily and usually not the average of the high and low nor is it the last trade of the day. It is called a volume-weighted average price.

I am quite sure the $3.60 quote you were looking at literally meant the very last trade of the day was, in fact, $3.60, but the closing range was clearly $3.60 on the top and certainly no higher than $3.59 on the bottom and probably trades were made less than $3.59 by a quarter or even a half cent during the closing period. Thus, the "settlement" was $3.59¼, for which CME does not have a column included.

If you had an order placed to sell December corn at $3.60, given the high was $3.60, it could have been filled, but you are not guaranteed a fill. There may have been 296 contracts offered to sell (yours included) at $3.60, but only 132 were filled because there were only 132 orders to buy at $3.60 or maybe there were hundreds more $3.60 buy orders, but not all filled because time ran out.

Open orders get filled first, oldest to newest, then day orders get oldest to newest. I recommend you place orders at $3.59¾ rather than $3.60. Other than my clients, nobody places orders to sell at $3.59¾, but "everybody" places orders at $3.60. Since corn did trade at $3.60 Friday, all $3.59¾ orders had to be filled first. If corn opens lower Sunday night and continues down for the next several weeks, that quarter cent will haunt you in your sleep for a long time.

I looked at the December 2020 corn “Time and Sales” report. Every trade is listed at the exact second it occurred, the price and number of contracts traded at that website. Before I stopped counting, I saw over two hundred contracts traded at $3.60.

CME Quotes Website Corn

CME December Corn Time and Sales

Closing Range CBOT
Download DOCX • 159KB


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