The settlement price is the benchmark price issued by the exchange after the end of the day's trading, which is used to calculate the profit and loss of the open contract and the margin of the day.
According to the relevant regulations of China's futures exchange, the specific concept arrangement is as follows: (1) The settlement price of commodity futures on the same day refers to the transaction price of a futures contract during the trading period weighted by the volume; If there is no transaction on that day, the settlement price of that day shall be determined according to the relevant regulations of the exchange.
The settlement price of stock index futures on the same day refers to the weighted average price of the transaction price in the last hour of the trading session of a futures contract on the same day. The settlement price of stock index futures refers to the arithmetic average price of the last two hours of the underlying index on the last trading day.
The role of futures settlement price
1. An important basis for determining the price limit of the next trading day, indicating that the price limit of futures is not based on the closing price, which is essentially different from stock trading;
Two. The basis of daily debt-free settlement, which is used to calculate the profit and loss and margin occupation of open contracts on that day;
Three. The settlement price only affects the profit and loss of the open contract on that day, and does not affect the profit and loss of the closed contract. Liquidation gains and losses (floating) are calculated at the opening price;
Ⅳ. The settlement price will affect the calculation of risk degree. Because there is a certain deviation between the closing price (the latest price) and the settlement price, the degree of risk shown in intraday trading and the risk after settlement will change, so investors need to pay attention to the changes of accounts in time.
For example:
A customer with a futures account of 20,000 yuan bought an opening 1 lot contract of iron ore 2209 at an opening price of 900 on April 2, 2022. On April 12, the closing price was 923, the settlement price on that day was 897, and the settlement price on the previous day was 886. The customer spent the night in the warehouse and sold it at the price of 920 on April 13. (The contract multiplier of iron ore is 100, and the margin rate is 13%).
April 12
End of transaction:
Customer's position profit and loss = (923-900) *100 *1= 2300.
Customer's deposit = 886 *100 * 0.13 *1=1518.
The risk degree in the customer's transaction =11518/(20000+2300) *100% = 51.65%.
After settlement:
Customer's position profit and loss = (897-900) *100 *1=-300.
Customer's deposit = 897 *100 * 0.13 *1=161.
Customer risk =11661/(20000-300) *100% = 59.19%.
April 13
Total customer profit and loss = [(897-900)+(920-897)] *100 *1= (920-900) *1= 2000.