Calculation method of settlement price of stock index futures delivery
The daily settlement price of stock index futures is very important because it is the benchmark for clearing the profit and loss of positions. According to the existing rules of CICC, the settlement price of the day refers to the weighted average price of the trading volume of the futures contract in the last hour. If there is no transaction in the last hour and the price is on the price limit, the price of the price limit shall be taken as the settlement price of the day. If there is no transaction in the last hour, and the price is not within the price limit, the weighted average price of the volume in the previous hour will be taken. If there is still no deal during this period, push it forward for another hour. And so on. If the trading time is less than one hour, the weighted average price of the whole period shall be taken.