ES Futures Daily Settlement Price: How It Is Calculated

Reviewed by the SPXtoSPY Editorial Team

You closed out the day watching ES trade at 5,512.00. Your broker's platform shows a settlement price of 5,511.25. Your daily P&L came out slightly different from what your back-of-envelope math suggested. Sound familiar?

The daily settlement is the number CME uses to mark all open ES positions to market each afternoon. It determines your realized and unrealized P&L, your margin requirement overnight, and the reference price for the next session's opens. Getting it wrong in your mental model costs real money — especially when you're using ES to hedge a SPY portfolio.

The 30-Second Window That Sets the Number

CME Globex runs essentially around the clock, but the "regular trading session" for ES ends at 15:00:00 CT (4:00:00 PM Eastern) Monday through Friday. In the 30 seconds leading up to that close — from 14:59:30 to 15:00:00 CT — CME records every trade and calculates a volume-weighted average price.

That VWAP is the daily settlement. If 1,200 contracts trade in those 30 seconds at prices ranging from 5,510.75 to 5,512.50, each trade's price is weighted by its contract volume, and the result gets rounded to the nearest 0.25-point tick. The settlement figure your broker shows you by 4:05 PM ET is that number.

Fallback Tiers When the Window Is Thin

Low-volume sessions — early January, the day after Thanksgiving, Christmas Eve — occasionally see very few trades in that 30-second window. CME applies two fallback tiers in sequence:

Tier 3 almost never activates in practice. ES is one of the world's most liquid instruments. But the protocol exists, and knowing it explains why settlements occasionally print at levels that look like mid-spread rather than last-trade.

Why the ES Settlement Differs from the SPX Close

The SPX closing value is not a VWAP. It is computed from individual stock last-sale prices as reported at 4:00:00 PM ET through the New York Stock Exchange's market-on-close (MOC) auction process. Each of the 503 S&P 500 constituent stocks closes at a price determined by supply/demand in that specific stock's MOC auction. The index value is then recomputed using those prints and the standard divisor.

The ES settlement is a VWAP of futures trades in a defined window. These two processes happen simultaneously but differently, which means they routinely produce slightly different numbers.

Typical Divergence: 0.5–2 SPX Points

On a calm afternoon, the ES settlement will be within 1–2 points of what you'd calculate as "fair value" from the SPX close. You can estimate this yourself: take the SPX close, add the theoretical carry (risk-free rate minus dividend yield, scaled to days remaining), and you get approximate ES fair value.

On volatile expiration days — especially triple and quadruple witching Fridays — the divergence can widen to 3–5 points. The MOC auction floods individual stocks with order flow, causing index constituents to print in a sequence that temporarily diverges from where the futures market was pricing the aggregate. The spread usually closes within minutes, but by that point both prices are locked in for settlement purposes.

A Worked Example

Say SPX closes at 5,510.42 on a given afternoon. The prevailing cost of carry for a 30-day front-month ES is approximately 4 basis points per day (annualized risk-free rate of 5.25%, dividends of 1.35%). That works out to roughly 5 points of carry premium at 30 days out.

So theoretical ES fair value = 5,510.42 + 5.00 = 5,515.42, rounded to the nearest quarter point = 5,515.25 or 5,515.50. If the actual ES settlement printed 5,516.00, futures were trading at a modest premium to fair value — a sign that buyers were more aggressive into the close.

This is exactly why using the SPX close to calculate your ES P&L directly is imprecise. The two numbers are related but not equal.

Daily Settlement vs. Final Settlement: A Critical Distinction

Daily settlement is a mark-to-market number used every session for P&L and margin purposes. It is not the number that matters when your contract expires.

Final settlement — the price used to close all outstanding positions on expiration day — uses an entirely different methodology: the Special Opening Quotation (SOQ).

The SOQ is calculated on expiration morning, typically between 9:30 and 9:45 AM ET, as each S&P 500 constituent opens for trading. Not all stocks open at 9:30 sharp — some MOO (market on open) auctions settle minutes later — so the SOQ can be difficult to predict precisely and sometimes diverges meaningfully from where ES was trading at 9:30 AM.

Traders holding ES into expiration face "SOQ risk." Many professionals roll their contracts 8–9 days before expiration to avoid it. If you're holding a quarterly contract to expiry, understand that your final exit price will be the SOQ, not whatever ES was trading at when you decided to close.

What This Means for Your SPY Hedge

If you hold ES to hedge a SPY portfolio, your P&L attribution gets complicated by the fact that three different prices are in play simultaneously:

1. ES settlement — 30-second VWAP at 3 PM CT
2. SPX close — MOC auction result at 4 PM ET
3. SPY closing NAV — computed from the SPX close, minus the accrued expense ratio

On any given day, these three numbers are related but not identical. The ES settlement reflects futures market dynamics in a 30-second window. The SPX close reflects a broader auction spanning all 503 stocks. SPY's closing price reflects a separate share-level auction on NYSE Arca, though authorized participants arbitrage it tightly against the NAV.

For a rough hedge calculation, assume your ES will settle within 1–2 SPX points of the SPX close. At $50 per ES point, a 2-point settlement divergence represents $100 per contract. On a portfolio where you're holding 10 ES contracts, that's $1,000 of daily tracking noise — visible in your P&L but not a signal of hedge failure.

Practical Implication: Use the Converter at Settlement Time

If you need to audit your hedge ratio at the close — for example, ensuring your ES position offsets a specific dollar amount of SPY — run the conversion at 3:00–3:05 PM CT, after settlements are published. Using a price from 2 PM CT or from a different day's close will introduce a systematic basis into your calculation. The converter on this site uses ratios refreshed hourly; for end-of-day work, a manual refresh around 3 PM CT is prudent.

How to Find the Official ES Settlement

CME publishes daily settlement prices for all equity index futures at cmegroup.com → Products → Equity Index → E-mini S&P 500 → Settlement. The data is typically posted by 4:30 PM CT.

Most data vendors (Bloomberg terminal: ESH6 Index PX_SETTLE, Refinitiv, barchart.com) carry it directly. If you trade through a prime broker, your daily statement will show the settlement explicitly as the end-of-day mark for each open futures position.

Settlement in Different Contract Months

Only the front-month contract has high liquidity in the 30-second settlement window. Back-month contracts (e.g., ESU6 when ESM6 is front month) may have sparse activity, pushing CME toward the bid/ask midpoint fallback. If you hold deferred-month ES contracts, your settlement may be slightly wider from fair value than a front-month holder experiences.