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Settlement is not the close: how CME prices the NQ settle, and why sources disagree

By Author of ORDER FLOW — Market Mechanics

Look up when the NQ settlement is calculated and you will find at least three different time windows, some of them on CME's own pages. Only one of them is in force.

Three prices, one word

According to CME's published trading hours, NQ trades from 17:00 to 16:00 the next day, Chicago time (CT), with a one-hour pause in between. The regular session, the part that lines up with the US cash market, ends at 15:00 CT, which is 16:00 in New York. Trading then carries on for another hour.

So “yesterday's close” can mean the last trade when the regular session ended, the last trade of the full trading day at 16:00 CT, or the settlement: an official daily price that CME derives from the final thirty seconds of the regular session.

Regular session Trading continues Pause Chicago (CT) New York 08:30 09:30 15:00 16:00 16:00 17:00 17:00 18:00 Settlement: VWAP 14:59:30–15:00:00 CT 21,415.50 Last price at 15:00 CT 21,414.25 Last price of the session, 16:00 CT 21,408.25
Schematic of the NQ trading day and the three prices that can be shown as its close. Chicago and New York time. Prices are illustrative.

The procedure in force

CME's daily settlement procedure for the E-mini Nasdaq-100, checked on 2 October 2026, works in tiers. If the lead month trades between 14:59:30 and 15:00:00 CT, it settles to the volume-weighted average price (VWAP) of those trades. If nothing trades in that window, it settles to the midpoint of the bid and ask during the window. If there is no two-sided market at all, the settlement is derived from the cash index with a cost-of-carry calculation.

The second month is derived from the lead month through the calendar spread, later months through the carry calculation, and the Micro contract settles to the same price as the E-mini. Expiration is a separate matter: the final settlement of a quarterly contract uses a special opening quotation of the index, not a thirty-second average.

NQ settlement window, Chicago time (CT) 21,414.00 21,415.00 21,416.00 21,417.00 14:59:30 14:59:45 15:00:00 Settlement (VWAP) 21,415.50 Last price 21,414.25 Circle size: contracts Same 30 seconds, two prices: 1.25 points (5 ticks) apart.
Schematic of the settlement window. Each circle is a lead-month trade, sized by contracts. Values are illustrative.

An average and a last trade only agree when price sits still. In the schematic price drifts lower through the window, so the settlement lands at 21,415.50 while the last trade prints 21,414.25: 1.25 points, 5 ticks, apart. The average weighs everything that traded in the window; the last trade reflects whatever happened to cross at the end.

Where the other windows come from

A rule that changed. Until October 2020 the settlement window for CME equity index futures was 15:14:30–15:15:00 CT. An exchange notice that September moved it, from 26 October, to 14:59:30–15:00:00 CT, so that it now ends when the cash market closes. Anything written before then quotes the old window correctly for its time, and anything copied from it still repeats that window. The same 15:15 CT figure survives in some chart templates as the end of the regular session, which moves the prior-day high.

Documentation that did not follow. CME's introductory course on equity index settlement, checked on 2 October 2026, still places the E-mini Nasdaq-100 average between 15:14:30 and 15:15:00 CT. The procedure pages for the contract give the current window. When two pages from the same exchange disagree, the procedure is the one that governs.

Time zones left implicit. The same thirty seconds are 15:59:30–16:00:00 in New York. Written without a zone, that reads as an hour later than the Chicago figure, and the two versions look like a contradiction when they are the same instant.

Generic descriptions. Explanations of settlement in general often mention an average of the last several minutes or of the final trades. Some markets work that way. NQ does not.

Which price your chart calls the close

An intraday candle is built from trades, the same trades a footprint attributes to buyers or sellers, so its close is always a last trade. The settlement is not a trade, and it cannot be the close of an intraday bar. Daily bars are where charts differ: depending on the platform and its settings, the daily close may be the settlement or the last trade of the day, and a single platform can use one on the daily chart and the other intraday.

The check takes a minute. Compare your chart's daily close with the settlement CME publishes on the contract settlements page for that day and that contract month. Continuous charts add one more wrinkle: when the lead month rolls, many of them adjust earlier prices to remove the jump, and after that adjustment an old settlement plotted on the continuous series no longer matches the published figure.

The reference changes the gap

The book places the settlement in chapter 5, among the levels marked before the footprint is opened, because it is one of the references that nobody draws: the market's own mechanics produce it, and anyone with the same data gets the same number. That makes it objective, though still only one of several closes, and the difference shows up in the most routine measurement of the morning.

Next regular-session open 21,440.00 From the settlement +24.50 points From the last price at 15:00 CT +25.75 points From the last price at 16:00 CT +31.75 points 21,400.0021,410.0021,420.0021,430.0021,440.00 One open, three different gaps: the size of the gap depends on which price is taken as the close.
Schematic of one opening price measured from three references of the previous day. Prices are illustrative.

With the next regular session opening at 21,440.00, the gap is +24.50 points from the settlement and +31.75 from the last trade of the day. Both statements are accurate. “Opened with a gap of so many points” is incomplete until it names the reference, and like the swing threshold behind a delta divergence, the reference is a choice the reader makes, best made before the session starts.

Limits

Thirty seconds is a small sample. On a quiet close, a handful of fills decide the number. It is an official price, not a zone of agreement built over hours.

Objective is not the same as relevant. Everyone seeing the same level does not mean price will react there. Plenty of sessions cross it without the flow recording anything unusual.

Roll days. Around the roll, the settlement of the old contract and the new one are different figures. A level taken from the wrong month is displaced by exactly the spread between them. The same displacement is why a naked POC depends on the contract it is read on.

Special schedules. Holidays and shortened sessions change the calendar. Check the exchange notice for the day rather than assuming the usual window.