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Where the NQ regular session ends, and why it moves the prior-day high

By Author of ORDER FLOW — Market Mechanics

The prior day's high and low are among the first levels marked before an index futures open. They look like the most objective numbers on the map, until two charts of the same contract show them at different prices. One reason can be a quarter of an hour: where each chart ends yesterday's regular session.

CME does not publish a regular session for NQ, and sources fill the gap with 15:00, 15:15 or 16:00 CT. The 15:15 figure belongs to two exchange procedures that no longer exist.

What CME publishes

According to CME's published trading hours, NQ trades Sunday to Friday from 17:00 to 16:00 CT the next day, with a halt from 16:00 to 17:00 CT. That page defines no regular session. The regular session is a market convention: the hours that line up with the US cash market, 8:30 to 15:00 CT, which is 9:30 to 16:00 in New York.

The nearest thing to an official anchor is the daily settlement. CME computes it from the thirty seconds that end at 15:00 CT, so the exchange's own reference price for the day is fixed at the same moment as the cash close. Trading in the futures then carries on for another hour.

The book's glossary uses the cash-hours window, and defines the prior-day high and low, the PDH and PDL, as the high and low of the previous day's regular session. Chapter 5 places them among the levels marked before the footprint is opened, next to the volume profile, the settlement, VWAP, the overnight range and the prior week's extremes.

Three end times in circulation

Guides to futures hours, chart session templates and glossaries do not agree on where that session ends. Most of those checked for this page give 15:00 CT. Some give 15:15 CT and describe it as a convention. At least one platform's regular-hours template runs to 16:00 CT, the end of CME's trading day.

Ending at 15:00 CT keeps only the hours the cash market shares. A 15:15 end adds the first quarter of an hour after the cash close, and a 16:00 end the whole post-close hour, which on some days carries a late move or the reaction to news published after the stock market shut.

The same afternoon with three end times 8:3010:0011:3013:0014:3015:0016:00 CT Session ends 15:00 CT PDH 21,456.25 · set by the 10:15 bar Session ends 15:15 CT PDH 21,461.50 · set by the 15:00 bar Session ends 16:00 CT PDH 21,468.75 · set by the 15:30 bar The bars do not change. Each end time decides which bars count as yesterday.
Schematic of one NQ session in 15-minute bars, in Chicago time (CT); New York is one hour later. The three rows apply three end times to the same bars. Prices are illustrative.

In the schematic, the high from 8:30 to 15:00 CT is 21,456.25, set in the 10:15 bar. Ending the session at 15:15 CT adds the 15:00 bar and lifts the prior-day high to 21,461.50, 5.25 points higher. Running it to 16:00 CT adds the 15:30 bar and gives 21,468.75, 12.50 points above the first, with the same bars throughout.

Where 15:15 comes from

Until October 2020, CME computed the daily settlement of its equity index futures from trades between 15:14:30 and 15:15:00 CT. An exchange notice moved that window to 14:59:30–15:00:00 CT from 26 October 2020, so that it ends with the cash close. The page on why the settlement is not the close covers the procedure in force.

Separately, these contracts used to pause every day from 15:15 to 15:30 CT. A second notice removed the pause from 28 June 2021, on the grounds that it had been kept for transactions in the trading pits. The notice refers to CME and CBOT equity futures and options as a group without listing contracts; CME's current hours for NQ show no pause.

What happened at 15:15 CT, and what happens now cash close Before 26 October 2020 pause 15:15–15:30 settlement window 15:14:30–15:15:00 From 26 October 2020 pause 15:15–15:30 settlement window 14:59:30–15:00:00 From 28 June 2021 no pause settlement window 14:59:30–15:00:00 14:4515:0015:1515:3015:45 CT Both events that once sat at 15:15 CT are gone. The cash close at 15:00 CT has not moved.
Schematic of the 14:45 to 15:45 CT window under three schedules, drawn from CME's notices and its current trading hours. Times in Chicago (CT).

So 15:15 CT once marked two real events in the NQ day, and neither remains. A template or a guide that still ends the regular session there carries an old schedule forward, and a chart built on it counts fifteen minutes of trading that happened after the cash market closed.

What else moves with it

The end time is one choice among several. A daily bar built on CME's trading day, 17:00 to 16:00 CT, also counts the night before and the hour after the cash close. A calendar day, midnight to midnight in New York, leaves out the early evening and counts the next evening instead.

One trading day, three yesterdays halt day before day D 17:0023:008:3015:0017:0023:00 CT Regular session 8:30–15:00 CT PDH 21,456.25 bar at 10:00 CT Globex trading day 17:00 CT the day before to 16:00 CT PDH 21,468.75 bar at 15:30 CT New York calendar day 23:00–23:00 CT (midnight to midnight in New York) PDH 21,477.00 bar at 20:00 CT Same bars in every row; only the hours that make up day D change.
Schematic of one NQ trading day in 30-minute bars, in Chicago time (CT). The three rows apply three definitions of yesterday to the same record. Prices are illustrative.

In this second schematic, the regular session gives a prior-day high of 21,456.25, the Globex trading day 21,468.75 and the New York calendar day 21,477.00. The same choice sets the overnight range and decides whether a night-session touch counts as filling a naked POC. Picking the price a chart shows as yesterday's close is a decision of the same kind.

Fixing the setting

The book takes the cash-hours window, 9:30 to 16:00 in New York, and states in its glossary that every threshold and working reference in it is calibrated on that range. Whatever window a reader picks, the useful discipline is to use the same one for the prior-day high and low, the Initial Balance, the session profile and the session VWAP, and to keep it from one day to the next.

Checking which window a chart uses does not require its documentation. Look at the last bars the chart assigns to yesterday's session. If a bar that starts at 15:00 CT is inside it, the session runs past the cash close; if the session's first bar starts at 17:00 CT the evening before, the chart is using CME's trading day. The prior-day low follows the same rule as the high, in the other direction.

Limits

A convention, not a rule. No exchange document sets the end of the regular session for NQ, so no end time is wrong in itself. The error is comparing levels built with different ones, or switching templates from one day to the next.

Holidays and early closes. On shortened sessions CME's calendar changes, and the regular session may end early or not exist at all.

Clock changes. Chicago and New York change their clocks on the same dates, so times in CT and ET keep the same one-hour gap. Europe changes on different dates, and for a few weeks each year the regular session opens and ends an hour earlier than usual on a London clock.

What the line cannot say. The book treats the PDH as a level where orders are likely to be resting, and says what happens there has to be read in the footprint. That reading depends on what the footprint's data can attribute, not on the line.