Daily Settlement Price
The official closing price established by the exchange each session, used to calculate mark-to-market P&L and margin requirements.
The daily settlement price is the official price the exchange assigns to each futures contract at the end of each trading session. It is used to calculate each account's mark-to-market gain or loss and to assess whether maintenance margin thresholds have been breached.
For CME equity futures, the settlement price is typically derived from a volume-weighted average of trades in the last 30 seconds of the regular session (3:15 PM CT for ES). It is not simply the last trade price, so it can differ slightly from the 4:15 PM electronic close.
Understanding the settlement price matters when evaluating open P&L vs. realized P&L and when assessing overnight margin requirements.