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I have been working on the crude oil futures data and have a couple of questions.

There are contracts in which the open,high are empty but the low,close price is available. And in some cases none of them are there. But in all cases the settle price is available.

Price for May 20 to Sep 21 on 16/07/2019 : View Image

Price for May 20 to Sep 22 on 15/07/2019 : View Image

Would like to know how this is possible and the reasons for those null values.

Thanks

  • Bad data from the provider? – Bob Baerker Jul 17 '19 at 14:00
  • (How) Is this question about personal finance and money? – user71981 Jul 17 '19 at 14:35
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    @BobBaerker How can this be from a provider , given that the screenshots are from the official CME data on their website? – TomTom Jul 17 '19 at 14:57
  • And you think that it's impossible for an exchange to put out bad data? They too have computer glitches. – Bob Baerker Jul 17 '19 at 15:12
  • @BobBaerker the possibilities are less for the official providers to give out bad data. There might be some technical reasons as to why the data is missing. – Akshay Ramanujam Jul 18 '19 at 4:45
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There is no provider, its from the exchange. Its not likely to be the exchange, they don't make mistakes often.

I suspect that what is happening is that there are no trades on those contracts for that day. The open is yesterday's close (or something similar), and they have chosen to show the open as the low (presumably because the entire strip is going down).

For this specific contract, I went to

https://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude.html

and found this

Settlement prices on instruments without open interest or volume are provided for web users only and are not published on Market Data Platform (MDP). These prices are not based on market activity.

It makes sense that there are no settlement prices where there is no open interest (there are no positions to mark to market).

There can be a settlement price even if there are no trades (depending on the contract) for some futures contracts, but not all, even if there is no open interest. This is to allow more gradual changes in variation margin for open positions. However, you would have to look at the contract terms to discover how this might happen in this specific case.

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