Futures Close definition
Futures Close or “Futures Close(t)” means in respect of any date(t), the sum of the SPX Level and the Futures Basis TWAP.
Futures Close means, in respect of a Futures and an Index Calculation Date, the sum of (i) the Underlying Close on such Index Calculation Date and (ii) the Basis TWAP in respect of such Futures and such Index Calculation Date. The Futures Close is the hypothetical “closing” price for the relevant Futures.
Futures Close means, in respect of a Futures and an Index Calculation Date, the sum of (i) the Cash Close in respect of such Index Calculation Date and (ii) the Basis TWAP in respect of such Futures and such Index Calculation Date.