Every weekend figure on an index perp is a change from somewhere. On Trader the label reads since the cash close. Two questions sit inside those four words: which close, and whose price at that close. The answers decide whether the number is a clean move or a move with something else mixed in.
Which close
The close is the bell of the last regular cash session. On a normal day that is 4:00pm Eastern. On an early close it is 1:00pm. After-hours trading in SPY does not shift it, and neither does the later stop in futures. The regular close is the reference every gap is measured from, as the SPY overnight gap sets out, so the perp’s move is measured from the same moment.
Whose price
The obvious method is to take the perp’s price now and compare it with the index’s closing value. That method has a flaw. A perp does not trade exactly on top of the index. It has a mark price, which is what the perp trades at, and an oracle price, which is the reference it follows. The difference between them is the premium, and it can sit there for hours.
Compare the perp with the index’s close and you get two things added together: the move since the bell and whatever standing difference the perp carried at the time. You cannot pull them apart afterwards.
So the measure uses the perp’s own price at the bell. Perp now against perp then. The standing difference is in both numbers and drops out. What is left is how far that one market has traveled since the stock market shut. The index price behind a perpetual explains why a perp and its reference are two prices and never one.
The candle that ends at the bell
The anchor is read from the 15-minute candle that ends at the close. Its last price is the perp’s print at the bell. That is a traded price in the same market at the moment the cash session ended. Nothing is borrowed from another instrument, and nothing is estimated between two readings.
When there is no print
A market can go quiet and a feed can miss a candle. If the perp has no print at the bell, there is no figure. The slot stays empty. Reaching back for an earlier price would fold part of the cash session into the weekend move. The result would carry a decimal point and describe nothing a trader could use.
An empty slot is the more useful answer. It tells you the measurement could not be made, which is a fact. A filled slot built on the wrong start point tells you something false with the same confidence as a true reading.
What the label does and does not promise
Since the cash close promises three things. The start point is the regular close. Both ends of the measurement come from the same market. A missing start point produces a blank. It promises nothing about Monday. The figure is a market price on another venue, the frame laid out in the implied open.
The Trader dashboard shows this figure for the S&P 500 perp and the Nasdaq 100 perp whenever the cash market is shut. The seven largest index names are measured from the same anchor, each against its own print at the bell.