EOD Position Analysis - Mark or Last Trade?

R

rukuz

The difference between the EOD Mark price vs. Last Trade price can be quite different (especially over the weekend). I'm curious as to what everybody is using and what your reasoning is behind one or the other. I've been using the EOD Mark price; however, with my current straddle, the EOD Mark shows a loss, while the last trade this friday shows a decent gain...

Cheers
 
I use theo price. no exception. last can be retail buying at ask or sale at bid. Mark is usually very close to theo price.
 
not necessarily, in ES options, the Mark used by TOS is the "theo" price between the bid and ask....however some of the options show a bid of 0 ask of 10 so the mark is 5 (sometimes the spread is even wider). Especially if there is very little volume that day. The "true" mark once regular trading hours begins is often much closer to the 10 than the 0 but you don't know what it will be. It probably doesn't matter except for personal trading logs but I would use the last trade of the day. Or if that seems bogus take the average trade.
 
Quote from rukuz:

The difference between the EOD Mark price vs. Last Trade price can be quite different (especially over the weekend). I'm curious as to what everybody is using and what your reasoning is behind one or the other. I've been using the EOD Mark price; however, with my current straddle, the EOD Mark shows a loss, while the last trade this friday shows a decent gain...

Cheers
More...

For ES FOP's, the brokers mark to the SP FOP's for accounting and margin purposes. So, the last trade for the ES FOP's is rarely the mark price. I use the Mark price to valuate my trades.
 
In options on futures, the only meaningful EOD price is the "settlement" price, which is an officially-determined price that lies somewhere between bid and ask and leaves no risk-free arbitrages.

The "last" price is pretty meaningless, as it may have occurred hours before the close when the underlying was at a completely different price.

The settlement price has official status and is used by the SPAN risk-based margining system (which is used by almost every futures exchange in the world). The settlement prices on the last trading day of the year are used for tax purposes too.

As far as I know there is no equivalent to the "settlement price" in options on stocks. You have the last trade (which also may have occurred hours before the close), and the bid and ask. The "mark" price is simply the average of the bid and ask prices. That would seem to me the most realistic price to use.
 
Quote from dmo:

In options on futures, the only meaningful EOD price is the "settlement" price, which is an officially-determined price that lies somewhere between bid and ask and leaves no risk-free arbitrages.

QUOTE]
dmo...
when and where is the settlement price published? thanks
More...
 
QUOTE]
dmo...
when and where is the settlement price published? thanks [/B][/QUOTE]

The settlement prices are published by the exchanges and are available on their websites. They are also available from data services such as DTN IQ, e-signal, etc. If you have a position, the settlement price is the price that should appear on your statement.

So be VERY careful that you're getting the SETTLEMENT price and not "last" or "close" price. Very big difference.

So yesterday's settlement prices are easily available, but historic settlement prices are hard to get. Most data services (I use DTN IQ) only have access to the time and sales data going back. That will give you "last" or "close" price (same thing), and is usually good enough for futures. But for options, it unfortunately yields useless information.

If you need historic settlement prices, there are two possibilities I know of. You can buy the info from the exchange. That may be expensive. Or you can extract it from SPAN files if you have the SPAN software or you're a smart IT type.

The SPAN files on almost all futures/options contracts are available for FTP download from the CME (which developed SPAN) and from the exchanges themselves. They contain all the settlement data. I think they have most of them from the beginning of 2006.

If anyone out there is an IT guru and looking for a product to produce - there may be a market for a product that extracts settlement data from SPAN files. I'd be your first customer - I'm really frustrated by my inability to get historic settlement data.
 
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