Explain ES Futures Options settlement procedure to me

B

beefcaketrade

How does the weekly expiring futures options work for ES?

Lets take today's weekly expiration, Feb 20th. The contract month is March contract.

How is the settlement price determined in terms of whether the weekly Feb 20th option is ITM, ATM or OTM?

For cash settlement of the futures contract itself at the end of the contract month, there is an algorithm that calculates prices at the expiration date during the market opening. But I am not finding info describing how CME futures options work especially for weekly options.

I suppose it is based on the daily settlement price? So whether someone is ATM, ITM, or OTM is based on the procedure used to calculate the daily settlement? So can you give me an example how its done?

On IB, it states that the expiration is 16:15 CST or 5:15pm EST. So is it based on the ES price of the close as of 4:00 EST? Or the ES price as of 5:15 EST? Or is it based on a calculated settlement ES price that isn't known in real time? So how do you know if your option is ITM or not?
 
beefcaketrade said:
How does the weekly expiring futures options work for ES? Lets take today's weekly expiration, Feb 20th. The contract month is March contract. How is the settlement price determined in terms of whether the weekly Feb 20th option is ITM, ATM or OTM? For cash settlement of the futures contract itself at the end of the contract month, there is an algorithm that calculates prices at the expiration date during the market opening. But I am not finding info describing how CME futures options work especially for weekly options. I suppose it is based on the daily settlement price? So whether someone is ATM, ITM, or OTM is based on the procedure used to calculate the daily settlement? So can you give me an example how its done? On IB, it states that the expiration is 16:15 CST or 5:15pm EST. So is it based on the ES price of the close as of 4:00 EST? Or the ES price as of 5:15 EST? Or is it based on a calculated settlement ES price that isn't known in real time? So how do you know if your option is ITM or not?
More...
Seek and Ye shall find:
http://www.cmegroup.com/trading/equ...tml?optionProductId=2916#optionProductId=2915

http://www.cmegroup.com/trading/fixing-price.html?tabs=20
 
Thanks. The time fixing is useful.

Actually your first link goes to weekly options.

As for today specifically, even though it is also a weekly, but it is an american style option. The code is ES not EW. So it is setlled based on SOQ? Thats why its so confusing. Today is opex for equities, but for futures it is not the contract month expiration.

Normally weekly options have a EW code.

So for options expiring today, how was it calculated? For weekly options they say the last 30 seconds before close. For american style options the say SOQ. So which is it for today?
 
beefcaketrade said:
Thanks. The time fixing is useful. Actually your first link goes to weekly options. As for today specifically, even though it is also a weekly, but it is an american style option. The code is ES not EW. So it is setlled based on SOQ? Thats why its so confusing. Today is opex for equities, but for futures it is not the contract month expiration. Normally weekly options have a EW code. So for options expiring today, how was it calculated? For weekly options they say the last 30 seconds before close. For american style options the say SOQ. So which is it for today?
More...
If your option is an American ES ticker, it's not a weekly. It's a Feb15 expiry serial (ESG15). Switch the type at the top of the page and you'll find the instructions, which state that it's SOQ:

http://www.cmegroup.com/trading/equ...html?optionProductId=2916#optionProductId=138
 
IB names stuff in their own convention sometimes.

Today, Feb 20th 2015 expiration, it is an american style option. So is this based on SOQ or last 30 seconds VWAP? Specifically for today's expiration....?
 
You shouldn't be asking this question on a forum, but really should speak to your broker.

Reading the instructions given in the link above carefully, for serial options such as yours it should be last 30 sec VWAP. I urge you to confirm this w/your broker or the exchange, however.
 
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