How are CBOE SPX PM-settled options settled if the S&P 500 is limit down at the time of expiration, i.e. a 20% Level 3 circuit breaker is tripped and all trading has halted? Do they settle as usual using the frozen limit price as the index price, or are there alternate procedures in place? Did some serious googling and couldn't find anything on this admittedly arcane but possible scenario.
How are CBOE SPX PM options settled when limit down at expiration?
- Thread starter Sig
- Start date
rmorse
Sponsor
http://www.sec.gov/investor/alerts/circuitbreakersbulletin.htm
"A market decline that triggers a Level 1 or Level 2 circuit breaker before 3:25 p.m. will halt market-wide trading for 15 minutes, while a similar market decline “at or after” 3:25 p.m. will not halt market-wide trading. A market decline that triggers a Level 3 circuit breaker, at any time during the trading day, will halt market-wide trading for the remainder of the trading day."
With regard to your questions, it is my expectation, that the SPX would settled based on the last sale of the component stocks. That sale does not have to be at 4pm.
"A market decline that triggers a Level 1 or Level 2 circuit breaker before 3:25 p.m. will halt market-wide trading for 15 minutes, while a similar market decline “at or after” 3:25 p.m. will not halt market-wide trading. A market decline that triggers a Level 3 circuit breaker, at any time during the trading day, will halt market-wide trading for the remainder of the trading day."
With regard to your questions, it is my expectation, that the SPX would settled based on the last sale of the component stocks. That sale does not have to be at 4pm.