Question for ETF experts... help.

Quote from rmorse:

It was my understanding before me looking into it, that the last sale at 4pm, with up to a 90 second runoff, at the primary exchange (NYSE AMEX), was the close. When I called the OCC, they told me I was wrong. They told me they changed to the composite. I asked for him to confirm that with someone else on the customer service desk, and he did. So, before the call I agreed with you.

Bob
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It has been 2 years since I had my sleeves rolled up and was in this stuff day-to-day. That's an interesting change - thanks and I stand corrected!

So we are all on the same page Composite = Consolidated Tape?

Still with 90sec runoff or just last print from 3:59:59.99999999 with a 4:00pm cutoff?
 
Quote from WinstonTJ:

It has been 2 years since I had my sleeves rolled up and was in this stuff day-to-day. That's an interesting change - thanks and I stand corrected!

So we are all on the same page Composite = Consolidated Tape?

Still with 90sec runoff or just last print from 3:59:59.99999999 with a 4:00pm cutoff?
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I think SPY trades until 8PM NYSE time.... correct me if I'm wrong.

Don
 
Quote from Don Bright:

I think SPY trades until 8PM NYSE time.... correct me if I'm wrong.

Don
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Yes SPY trades till 8 on ARCA and NASDAQ. They would not use "after hours" trades for this though.


What's the question now exactly? A broker can use whatever he thinks is best as closing price to determine automatic exercise, can't he? In that case you should be asking him.
From that article it sounds like the OCC used to use the last print before 4:00 (no matter the exchange) as the closing print. But the other poster is saying they told him they no longer do that, correct?
Yahoo and Google might use something else in their stats.
 
Another expiration and still no answer to the question: Who determines the final closing price for SPY on expiration? And when. We have gone through OCC, CBOE, SEC etc. with no valid answers.

Again, any help will be appreciated.

Don :confused:
 
Quote from Don Bright:
----still no answer....
----Who determines....
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Do you have any "connections" at GS, MS, Citadel, Fidelity or any Pit Committees at the CBOE? :confused:
 
Quote from nazzdack:

Do you have any "connections" at GS, MS, Citadel, Fidelity or any Pit Committees at the CBOE? :confused:
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Contacted all of the above, (except maybe Citadel).. and still no definitive answer.

The SP prospectus says closing price is between the bid and ask spread at the close of business (a bit vague obviously since spreads can certainly vary)... and "which" close of business? The primary close at 4PM or the extended hours composite at 8PM.

Just weird that all these professionals cannot answer the question. The biggest trading vehicle on the planet pretty much.

A lot of "answers" but nothing to risk $millions on yet.

Thanks for the help, anything else ??


Don
 
I'm no expert but I think you are having trouble because your question is unclear.

Are you asking "what is the price of SPY used to determine if my option is auto-exercised?"

If yes, I believe that will be determined by the broker or OCC, whoever is doing the auto-exercising. My guess is, for SPY they will use the ARCA closing auction print that happens at 16:00:00 or within the next few seconds because SPY is listed on ARCA. ETFs listed on NASDAQ probably use the NASDAQ closing cross at 16:00. Yahoo and Google Finance might not list these close prices exactly the same because they might use the first print after 16:00 or last print before, or either cross, or who knows.

For example, yesterday the closing prices for SPY were:

NASDAQ closing cross 122.17
ARCA closing auction 122.15
Yahoo finance historical prices 122.18
Yahoo finance prev close 121.40 (accounting for 0.7701 cent dividend)
Google finance historical prices 122.15
 
Thanks, but what you posted actually shows the problem. If I'm short 122 calls, the ARCANYSe close is 121.94, but they trade up to 122.08 between 4PM and 8Pm... and (after calling) the OCC says "the S&P company determines the pricing" - but no actual algo or anything.

The S&P prospectus says a whole bunch of "stuff" but, again, nothing real specific.

For example: The value of the Portfolio is determined by the Trustee in good faith in the following manner. If Portfolio Securities are listed on one or more national securities exchanges, such evaluation is generally based on the closing sale price on that day (unless the Trustee deems such price inappropriate as a basis for evaluation) on the
exchange which is deemed to be the principal market thereof or, if there is no such
appropriate closing price on such exchange at the last sale price (unless the Trustee
deems such price inappropriate as a basis for evaluation).

I'll take some snapshots today (if we close right near 122 again)... and compare with our exercises.

Thanks everyone...

Don
 
Quote from monstimal:


http://www.theocc.com/webapps/infomemos?number=24623&date=200807

Don,

This link above is your answer. Last sale from an exchange, at 4pm, the composite closing price. It's very clear about the rule. If your pricing service includes other prints, like from ECNs, you'll have to look elsewhere for the close. Yahoo Finance is accurate. I used to use microhedge, their data provider is spot on. When I used RediPlus, their data provider included ECNs.
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Quote from Don Bright:

Thanks, but what you posted actually shows the problem. If I'm short 122 calls, the ARCANYSe close is 121.94, but they trade up to 122.08 between 4PM and 8Pm... and (after calling) the OCC says "the S&P company determines the pricing" - but no actual algo or anything.

The S&P prospectus says a whole bunch of "stuff" but, again, nothing real specific.

For example: The value of the Portfolio is determined by the Trustee in good faith in the following manner. If Portfolio Securities are listed on one or more national securities exchanges, such evaluation is generally based on the closing sale price on that day (unless the Trustee deems such price inappropriate as a basis for evaluation) on the
exchange which is deemed to be the principal market thereof or, if there is no such
appropriate closing price on such exchange at the last sale price (unless the Trustee
deems such price inappropriate as a basis for evaluation).

I'll take some snapshots today (if we close right near 122 again)... and compare with our exercises.

Thanks everyone...

Don
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The closing price is not chosen by the trustee. It's chosen by occ rules.
 
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