SPX Option expiration

B

ben111

Hello,

what expiration date is used to calculate the greekr & IV of SPX options?
Last trading day is normally the thursday; settlement value is calculated at friday opening. What is the exact expiration? Thursday, friday, saturday?

Thanks for your help!
 
The answer is “it depends”. In fact there is no true exactly correct answer, the only thing that needs to be taken into consideration is that you are always consistent in the day you use. If you price to Friday then always price to Friday , if you price to Thursday’s close then always price to that day. Since you’re not trading OTC and agreeing on other variables such as IV all you need to do is be consistent. We generally price to Thursday’s close but we know that there is the potential for a large gap on Friday open but we generally make sure we have no open short options anywhere near the Thursday close. We are also consistent in making sure we have the same Thursday date in our model. Just a note but there are Friday holiday’s which move the date again.
 
Hello xflat,

thanks a lot for your answer.

So when trading different expirations (eg calendar spread) you also would take the same date: thursday-thursday, friday-friday, ...
 
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