Spx options settlement today

luisHK · Mar 21, 2014

Hi

Anybody can explain how come the SPX seems to have settled at 1893.30 this morning, when the ES never neared that price ?

http://www.cboe.com/data/Settlement.aspx

I had 8 SPX 1865 short calls from a calendar spread expiring today, and according to TWS I lost according to that settlement price.

Also when is last available time to rollover SPX options ?

Actually it's just part of my losses today - despite beeing net long

- but still upstet I left over 10k messing with this spread

FSU · Mar 21, 2014

luisHK said:
Hi

Anybody can explain how come the SPX seems to have settled at 1893.30 this morning, when the ES never neared that price ?

http://www.cboe.com/data/Settlement.aspx

I had 8 SPX 1865 short calls from a calendar spread expiring today, and according to TWS I lost according to that settlement price.

Also when is last available time to rollover SPX options ?

Actually it's just part of my losses today - despite beeing net long - but still upstet I left over 10k messing with this spread

Wow! That's the craziest mark I've seen in a long time. I learned a long time ago never be short options going into the morning mark. The print is based on the opening prices of the SPX stocks, so the June ES futures don't need to be there, but still wow!

You can trade the expiring options until Thursday at 315 central.

luisHK · Mar 21, 2014

FSU said:
Wow! That's the craziest mark I've seen in a long time. I learned a long time ago never be short options going into the morning mark. The print is based on the opening prices of the SPX stocks, so the June ES futures don't need to be there, but still wow!

You can trade the expiring options until Thursday at 315 central.

Wow indeed , and thanks for your reply, I got confused with the expiration time.
But what about the ES March prices ? I thought ES March closing price would match SPX, tws shows a closing at 1881.75
Did ES March also settle at 1893.30 ? That's 0.61% and 9240usd difference on 8 contracts

FSU · Mar 21, 2014

luisHK said:
Wow indeed , and thanks for your reply, I got confused with the expiration time.
But what about the ES March prices ? I thought ES March closing price would match SPX, tws shows a closing at 1881.75.
That's 0.61% and 9240usd difference on 8 contracts

The March ES future will settle at the same price as the index settlement. Perhaps they are showing the last price traded?

This is about 14 points higher than you would have thought it would be. I learned my lesson many years ago about the risk of this settlement.

optstack · Mar 21, 2014

To calculate SET, the index was calculated as if each of the 500 stocks in the index were trading at its individual opening price for the day â simultaneously. This is an imaginary number. All stocks do not open at the same time.

For instance, if there is buying pressure at the opening, buyers exceed sellers and the opening price of each stock is relatively high, though it usually reverses direction when the buying pressure disappears. However, it is only that initial âhighâ opening price that is used to determine SET. Thus, SET is skewed because most stocks open with that buying pressure.

When buyers back off after the opening, the market tends to back off a little. Some stocks have not yet opened and there is probably still an order imbalance for them. As a result they open at those higher prices.

When all those highs are thought to have been occurring at the same time, SET is high â often significantly higher than SPX prices that everyone can see. Itâs not rare to see SET exceed the dayâs high by many points â or many hundreds of dollars per option.

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BattleTested · Mar 21, 2014

The E-mini and the larger contracts are based on the same underlying index (e.g., S&P 500, S&P MidCap 400, NASDAQ-100 and S&P SmallCap 600).
The E-mini and the larger contracts are cash-settled to the same index values on quarterly expirations (the Special Opening Quotation).

QUARTERLY OPTIONS - Unexercised in-the-money options will be automatically exercised at 7:00 p.m. on the day of determination of the Final Settlement Price.
In-the-money QUARTERLY OPTIONS, in the absence of contrary instructions delivered to the Clearing House by 7:00 p.m. on the day of the expiration, are exercised automatically into expiring cash-settled futures, which settle to the SOQ calculated the morning of the 3rd Friday of the contract month.

http://www.cmegroup.com/education/files/understanding-the-soq.pdf

Too bad you learnt this the hard way

luisHK · Mar 21, 2014

Thanks all for your replies.
I actually should have learned this before but I guess the settlement price wasn't far enough for me to notice or remember the warning.
I should remember this time .

lassic · Mar 21, 2014

regular monthly SPX options are a pain in the butt, wide spreads, hard to fill between and the silly opening settlement in which the index never trades at

SPX weeklies are somewhat better with tighter spreads due to they trade on a "hybrid electronic" market and settle every Friday at the close

need to get rid of the cboe floor and go full electronic

newwurldmn · Mar 21, 2014

lassic said:
regular monthly SPX options are a pain in the butt, wide spreads, hard to fill between and the silly opening settlement in which the index never trades at

SPX weeklies are somewhat better with tighter spreads due to they trade on a "hybrid electronic" market and settle every Friday at the close

need to get rid of the cboe floor and go full electronic

you can trade on the mid in the SPX. The screens don't mean anything. You can trade 1000's of contracts 5 cents inside the mid if you wanted to (and remember it's an 1800 point index). The only problem with the screens is that they obfuscate the vol price a little.

RichardRimes · Mar 21, 2014

luisHK said:
Hi

Anybody can explain how come the SPX seems to have settled at 1893.30 this morning, when the ES never neared that price ?

http://www.cboe.com/data/Settlement.aspx

I had 8 SPX 1865 short calls from a calendar spread expiring today, and according to TWS I lost according to that settlement price.

Also when is last available time to rollover SPX options ?

Actually it's just part of my losses today - despite beeing net long - but still upstet I left over 10k messing with this spread

Luis...agree it was a crazy settlement...its been a long time since it was that far out of whack. When I was trading SPX I got burned a number of times with this type of bogus SET number, I truely believe something is fishy about the whole SET business. That is why I switched to futures options...although they have their own crazyness at least settlement is much more transparent. When you trade the SPX you absolutely, without fail must close/roll out on Thurs by EOD. sorry for the loss hope it wasn't too bad.