This explains them: http://www.tradeking.com/AdTrack/TYO0508FR0FR010/FRO
This is pretty useful in understanding them: http://www.tradeking.com/AdTrack/TYO0508FR0FR010/FRO
This is my attempt to summarize: http://www.tradeingroups.com/amex-fro-settlement-index-vwap/
If they did it based on closing price, seems it would be simple to manipulate it one penny in either direction. Question is has anyone tried it...
The settlement index is designed to take an average price on the day your option expires. Since you are either 'in-the-money' or...
I did some research and put together a summary of FROs for anyone who is interested....
Separate names with a comma.