"Whenever they feel like it?" I've never glued it down, but it's always seemed like a variable thing happening within the next 24 hours -- at least when it's hits an IB TWS Portfolio page.
Yesterday was the last day to trade the weekly options. The expiration price is based on the opening prices this morning of the Sept 28th SPX options. The settlement price is posted shortly after the opening. 12.28 was the settlement price.
Is it possible for this time to stretch out if some of the options don't actually trade until later, like the AM settle SPX options?
When do they decide that they aren't going to trade? One second after open, 5 minutes....? Seems like that makes manipulation even easier for something that's already somewhat easy to manipulate, you don't even have to put on a trade just influence the mid?
The VIX settlement price is calculated from the SPX options that expire 30 days out, which means they need a value to use for each contract. The individual contract prices used, as far as I understand, is calculated based on a market opening auction that's effectively crossing the OPG orders (market on open / limit on open) that were submitted prior to open. For the options for which there were no opening crosses, they use the mid point of the quotes. Can it be manipulated? I think it comes down to how exactly you define that. If you put in an order that modifies the midpoint on a contract then you are influencing it. There is a weighting to the contracts as well, so as you go further OTM, the impact is lessened, but it's still a non-zero impact. I was thinking about this a lot a couple years ago, but I didn't bother investigating it in any depth because I decided that if there were any real alpha to it that you'd have people trying to manipulate it on both sides and effectively cancel each other out.
I finally got off my lazy behind and read up on the OPG process as well, thanks for sharing it though. Your logic on the manipulation does make sense.