LC, Good call. They kept the S&P 500 above 900 before the market closed. http://www.cmegroup.com/trading/equity-index/SandP-EOM-options-fixing-price.html
Goddamn, sold my bear position right before the dropoff... Bring in the new year FAST! Happy new year everyone!
Edit: I'm not sure what you're trying to say with this link.. It doesn't tell you anything other than where the S&P was trading at between 2:59:30 â 3:00:00 central.
The CME has end of month options on the S&P 500. It is European style. The in-the-money/out-of-the money threshold is determined by the VWAP for 30 seconds. If you notice that this fixing price was above 900. Thus, 900 strike puts and below went our worthless. If you can look at times and sales, they were gaming the ES above this level with huge monster bids that disappeared right after the VWAP period was over. Obviously there were probably a bunch of end of month options based on the CASH S&P 500 index, but as we know, cash and futures and linked to some extent.