Some index options â DAX, Stoxx, FTSE â which do not trade on the quarterly cycle have expiration dates which do not correspond to an underlying future/future expiration date. Quarterly options and futures are December options/December future, March options/March future, June options/June futures. But what is the underlying for the remainder, eg January and February options? Iâve been calculating a future fair value for the underlying with the expiration date equal to the option expiration date. Now Iâm having doubts as to whether this is correct. Advice greatly appreciated. Grant.
If I understand your question correctly, the option expiration months which are not the quarterly months settle into the next current future contract. So a January ES option will settle into a MAR ES future contract because that is the next future contract that is current.