Hey guys, i'm new to weekly options, and right now i have a position in XSP JGAMO put at 145. I understand that the last trading day was yesterday, so the option expires today. I'm wondering, how is the exercise settlement value calculated?
From CBOE: The exercise settlement value, XSR, is calculated using the opening sales price in the primary market of each component security on the last business day (usually a Friday) before the expiration date. The exercise-settlement amount is equal to the difference between the exercise-settlement value and the exercise price of the option, multiplied by $100.
now i'm a little confused for listed SPX weeklys settlement values here http://www.cboe.com/Data/WeeklysSettlements.aspx they list the settlement value different than the opening price of the index at expiration... Are the quotes for SET correct for settlement, meaning that if SET for 1/4/08 is 1434 and i have an option put at 1450 that i my option would exercise at 15.00? or the for the XSP it would be 1.50?
another question... is the settlement value for SPX identical for XSP? meaning XSP's settlement value is 1/10 of the SET for the day of expiration? or rather set= 1/10XSR
SET is not the opening index price for the day. It is a value calculated by the opening price of all the components of the index. Not all components open at the same time so the SET is different than the first traded price of the index.