If I sold OEX OTM puts and they went below the options strike price, what would the exercising of the option leave me with as far as an underlying goes. I know if I sell E-Mini S&P puts I'd be assigned the futures contract, but I don't know what the OEX options would leave me with if anything
OEX is cash-settled, like all index options. You should really read the contract specs before trading a product.
All index options are not the same. The monthly ES index options settle into the nearest futures contract, only the quarterly ES index options settle into cash.
Well, technically options on ES are not index option but futures options or options on index futures. I'm talking about cash index options.
You would have zero remaining position. When you see the assignment notice in the morning, it means you repurchased those short options at <i>last night's</i> intrinsic value. Intrinsic value, not closing price. Other indexes have European style options. NDX, SPX, RUT are all actively traded options and eliminate the risk of early exercise. it's NOT a good idea to trade OEX when you sell options. XEO is similar to OEX, but European style. But, it's thinly traded. Mark http://blog.mdwoptions.com/options_for_rookies/