Question for ETF experts... help.

Discussion in 'ETFs' started by Don Bright, Dec 6, 2011.

  1. Hi guys... just a question that I can't seem to find an answer to. I called CBOE, OCC, S&P directly, GS. etc.

    Does anyone know who, how and when exactly the final closing expiration price of the SPY is. Last time, it was trading between 121.92 and 122.06 - apparent close was 122.06. The next morning, we're told the closing price was 121.98... makes a big difference when we have 122.00 strike options.

    Who determines and when...? Any help would be appreciated.

  2. rmorse

    rmorse ET Sponsor

    The official close for any stock/ETF for proposes of automatic exercise, is always the composite closing price. It's often difficult the find that price until the OCC officially disseminates the data. Generally, the closing price on Yahoo finance is accurate.

  3. Yeah, that's a good answer, but not "the" answer I am hoping to find. I don't like thinking that there is such an easy route to manipulation (not saying anyone is).... hoping that there is a standardized algo or something that we can count on.

    My point being.. as in the "old days" - someone "could" simply make a big trade on an ECN to hit the "consolidated" tape right at cut-off time......

    Thanks though, appreciate it...

    anything else? anyone?

  4. rmorse

    rmorse ET Sponsor

    Good document. I was looking for that.
  5. This does help, thank you.

  6. Don,
    I think you may be confusing the NAV and the close price and the composite price.

    An ETF's official closing price will ALWAYS be published by the Primary Listed Exchange.

    Do you guys have a Bloomberg? Do you know the difference when you look up a security and do like <SPY US EQUITY GO> vs, if you just type <SPY.... then there will be a drop-down and it'll show you all the different exchanges, indexes and things like SPY.IV or SPY.SO, etc.

    So at the close of each trading session the official close is published by the primary listed exchange (which is NYSE/ARCA for SPY). Afterhours or any other exchange may print different.

    The ETF's close price can (and usually is) be different from its NAV. One of the biggest challenges initially with getting ETFs launched and trading was getting permission from the regulators to allow a product to trade on the market that would deviate away from it's underlying value. (this is what they call applying for Exemptive Relief in the ETF world)

    The strike price should reflect the close on the ETF's primary listed exchange.

    Many websites & blogs mis-report prices for ETFs because they either pull composite feeds or publish the NAV vs. the ETF's close price, etc. For reference, go to Google finance and type in FAS.IV. This is the underlying IOPV that is published every 15 seconds by the NYSE to display FAS's underlying value... Its not split-adjusted and also isn't being updated realtime. Yahoo Finance is correct though.

    Hope all this helps.

    Primary Listed Exchange is key for ETFs.
  7. I have to disagree with you on this. I am 100% certain that (at least in the case of an ETF) it is the primary listed exchange NOT the composite price.

    Don - because a LMM/DMM has to offer price improvement you'd have to sweep the book up/down across all the ECNs to pull something like that going into the close. A matching engine NYSE/ARCA can't put you on the tape if SPY is bid/offered at a better price on another ECN.
  8. rmorse

    rmorse ET Sponsor

    It was my understanding before me looking into it, that the last sale at 4pm, with up to a 90 second runoff, at the primary exchange (NYSE AMEX), was the close. When I called the OCC, they told me I was wrong. They told me they changed to the composite. I asked for him to confirm that with someone else on the customer service desk, and he did. So, before the call I agreed with you.

  9. Thanks guys, and as you can see we are still getting good answers, but not "the" answer. The closing time is different, and the values have changed from Primary market close. This is so important to options players, that I am a bit surprised that no one at OCC or CBOE, or even S&P has "the" answer.

    I have to agree that it makes sense to use the final exchange traded "closing price." It just doesn't seem to pan out.

    I have a couple of others searching for me, I'll post what I find.

    Thanks for all your help and input....

    #10     Dec 7, 2011