Does anyone know the exact time of the SPX and RUT expirations? Some say this Friday at the opening(Is that with the overnight adjusted futures which are about 5 points lower than the previous close or some say 12pm noon that Friday Thank you
I'm 99% sure of this answer but, I dont trade those but I think the price is computed using the open prices in each stock (and open prices can be really jacked one way or another if there is a gap.) The settlement prices aren't disclosed for awhile and the time varies. I have a couple friends who trade the RUT and they are always complaining about crazy stuff that happens with the settlement prices to which I always tell them they should have closed their positions. Hence this is why I dont trade the RUT or SPX - I'd just the same trade the IWM or SPY. Hopefully someone who trades them can give you a better answer. Here's a story I found with a quick Google "RUT" search. http://www.optionsropeadope.com/2007/08/02/burnt-by-the-rut/
The settlement values for SPX and RUT are calculated based on the opening print of each of the component stocks on expiration Friday. There is no single point in time, because the opening trades in various stocks take place at different times, obviously the liquid ones are not a problem, but the less liquid ones can take some time to print. The SPX settlement value is usually published around noon, while RUT takes all day (why it takes all day to calculate it in the 21st century is beyond me, but that is the fact). The main problem with morning settlement is that the settlement value has very little to do with the regular index value. Sometimes the settlement value can be higher/lower than the high/low for the index on that day.
MTE gave you correct information, but as a stickler, the reply to your questions are; The overnight futures play NO ROLE in determining the settlement price. ZERO. 1) SPX, RUT, and other equity and index options expire Saturday morning, after the 3rd Friday of the month. 2) The settlement price is based on the opening price of each individual stock. It's a fictional price and is calculated on the assumption that all stocks in the index are simultaneously trading at their individual opening prices. 3) The official settlement price (SET and RLS) are published later. SET appears about 1PM ET on Friday, and RLS is available near the close of trading (4PM Fri). NOTE: The price may be published late, but the prices are based on the opening prices of each stock. Mark
Good article here that will help clear up the confusion on this RUT as its not as obvious as it seems: http://www.optionetics.com/market/articles/17391