SPX Monthly Option Assignment

Discussion in 'Options' started by Arnie Guitar, Nov 21, 2015.

  1. Sig

    Sig

    Um, from the first paragraph of the link you provided "SOQs are calculated per normal index calculation procedures except that the values for the respective components are taken as the actual opening auction values for each of the component equities at either the NYSE or NASDAQ." The rest of the pdf goes on to explain in detail how the quote is indeed based on each stock's open. Not sure where you got "It is the SOQ for the stocks and the basket in the index." since that is nowhere in the document quoted and is incorrect.
    The SPX and all the other AM open options settle using this method. This means that even if a component of the S&P 500 doesn't make its first trade until 2 hours into the session, it's that price that is used to determine that stock's contribution to the index settlement price. This can lead to unexpected settlement values that have little relation to what the S&P 500 index opened at, and in some cases can lead to settlement values higher or lower than the S&P 500 index traded at all day (This has happened a number of times, as shown in the document dave_s quoted). Because this is a bit counterintuitive, most people, me included and I presume the original poster, don't realize this was the case until someone lets them know.
     
    #11     Nov 23, 2015
  2. SET 2029.72
    and I was short the 2020 Puts...
    Close one.
    Enough for this year...
    Is it too early to have a drink?
    :)

    Wait, what are the Jan Monthly's doing?...
    ;-)
     
    #12     Dec 18, 2015
  3. rmorse

    rmorse Sponsor

    Nope..perfect time.
     
    #13     Dec 18, 2015
    Arnie Guitar likes this.