Discussion in 'Options' started by uptickk, Feb 18, 2010.

  1. uptickk


    I remember reading a similar post on ET before but I can’t find it. I want to compare the SPX weekly Thursday close price to the Friday SET calculation and then compare that to the VIX (I understand the VIX is based on futures volatility but it will have to do for now). I can pull the SPX weekly values and the SET values from, CBOE, but I am not sure of all the exact weekly SET dates which are important to the analysis.
    Any help would be greatly appreciated
  2. tomk96


    SPX expires on the 3rd friday of every month, on the opening prints.
  3. uptickk


    It is actually based off the SET value, not the opening prints which can be very different. What happens when Friday is a holiday or the first of the month (My issue is when the expiration week is atypical)?
  4. MTE


    The SET is calculated using the opening prints of each of the component stock.

    Take a look at the contract specs. It says exactly what happens when Friday is a holiday.

    I'm not sure that the first of the month has to do with anything.
  5. tomk96


    if the first day of the month is a friday, you count it as one of the weeks. the cboe publishes a calender with the expiration dates on it. i'm sure it's on the site somewhere.
  6. tomk96


    SET is just a ticker symbol for the opening print calculation.