This is what happened. I was short July Wheat options which were in-the-money at expiration day. I assumed they would be exercised after close, but instead they were automatically bought back 1 hour before the end of the electronic session on the Asking price which was ofcourse 6 points higher than the fair price. My broker said to me, it is because of no allowed physical deliveries yet July Wheat Future trades electronically until 14th of July. Is this normal? And does this have anything to do with CBOT´s policies? I would apriciate if anyone could enlighten me. It pains do lose money like this.
I think your broker screwed up. Go to http://www.cbot.com/cbot/pub/cont_detail/0,3206,1322+14455,00.html and read the wheat options contract description, which says: "The buyer of a futures option may exercise the option on any business day prior to expiration by giving notice to the Board of Trade clearing service provider by 6:00 p.m. Chicago time. Option exercise results in an underlying futures market position. Options in-the-money on the last day of trading are automatically exercised." Unless your broker had a legitimate reason that you could not assume a futures position - insufficient margin in your account for example - then something doesn't add up.