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 CBOTÂ´s policies? I would apriciate if anyone could enlighten me. It pains do lose money like this.