YMZ7 (contract expiration)

Discussion in 'Index Futures' started by ark, Dec 20, 2007.

  1. ark

    ark

    Anyone knows at what price is this going to settle at? Just spoke with my brokerage and they mentioned that there is a formula cbot uses to calculate the settlement price.
     
  2. ark

    ark

    I've still got open positions on this. Seems like they haven't been closed out yet.

    Anyone in this predicament as well?
     
  3. Surdo

    Surdo

  4. ark

    ark

    The last traded price was in the 13,267 range. So it's safe to say that it has gapped up to settle at 13,355?
     
  5. Surdo

    Surdo

  6. Surdo

    Surdo

    Dow Settlement Price - Special Opening Quotation Explanation
    CBOT DJIA and CBOT mini-sized Dow futures are settled in cash, not by physical delivery of the basket of DJIA stocks. The final settlement price is a Special Opening Quotation (SOQ) of the DJIA determined on the day following the last day of trading, usually the third Friday of the contract month. Unlike the futures, which are quoted in full index points, the SOQ is calculated to two decimal places, as is the underlying DJIA.

    The SOQ of the DJIA is calculated from the sequence of opening prices of the 30 DJIA stocks. In contrast, the DJIA is calculated from the sequence of last transaction prices, or, if the stock has not traded yet, its last closing price. The official opening prices of DJIA stocks traded on the NYSE are their first traded prices and are determined by the relevant specialists through a special opening auction. The exact opening time depends on the magnitude of order imbalances in the specialist's book, and different stocks typically open at different times. The opening prices of the DJIA stocks traded on Nasdaq are also the first traded prices but are determined through the regular trading process.

    Because of the different prices input in the SOQ, it is unlikely to be equal to either the current or to nearby values of the DJIA, including its opening value. To illustrate, suppose that the DJIA includes just two stocks, General Motors and Microsoft, the divisor is 0.01, and the following prices occur:



    Notice that at 9:30, neither stock is open, and the DJIA quote is the same as the last close. A minute later, General Motors opens at $46.09, and this drives the index up 8 points to 9357. Finally, at 9:32, Microsoft opens at $47.50, and General Motors trades down 6 cents to $46.03. The two 9:32 prices drive the index down 4 points to 9353. The SOQ, based on the two opening prices, is 9359, which is 6 points higher than the traded index price. This illustrates the process for arriving at an SOQ and shows why the SOQ is unlikely to match the currently traded DJIA level.

    Dec07 12/21/07 13,355.46
     
  7. ark

    ark

    Yes, it's a losing trade. I was short on that.