S&P 500 Options

[Sam252]

Hello IG Support,

Please may you provide exact confirmation as to what time the settlement price is determined for S&P 500 options?  

On your IG 'info' tab you state that the expiry is on the Friday and the last dealing date is 21.15pm on the preceding Thursday.  If you take the FTSE 100 options as an example, the valuation point for the options is GMT 4.35pm, which is the spot price determined by the 5 min auction period on the LSE following market close at GMT 4.30pm.

I assume there is an auction period on the NYSE that these options are traded on?  I need to understand the exact time of valuation for the purposes of settlement; the dealing cut off time or settlement time isn't relevant to me, rather the exact point in time the S&P 500 options are valued for purposes of settlement.

Thank you 

[AndaIG]

Hi @Sam252

Thanks for the query. 

Assuming you are referring to monthly SPX options, these settle basis the special opening quotation (SOQ) on the 3rd Friday. This is at the cash open ie 1430 UK time.

We have no influence on this auction and usually receive the settlement level around 2.45/3pm UK time on expiry day. 

Please see the following link from the exchange with the product details:

https://www.cboe.com/tradable_products/sp_500/spx_options/specifications/

All the best, 

Anda

 

[Sam252]

20 minutes ago, AndaIG said:

Hi @Sam252

Thanks for the query. 

Assuming you are referring to monthly SPX options, these settle basis the special opening quotation (SOQ) on the 3rd Friday. This is at the cash open ie 1430 UK time.

We have no influence on this auction and usually receive the settlement level around 2.45/3pm UK time on expiry day. 

Please see the following link from the exchange with the product details:

https://www.cboe.com/tradable_products/sp_500/spx_options/specifications/

All the best, 

Anda

 

Hi Anda,

Thanks for getting back to me so quickly, appreciate it.  This is fair straight forward then, the settlement price is as of market open (GMT 2.30pm) at market open on the expiration date (3rd friday of the month).

How does this differ for weekly SPX options?

Thanks again

[AndaIG]

Hi @Sam252

Thanks for the response, 

With the weekly options settlement is based on the cash closing price at 21:00 GMT. 

Thanks

Anda

[Sam252]

On 15/11/2021 at 11:55, AndaIG said:

Hi @Sam252

Thanks for the response, 

With the weekly options settlement is based on the cash closing price at 21:00 GMT. 

Thanks

Anda

Hi Anda,

The S&P500 opened at 4704.83 at GMT 2.30pm today.  My November monthly options that expired yesterday and the settlement value based on todays market open were not priced as expected.

The S&P 500 4680 Call settled at 31.46 and based on a S&P 500 market open value of 4704.83 I would expect the Call to settle at a value of 24.83.  The settlement price of the call assumes a market open price of 4711.46 (31.46 + 4580 strike).  

Please may you confirm how this open has been valued for the purposes of settlement?  Perhaps I am calculating it wrong, but based on market open today (based on previous correspondence), I am not understanding this.  I used the 1 sec chart on the S&P 500 to see what the open price was.  

Thanks 

[Sam252]

Hi Anda,

You can see from the screen shot below, data provided by the CBOE, that my price calculation is not far off and it does little to explain how the settlement price in my IG account ended up being 31.46. 

You will notice the final ask price of 24.80 near enough matches my calculations of 24.83.  The settlement price in my IG Account of 31.46 is baffling me at this current time.  

Thanks 

 

[Sam252]

38 minutes ago, Sam252 said:

Hi Anda,

You can see from the screen shot below, data provided by the CBOE, that my price calculation is not far off and it does little to explain how the settlement price in my IG account ended up being 31.46. 

You will notice the final ask price of 24.80 near enough matches my calculations of 24.83.  The settlement price in my IG Account of 31.46 is baffling me at this current time.  

Thanks 

 

@AndaIG please see above two posts. Not sure if I sent this to you correctly or just to myself.  Thanks. 

[Kodiak]

https://www.cboe.com/index_settlement_values/

[Kodiak]

Understanding the Special Opening Quotation (SOQ)

[Sam252]

Hi Kodiak.

 

excellent information, answers everything and thanks for sharing so quickly.

 

Thanks.  Sam