What to do on option expiration???

[cutz]

G'Day,

Of course today is XJO expiry day, does anyone know how to get the settlement price just after all the stocks have opened?
I initially assumed the price was derived from the first XJO quote after 1010am but when i checked settlement prices against XJO quotes last expiry things didn't tally up.

 

[sails]

G'Day,

Of course today is XJO expiry day, does anyone know how to get the settlement price just after all the stocks have opened?
I initially assumed the price was derived from the first XJO quote after 1010am but when i checked settlement prices against XJO quotes last expiry things didn't tally up.

Hey Cutz - I'm not sure. I asked a related question and put it in the prop shop thread - but no answer as yet. https://www.aussiestockforums.com/forums/showthread.php?p=409354#post409354

I always thought that the MMs used the SPI to hedge XJO options - and they expire at the same time and on the same day.

IB gives the last trade on the SPI today at 3463 - does that fit in better?

 

[cutz]

Hi Sails,

I don't know how futures expiry works but can i assume they have already settled?, they don't seem to be trading away from the price you just quoted.

If that's the case it should be interesting to see how it compares with the official XJO opening price index calculation when it's released.

Alternatively if anyone has access to previous SPI settlements, how do they compare with the table on the ASX site? http://www.asx.com.au/products/options/index_options_settlement.htm

Another thing i just noticed, the opening seemed to take longer today.

 

[sails]

Yes, the March SPI seems to have stopped trading about 10.15am. Had a quick look on Bourse and previous XJO options settlements correlates pretty closely to SPI settlements.

 

[cutz]

Thanks Sails,

I was just wondering why there appears to be trading still happening on SPI Mar09,(looking at TWS) is this rollover activity only?

 

[sails]

Sorry, got it wrong - had to look it up. SPI closes at 12md - some info here: http://www.asx.com.au/professionals/sfe_notices/sfe_notices.htm

 

[cutz]

Yep,

That looks about right now, APH9 closing at 3464, XJOX3 (MAR 3400 CALL) had some trades go through at 64 points today, perfect.

I wonder how to get the official XJO OPIC just after the ASX opens, I guess it probably doesn’t matter as the expiring SPI contract appears to be pegged to it before 1200pm therefore acting as a good enough guide. The problem is XJO options expire monthly as opposed to SPI contacts which expire quarterly, so next month getting an accurate price may be a problem.

Any thoughts?

 

[sails]

With the SPI data easily available on IB, it would probably make sense. I noticed this morning that the SPI price only seemed to hover between 3463 and 3464 after about 10.15am to 12md.

Sorry, don't know how it works for the months in between.

 

[jackson8]

G'Day,

Of course today is XJO expiry day, does anyone know how to get the settlement price just after all the stocks have opened?
I initially assumed the price was derived from the first XJO quote after 1010am but when i checked settlement prices against XJO quotes last expiry things didn't tally up.

hi cutz
found this on a trading site , while site is based in the us. it may still be fairly similiar for aussie indexes
also have included link..

Calculating the Settlement Price

These indexes also have a final or closing price. But that price is NOT a real-world price determined at any specific time. Instead, the opening price of each component of the index is determined on the morning of the 3rd Friday of the expiration month. These options do not trade on Friday. The last time they trade is the previous day (Thursday afternoon). Once all stocks in the index have opened for trading on Friday morning, the settlement price is calculated – as if all stocks in the index were trading at that opening price at the same time. Because all stocks in the index never trade at their opening prices at the same time, the settlement price is not a real price. The official price is not published until hours after the opening (in some cases, not until the end of the day).

Many times the official settlement price is higher than the day’s official high or lower than the day’s official low, resulting in confusion for traders who do not understand the process. This occurs because the index price is not a real world price. Suppose the market is bullish at the opening. Often, those buyers push stocks to the highest price of the day. When stocks open at different times, some stocks will have already begun to trade at lower prices, and the ‘current’ index price reflects those lower prices. But remember, the settlement price counts only those opening ‘high’ prices. Thus, the settlement price can easily exceed the highest price seen for the index during the day.

http://blog.mdwoptions.com/options_for_rookies/index_options/

 

[cutz]

Thanks Gary,

Yep that's sounds like how the XJO opening price index calculation is done, some sort of algorithm of the opening prices of the individual components, so I guess you can have a slightly different settlement price then the XJO index just after the last of the stocks have opened.

I would be nice to somehow get the official settlement figure at 1015 expiry day.


BTW Interesting info on your link.