| | | |  | DISCLAIMERS :
(1) For those interested parties on the subject, here is a brief summary of my limited understandings and knowledge of the available products and settlement prices… There could contain error(s) or even wrong information herein…
(2) For authoritative definitions and application/executions in any real futures/options accounts, one should check for accuracy with the brokerage company that hosts the account(s)… In addition, one should double-verify any conclusion(s) with the exchanges and/or boards that fill the orders…
(3) Some portions of the write-up’s in this post have been shared with some participants on the DQ Forum through QQH…
TERMINOLOGIES & SP500 Related Products :
(1) SPX is the CASH Index of S&P500 Index...
(1a) I am not sure if one can directly trade this index...
(1b) One may invest in this index using some Mutual Funds that peg with it... In fact, there are a number of funds available out there in the markets with much flexibilities, allowing investors to go LONG/SHORT/ 1x / 2x of the market movements, etc…
(1c) One may trade SPY, each share of which is 1/10th of the value of SPX...
(2) SP500 的期货期权, in fact, actually contains two different products:
(2a) SP500's Futures Contracts (SP500期指), March/June/Sept/Dec Contracts only
(2b) SP500 Futures Options Contracts, monthly contracts based on the nearest quarterly Futures Contracts...
(2c) All these are Pit-Traded contracts (manually traded) on CME (www.cme.com), usually referred to as the "BIG" contracts (each contains 250 shares)...
(3) ES Contracts are usually referred to as the “e-Mini” contracts
(3a) e-Mini contracts, again, are grouped into the e-Mini Futures Contracts and the e-Mini Futures Option Contracts, exactly like those for the Pit-Traded contracts...
(3b) e-Mini contracts are traded electronically...
(3c) Each e-Mini contract is 1/5th of the size of a "BIG" contract, i.e., only 50 shares in one ES contract...
(4) SPX Options are traded on CBOE (http://www.cboe.com/Products/indexopts/spx_spec.aspx)... These contracts contain only 100 shares per contract...
(5) Other participants please add other products of interest to this list…
CONTRACT EXPIRATION DATES & OPTIONS SETTLEMENT DATA :
All index options expire on the Saturday after the 3rd Friday of the month of interest, except for the quarter-end months (i.e., March, June, September, and December contracts)… Until not too long ago, the expired options are settled and updated on the Saturday morning after the 3rd Friday of each month, except for those quarter-end months in which expired options are settled and updated on the 3rd Friday of that particular month... Starting sometime in 2005/2006, most online futures and options brokerage firms have the expiration data settled and updated on the 3rd Friday some time (maybe an hour or so) after the regular markets are closed… Most of everything nowadays are pretty automatic except those pit-traded contracts still requiring real persons to trade on the floor…
The settlement prices are based on the markets CLOSING data on the Friday... On the other hand, for those quarter-end months, the settlement prices are based on the markets OPENING data on the Friday... Therefore, for this month of May (a non-quarter-end month), the settlement prices will be based on the CLOSING data of May 18...
[However, SPX Options traded on CBOE are a bit different from the other products traded on CME… The exercise-settlement value is calculated using the OPENING (first) reported sales price in the primary market of each component stock on the Friday before the expiration date…]
Please be reminded that the regular market hours are between 9:30AM and 4:00PM Eastern Time, while the futures and options markets are traded between 9:30AM and 4:15PM Eastern Time… Therefore, SPX (the CASH Index of SP500) is frozen at 4:00PM, while the SP500 Futures Indices are still moving until 4:15PM with an additional 15 minutes of trading… As an example, on today (May 18, 2007, the OE date for the month of May 2007), SPX closed at 4:00PM at 1522.75 (Up +10.00)… On the other hand, SP500 Futures Indices all closed at 4:15PM at 1527.90 (June ’07 Future, Up +12.70), 1542.70 (September ’07 Future, Up +12.80), and 1555.70 (December ’07 Future, Up +13.10), respectively…
It is of paramount importance to note that the SP500 Options settlement data are NOT against the SPX value which is the CASH Index of SP500... Rather, they are based on the nearest quarterly Futures Indices which are quite different from the CASH Index respectively, as listed in the aforementioned example... There are only 4 futures contracts in a year, namely March, June, September, and December futures contracts... However, SP500 Options contracts are available for each month of the year, and their respective settlement data are based on the corresponding underlining quarterly futures contracts... For example, J/F/M Options Contracts are based on March Future Index, A/M/J Options Contracts are based on June Future Index, and so on and so forth... For this month of May, the options exercise-settlement prices are against 1527.90 (June ’07 Future Index) instead of 1522.75 (SPX Index)…
ACKNOWLEDGEMENTS :
Sincere appreciations are due to several DQ’ers for their questioning attitude and intensive pursue of knowledge, without their friendly “push” there wouldn’t come this article… They include “putwriter”, “不看盘也赚钱”, “wavePlayer”, “金海洋”, ” 瞎问瞎说”, “都是国人”, “chai3rd”, and a few others…
Finally, hope this article helps someone in some small way and shed some light on the subject…
Happy Trading!!!
LK
|
|
