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yanko


Total Posts: 58
Joined: Nov 2009
 
Posted: 2016-07-21 11:18
Hi,

this is really basic - can I find on Bloomberg what the expiration price of an option is? The last price shown on HP seems no good. I have a specific example - V2X 07/20/16 P27 Index should have settled at 6.655, Bloomberg's lat price is 6.68.

I tried looking up the Eurex settlemnt prices, but I only found current market data for the options from Aug onwards.

Thanks,
yanko

ronin


Total Posts: 183
Joined: May 2006
 
Posted: 2016-07-21 12:26
Most contracts only trade once or twice per day, at most.

Last price is what ever price it last traded at.
Settlement price comes from fitting a theoretical implied volatility surface through the prices that are available.
They are not necessarily anywhere near each other.

Search Eurex for "Theoretical price data for Eurex products - end of day" or "Theoretical price data for Eurex products - intraday".

"People say nothing's impossible, but I do nothing every day" --Winnie The Pooh

yanko


Total Posts: 58
Joined: Nov 2009
 
Posted: 2016-07-21 12:36
Hi ronin,

thanks for the feedback.

Why theoretical prices? At expiry the price should be equal the pay-off, i.e. max(strike - reference price of the underlying, 0) for a put.

Thanks,
yanko

ronin


Total Posts: 183
Joined: May 2006
 
Posted: 2016-07-21 12:43
I slightly misunderstood your question - I didn't get the expiry part.

But the answer is still the same - settlement price is settlement price, and last traded price is something else.


"People say nothing's impossible, but I do nothing every day" --Winnie The Pooh

Martinghoul


Total Posts: 837
Joined: Oct 2008
 
Posted: 2016-07-21 13:46
BBG is generally in line with the EDSPs (sometimes they revise the print, when the EDSP comes out). In this case, if you type QR, you will see that BBG thinks that the official settlement was 6.68. If you think this is different to the EDSP, you should talk to BBG help and flag this.

Given this Final Settlement PX FVS/OVS, BBG looks correct, no?

Insofar as I may be heard by anything, which may or may not care what I say, I ask, if it matters, that you be forgiven for anything you may have done or failed to do which requires forgiveness...

yanko


Total Posts: 58
Joined: Nov 2009
 
Posted: 2016-07-21 16:07
Hey Martinghoul,

thank you for the pointer. Now I understand - the final settlement price of the underlying is an average of prices between 11:30 and 12:00 CET and not the index' closing price.

So for the July contracts the underlying was calculated as 20.32 - fine.

Is there a nifty explanation as to why OTM options which expired worthless would be quoted at 0.01 in Bloomberg (V2X 07/20/16 P27 Index and others)?

Thanks,
yanko

CFloon


Total Posts: 78
Joined: Jul 2007
 
Posted: 2016-07-21 18:34
Sorry to chime in late to the discussion, just one thought to add to this - for some indices, like NKY for example, the options settlement px will be based on an underlying number that represents the "index" as calculated on the opening prices of the next day after option expiry.

So, for example, options expiry is technically on a Saturday, and the settle index will be:
Settle Index = weight(1) * {Stock(1) price on opening, Monday} + weight(2) * {Stock(2) price on opening, Monday}+...+ et cetera.
Note that these opening prices will NOT correspond to a consistent time of day.
HTH

"There probably isn't any meaning in life. Perhaps you can find something interesting to do while you are alive. Like how you found that flower. Like how I found you."

Martinghoul


Total Posts: 837
Joined: Oct 2008
 
Posted: 2016-07-22 12:24
Yeah, as also mentioned by CFloon, you should read the settlement procedures carefully for all these things, if you care about the accuracy of the EDSPs. I know that funny shenanigans have been known to occur in that space in the past.

As to why BBG seems to show 0.01 final settlement prices for options which have expired worthless, beats me, tbh. If I had to guess, it's probably some Eurex quirk. I see same for other futures options that trade on Eurex (e.g. Bobl & Bund). If I were you, I'd reach out and ask this question to both Eurex and BBG help, in that order.

Insofar as I may be heard by anything, which may or may not care what I say, I ask, if it matters, that you be forgiven for anything you may have done or failed to do which requires forgiveness...

yanko


Total Posts: 58
Joined: Nov 2009
 
Posted: 2016-07-22 14:28
OK, thank you both for your invaluable input.

Obviously I should dig up the precise contract specification, should I happen to care much about how exactly sttlement at expiry works. Those quirks potentially cost less than a nice meal currently, so I'll leave it at that.

Thanks,
yanko

cquand


Total Posts: 91
Joined: Sep 2007
 
Posted: 2016-08-09 13:15
for all EUREX (therefore for v2x) product there is an official end of day settlement price which you get from PX_SETTLE in Bloomberg. And on expiry that will be correct final settlement price. does not work for vix on the other hand. but as a consolation price you have VRO for final settlement price on the future
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