6 replies to this topic

[A-ha]

if you were holding a big load of spx calls which expired in the money last week, would you receive big contract in your account on sept 24 monday to exercise ... dont trade options and dont know much about the procedure...just trying to understand the relation between this weeks cot and quarterly index option expiration ... if this is what i think it may be, it explains commercials' and small specs' positions and very bearish for IT

[arbman]

The SPX and OEX options settle in cash in the following Monday at the open, you do not receive any paper to sell in the cash markets. SPX settlement index value is set with the Friday's opening, OEX settlement index value is set with the Friday's closing (stock) prices. ETFs will settle in actual paper, but people usually cash them before the close on Friday. I don't think the settlement from the Sep OPEX last Monday had much balancing effect on last week's COT result since, I think, the futures were already rolled over a week prior to the triple witch OPEX. I think this week's COT data represents some fresh changes of the trader groups...

[Darris]

In the Quad Witch expiration, I personally believe the action lies in the SPY Options and SPX futures contracts whether Big or Mini. If you have access to the Options volume of the SPY contracts, look at all of the volume spikes the Thursday before Quad expiries. There was talk on the board in early Sept or late August about a huge SPY Option trade around the 90 and 155/160 strikes. The boyz must be seeing some type of "free money" trade, so it is probably not bullish or bearish in the context of the overall market. There are 6 or so ways the trade the SPX now, so maybe the last few Quad expirations would exhibit the pattern. Just a gut feel because I know the SPY option volume spikes the Wed/Thurs before a Quad expiry, but I do not have the data to piece it all together.

[NAV]

if you were holding a big load of spx calls which expired in the money last week, would you receive big contract in your account on sept 24 monday to exercise ...

dont trade options and dont know much about the procedure...just trying to understand the relation between this weeks cot and quarterly index option expiration ...

if this is what i think it may be, it explains commercials' and small specs' positions and very bearish for IT

SPX calls have got nothing to do with futures. It's based on the cash index. SPX options are cash settled, i.e no delivery of anything.

[A-ha]

Thanks for the info guys. Does anyone know then why big changes in COT coincides with quad opex weeks? Any artificial effect of options?

[tommyt]

SPX options expire on Fridays open, but the SPX quarterlies expire on the Friday close, like they did 2 days ago.

[arbman]

You are right, they actually expired last Friday. Quarterlies...