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For End-of-Month and Weekly Options on Futures
Date
ESF for S&P 500 Weekly and End-of-Month Options
About the ESF Calculation*
On expiration days for End-of-Month (EOM) and Weekly options on standard and E-mini S&P 500 futures, CME calculates a special fixing price based on the weighted average trading price of the designated lead month for the E-mini S&P 500 futures in the last 30 seconds (2:59:30 - 3:00:00 p.m.) of trading before the 3:00 p.m. (Chicago Time) options expiration. For the purposes of this calculation, the designated lead month is always the contract month closest to expiration until the Monday prior to expiration, when the designated lead month becomes the second contract month.
It is disseminated immediately using the symbol ESF and used to determine which options are in-the-money and, therefore, exercisable.
Date
NQF for Nasdaq 100 Weekly Options
About the NQF Calculation*
On expiration days for Weekly options on standard and E-mini NASDAQ-100 futures, CME calculates a special fixing price based on the weighted average trading price of E-mini NASDAQ-100 futures in the last 30 seconds (2:59:30 - 3:00:00 p.m.) of trading before the 3:00 p.m. (Chicago Time) options expiration. For the purposes of this calculation, the designated lead month is always the contract month closest to expiration until the Monday prior to expiration, when the designated lead month becomes the second contract month.
It is disseminated immediately using the symbol NQF and used to determine which of the Weekly options are in-the-money and, therefore, exercisable.
Note
*CME disclaims liability for the ESF and NQF Options fixing prices, and no representation or warranty, express or implied, is made concerning the ESF or NQF fixing prices (including, without limitation, the Methodology for its determination and its suitability for any particular use).
