The SOQ And The S&P 500 Settlement
by Thomas Cronin
R J. O'Brien research director and market letter writer Thomas Cronin marks his first appearance in
STOCKS & COMMODITIES with some trade possibilities in options based on the difference between the
closing price of the last trading day for the S&P futures and the opening price the next day of the S&P
One of my favorite oddities in commodity trading is the unique situation that occurs quarterly in the
Standard & Poor's 500 stock index futures and options, known as the special opening quotation (SOQ).
The Chicago Mercantile Exchange (CME) decided to move back by one day the last trading day of both
the S&P 500 stock index futures and S&P 500 options on stock index futures. Previously, expiration of
stock index futures, expiration of options on stock index futures and expiration of options on stock
indices all occurred on the third Friday of the contract month, a situation that resulted in erratic and
unpredictable stock market trading activity when all three of these derivatives expired at the same time.
To relieve some of the pressure, the CME decided to stop trading S&P 500 futures on "the business day
immediately preceding the day of determination of the final settlement price (normally the Thursday prior
to the third Friday of the contract month)." From the Clearing House rule book: ...