Why an AM-settled SPX option settles at a number not on the chart

How it works

On the morning a standard SPX option expires, two different numbers are calculated from the same 500 stocks.

The index everyone sees. S&P computes the S&P 500 continuously from the last trade of each constituent. At the open, many have not traded yet, so Cboe's settlement paper (version 2 of 17 July 2024) describes the early values as "an amalgam of current trade prices and end-of-day prices from the prior trading day". The opening print on a chart is one of those.

The settlement value. For A.M.-settled SPX options, the exercise settlement value is a special opening quotation, which Cboe publishes under the symbol SET. It uses "the opening trade price in the primary market of each constituent stock", the official opening price from the auction on NYSE, Nasdaq or Cboe, whichever lists the stock. It "is not calculated until all of the constituent stocks of the S&P 500 Index have opened", so it is "not anchored to a specific time of day". If a stock does not open at all that day, its previous last trade is used.

So SET is assembled from prices that happened at different moments, and no single moment on the chart contains all of them. When it is finally computed, the live index has moved on.

The contract terms tie the money to SET. The exercise settlement amount is "the difference between the exercise-settlement value and the exercise price of the option, multiplied by $100", paid in cash on the business day after expiration. Trading in A.M.-settled SPX "will ordinarily cease on the business day (usually a Thursday) preceding the day on which the exercise-settlement value is calculated", according to Cboe's product specifications. The SPXW weekly and end-of-month series are different contracts: their settlement value uses "the last (closing) reported sales price in the primary market of each component stock" on the expiration day.

How far apart the numbers land

Cboe measured it on the 61 March quarterly expirations of A.M.-settled SPX options between March 2009 and March 2024. Its findings, in its own terms:

The second row is the one that produces support tickets. A value above the session high looks like an error on any chart, and Cboe calls it "a natural and known consequence". The paper adds that "neither the SOQ nor the opening and other intraday S&P 500 Index values … are true 'real-time values'", because unless all 500 stocks trade at the same instant, some opening prices in SET are already stale when it is computed.

Cboe's sample is March expirations only, the quarterly dates when stock options, index options and index futures expire together, and it says nothing about the other months.

Why the settlement uses the opening auction

The reasons are on the record. Cash-settled index options introduced in the 1980s generally settled at the close. The SEC had concerns about their effect on the underlying stocks, such as "sharp price movements near the close" on expiration days, and from 1987 settlement began moving to the morning. Cboe moved all standard third-Friday SPX options to A.M. settlement in 1992.

Cboe's case for an opening quotation rather than the opening index value is that it can be traded. Traders can send orders for the 500 stocks into their opening auctions and, if they are filled, hold a portfolio that matches SET, which is the point at which, in Cboe's words, "the derivatives and cash markets converge". The opening index value cannot be replicated that way, because it contains yesterday's closes for stocks that have not traded yet.

VIX derivatives: the same idea, one step removed

VIX futures and options settle by the same device, applied to options instead of stocks. Cboe's VIX options page says the process "is patterned after the process used to settle A.M.-settled S&P 500 Index options", with the final value determined "on the morning of their expiration date (usually a Wednesday)".

The VIX methodology, version 6.0 of 26 February 2026, lists how the settlement quotation differs from the spot VIX you see on a chart:

• One expiration, not two. It uses SPX options from a single expiration 30 calendar days away, with no interpolation between a near and a next term.
• A strike range Cboe announces. Cboe determines and announces the highest call and lowest put strikes, and options inside that range with a zero bid still count, unlike in the spot calculation.
• Opening trades, not quotes. It uses the opening trade price of each option from a special opening auction held on settlement days. Spot VIX uses mid-quotes. Only an option with no opening trade is priced at the midpoint of the best bid and offer at the open.

For VIX options, Cboe's specifications name the result: the exercise settlement value "(Ticker: VRO) shall be a Special Opening Quotation (SOQ) of VIX". The last trading day is the day before, and the options are European, exercised only at expiration.

The consequence is the same as for SPX: spot VIX on the morning of expiration is a different calculation from VRO, built from different options priced a different way.

Where the number is published

Cboe lists settlement values on its Index Settlement Values page, with separate tables for Weeklys, End of Months, Quarterlys and VIX futures. Cboe's documents name the two symbols: SET for A.M.-settled SPX and VRO for VIX options.

A price feed is a different matter. An index line carries the continuous index values, which are not the settlement, and the line itself is usually a separate fee, as why real-time SPX, VIX and Russell values cost extra explains. A historical dataset built on index prints or option quotes will not contain SET unless the vendor added it.

What you can do about it

Check which SPX you hold. The root decides the rule. SPX on the third Friday is A.M.-settled on SET; SPXW weeklys and end-of-month options are P.M.-settled on closing prices. Two positions with the same strike and expiry date can settle on different numbers.

Know the last trading day. For A.M.-settled SPX it is ordinarily the business day before, usually Thursday; for VIX options, the day before settlement, which is usually a Wednesday. On the morning the value is set, the expiring series no longer trade.

Reconcile against SET or VRO, never against the chart. When an expiration does not match what you expected, look up the published settlement value first. If it sits above the day's high, that is the mechanism this page describes, not a data error.

Check what your backtest assumes. A test that settles A.M. series at the index open or close is using a number the contract never paid. Option Omega, for one, backtests SPX as the P.M.-settled series, according to its card. Data sources such as ThetaData and Cboe DataShop sell SPX option and index history; confirm whether the settlement values are in the dataset before relying on them.

Do not read spot VIX as the settlement. VRO uses a single SPX expiration, opening trades and a Cboe-set strike range. The spot index uses two expirations and mid-quotes. Different inputs give a different number, even at the same minute.

How implied volatility itself is computed, and why platforms disagree on it, is in why implied volatility and Greeks differ. The tools that model expirations are in options analytics.