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

Third-Friday SPX options and VIX derivatives settle on a special opening quotation built from opening trades, a number that can fall outside the day's range.

*https://stockmarketstack.com/guides/why-spx-settlement-differs-from-the-open · background to Options Data & Flow Analytics*

**Answer:** Because the settlement value is not an index print. Standard third-Friday SPX options settle on a special opening quotation, published as SET, built from every constituent's official opening trade once all have opened. The chart's open mixes fresh trades with the previous day's closes. Cboe found SET outside the day's high-low range about 30 per cent of the time on March expirations from 2009 to 2024. VIX derivatives settle the same way, on SPX options' opening prices.

## 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](https://cdn.cboe.com/resources/spx/Settlement_of_Standard_AM_Settled_SP_500_Index_Options.pdf)
(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](https://cdn.cboe.com/resources/spx/spx-fact-sheet.pdf). 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:

| Comparison | What Cboe reports |
|---|---|
| SET against the S&P 500 opening value | Distribution centred at 0.09 per cent, ranging from −0.98 to +1.00 per cent |
| SET against the day's high and low | Outside the range "approximately 30% of the time, most often above the daily high" |
| SET against the previous day's close | Median difference 0.16 per cent |
| SET against the same day's close | Median difference 0.13 per cent |

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](https://www.cboe.com/tradable_products/vix/vix_options/) 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](https://cdn.cboe.com/resources/indices/Volatility_Index_Methodology_Cboe_Volatility_Index.pdf),
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](https://www.cboe.com/tradable_products/vix/vix_options/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](https://www.cboe.com/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](https://stockmarketstack.com/guides/why-index-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](https://stockmarketstack.com/tools/option-omega), for one, backtests
SPX as the P.M.-settled series, according to its card. Data sources such as
[ThetaData](https://stockmarketstack.com/tools/thetadata) and [Cboe DataShop](https://stockmarketstack.com/tools/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](https://stockmarketstack.com/guides/why-implied-volatility-differs). The tools that
model expirations are in [options analytics](https://stockmarketstack.com/categories/options-analytics).

## Tools this bears on

- [Option Omega](https://stockmarketstack.com/tools/option-omega.md) — No-code options backtester on 1-minute bid/ask since 2013, with live automation and MCP.
- [ThetaData](https://stockmarketstack.com/tools/thetadata.md) — Every OPRA quote and trade, with greeks computed per tick, from $40 a month.
- [Cboe DataShop](https://stockmarketstack.com/tools/cboe-datashop.md) — Per-file OPRA options history from the exchange, priced by dataset, date and symbol.

## FAQ

### What is the SET value for SPX options?

The exercise settlement value of standard, A.M.-settled SPX options, which Cboe publishes under the symbol SET. It is a special opening quotation of the S&P 500 calculated on expiration day from the official opening trade price of every constituent on its primary listing exchange. The settlement amount is SET minus the strike, times 100 dollars.

### Why is the SPX settlement value higher than the day's high?

Because SET is not a point on the intraday series. It combines opening prices that happened at different moments, and the intraday index at any one moment mixes current trades with the previous day's closes until every stock has opened. Cboe's paper found SET outside the day's high-low range about 30 per cent of the time on 61 March expirations from 2009 to 2024, most often above the high.

### When does trading stop in A.M.-settled SPX options?

On the business day before the settlement value is calculated, usually a Thursday, according to Cboe's SPX product specifications. The SPXW weekly and end-of-month series are P.M.-settled instead, on the constituents' closing prices on the day they expire.

### How is the VIX settlement value calculated?

Through a special opening quotation of VIX on the morning of expiration, usually a Wednesday. Under the VIX methodology it uses SPX options from a single expiration about 30 days away, without the interpolation the spot index uses, and takes their opening trade prices from a special opening auction, falling back to the bid-ask midpoint only where a series does not trade. For VIX options Cboe publishes it under the ticker VRO.

### Is the settlement value ever the same as the index open?

Not by construction, though usually close. Across the 61 March quarterly expirations Cboe studied, the difference between SET and the S&P 500's opening value was centred at 0.09 per cent and ranged from minus 0.98 to plus 1.00 per cent.

## Sources

1. [Settlement of Standard, A.M.-Settled S&P 500 Index Options, v.2](https://cdn.cboe.com/resources/spx/Settlement_of_Standard_AM_Settled_SP_500_Index_Options.pdf) — Cboe Global Markets, 2024-07-17
2. [SPX Index Options fact sheet and summary product specifications](https://cdn.cboe.com/resources/spx/spx-fact-sheet.pdf) — Cboe Global Markets, read 2026-10-23
3. [Cboe Volatility Index Methodology, version 6.0](https://cdn.cboe.com/resources/indices/Volatility_Index_Methodology_Cboe_Volatility_Index.pdf) — Cboe Global Indices, 2026-02-26
4. [VIX Options Product Specifications](https://www.cboe.com/tradable_products/vix/vix_options/specifications/) — Cboe Global Markets, read 2026-10-23
5. [VIX Options overview](https://www.cboe.com/tradable_products/vix/vix_options/) — Cboe Global Markets, read 2026-10-23
6. [Index Settlement Values](https://www.cboe.com/index_settlement_values/) — Cboe Global Markets, read 2026-10-23

*Last updated 2026-10-23. A reference page, corrected in place — not a dated post.*