| Both sides previous revision Previous revision Next revision | Previous revision |
| administration:administration_option_settlement [2024/04/25 16:38] – [Version Requirements] rob | administration:administration_option_settlement [2025/01/03 13:08] (current) – rob |
|---|
| ====== Option Settlement ====== | ====== Option Settlement ====== |
| <WRAP center round important 100%> | |
| Coming Soon | |
| </WRAP> | |
| |
| CTS has added a new feature to handle option expiration prior to receiving account statements. This feature applies to all account modes, but accounts trading options are recommended to be in [[administration:administration_risk_breakdown|byPortfolio mode]]. | |
| |
| When enabled, positions in expiring options will be offset and appropriate futures positions will be added to the account as soon as CTS receives settlement data for the options, typically within seconds of the close of options trading. If an option has a settlement price of 0, we assume it is out-of-the-money and we enter an automatic fill to offset the option position at a price of 0. If an option has a settlement price greater than 0, we assume it is in-the-money, we enter an automatic fill to offset the option position at a price of 0, and we enter an automatic fill to assign/exercise the corresponding futures position at the strike price of the option. | We have added a new feature to handle option expiration prior to receiving account statements. This feature applies to all account modes, but accounts trading options are recommended to be in [[administration:administration_risk_breakdown|byPortfolio mode]]. |
| | |
| | When enabled, positions in expiring options will be offset and appropriate futures positions will be added to the account as soon as we receive settlement data for the options, typically within seconds of the close of options trading. If an option has a settlement price of 0, we assume it is out-of-the-money and we enter an automatic fill to offset the option position at a price of 0. If an option has a settlement price greater than 0, we assume it is in-the-money, we enter an automatic fill to offset the option position at a price of 0, and we enter an automatic fill to assign/exercise the corresponding futures position at the strike price of the option. |
| |
| Please note that these assumptions will not account for discrepancies related to early exercise or contrary exercise instructions, nor will they account for futures settlement occurring exactly at a strike price where either the call or the put may be considered in-the-money. Our goal is to predict delta and P&L implications as a result of option expiration in advance of receiving the complete and accurate record from the firm's back office file. Our current procedure leaves positions in expired options open until day roll (between 4:00pm and 5:00pm Central Time) and does not reflect any expected futures positions. After day roll, positions in expired options are deleted and expected futures positions and P&L are not accounted for until we receive a back office file, leaving an account with an incomplete risk picture. This new feature seeks to bridge the gap from option expiration to statement publication. | Please note that these assumptions will not account for discrepancies related to early exercise or contrary exercise instructions, nor will they account for futures settlement occurring exactly at a strike price where either the call or the put may be considered in-the-money. Our goal is to predict delta and P&L implications as a result of option expiration in advance of receiving the complete and accurate record from the firm's back office file. Our current procedure leaves positions in expired options open until day roll (between 4:00pm and 5:00pm Central Time) and does not reflect any expected futures positions. After day roll, positions in expired options are deleted and expected futures positions and P&L are not accounted for until we receive a back office file, leaving an account with an incomplete risk picture. This new feature seeks to bridge the gap from option expiration to statement publication. |