Use the official settlement value
For a cash-settled call, subtract the strike from the official settlement value and use zero if the result is negative. For a put, subtract the settlement value from the strike, again with a minimum of zero. Multiply by the cash multiplier and contract count. This gives intrinsic settlement value; trading profit also subtracts premium and costs.
Opening and closing settlement differ
AM-settled products can use component opening prices to calculate a special settlement value. PM-settled products can use a prescribed closing calculation. The precise method is defined by the exchange. A special opening quotation can differ from the previous close and from an index quote observed while the market is opening.
Last trading time is a separate fact
An option may stop trading before the settlement value is determined. News during that gap can affect the result even when the trader can no longer close the expiring series. Check holidays, local time zones, broker cutoffs and the exact series. “Friday expiry” alone does not describe the full timetable.
Cash still needs funding
Cash settlement eliminates the transfer of component shares, but a losing short position still requires money. A matched spread limits its expiration payoff only when the legs refer to compatible terms. An offsetting ETF or futures position can settle differently and leave residual exposure.
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Open a strategy with Index mode selected. Change the illustrative values to match the contract, premium and settlement scenario you want to examine.
Expiration payoff only. No live quotes, margin calculation or account-currency conversion.
AM and PM: a numerical comparison
Assume a $5,000-strike cash-settled call with a $100 multiplier was bought for 20 index points, or $2,000. An official AM settlement value of 5,030 creates $3,000 intrinsic settlement and $1,000 profit before costs. A different PM series settling at 5,010 instead creates $1,000 intrinsic settlement and a $1,000 loss. These are alternative contracts and values, not two prices a holder can choose between.
| Series | Exercise / settlement | Reference |
|---|---|---|
| Traditional SPX | European, cash, AM | Special calculation from component opening prices |
| SPXW | European, cash, PM | Prescribed component closing prices |
| XSP | European, cash, PM | One-tenth the official S&P 500 closing level |
A published index value observed at one instant during the opening process need not equal the official special opening quotation. Use the settlement value identified for the series, not a chart screenshot or the previous day’s close. XSP retains a $100 multiplier even though its index level is one-tenth SPX.
Check the current product specifications for last trading times and holidays. A cash-settled spread needs matched settlement terms; two options on the same index with different reference times can leave an exposure that a simple width calculation misses.
