Here is a link on OIC website showing all the index options and whether they are AM or PM settled:
From: OptionClub@yahoogro
Sent: Thursday, March 25, 2010 10:03 AM
To: OptionClub@yahoogro
Subject: Re: [TheOptionClub.
Most* of the cash settled indexes use the special opening quotation (SOQ) calculated using Fri morning's opening price for all the components, NOT the opening print of the index. The $RUT for example has the problem that it contains 2000 stocks and they are small caps so it can take until noon or later on Friday until all the component stocks have an opening trade before the SOQ can be calcuated, so the RUT's SOQ will often vary greatly from the opening print of the index itself. The VIX options have this problem too since it's calculated off the VIX futures and they skip to the next later set of futures when they calculate the SOQ for this month's expiration.
(*The exception is $OEX which uses the close on Friday; the currency options which have their own expiration procedure at 12 noon, and the $VIX options which has its own expiration day which generally alternates between Wed of exp weed & the Wed after exp week.)
Here is a whitepaper on the SP500 SOQ: http://www.cmegroup.com/trading/equity-index/files/SOQ.pdf
You can check the SOQ on the CBOE website: http://www.cboe.com/data/Settlement.aspx
"Directory of Listed Options" Excel spreadsheet on OIC's website: http://www.optionseducation.org/resources/brochures.jsp
OCC Expiration Calendar: http://www.optionsclearing.com/about/publications/expiration-calendar.jsp
(Note the legend which separates AM settled, PM settled, currency, VIX, etc.)
Unfortunately I have yet to find a list of the expiration method by option ticker spreadsheet, so you have to look-up each option product on its exchange's website or ask your broker. There are general rules: Equity options and OEX are PM settled using Friday's close; most all other cash settled index options are AM settled using Friday's opening SOQ; currency have their own 12 noon cut-off; VIX has its own.
I used to keep a spreadsheet of the VIX SOQ versus the VIX index closing print on last trading day, so you can see the variance to get the idea. This shows the closing price of the VIX index on the last trading day, and the opening SOQ the next morning used to settle the options. Then I got my ass burned in Oct 2008 with the meltdown and stopped holding VIX options into expiration.
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