Hang Seng Index Futures

[boony]

Hmmmmmmmmm

[glam_100]

The price of derivatives are supposed to be the same as the underlying on expiration due to arbitrage. However they can still be slightly off because arbitrage is not always efficient. It could be the price difference is so small that it doesn't cover execution cost and interest, or it could be the last second ticks that came in right before end of trading hours that creates the discrepancy. The point is that price between derivatives and underlyings do not have to be the same on expiration. They're very close only because arbitrager "pushes" the two together as they near expiration.

[sneo]

hsi options expires one business day before the futures. settlement price used is the futures expiration settlement price (average of HSI at every 5min interval on the last day). if ITM, options become futures on the last day and then settled as futures, else, it disappears forever.

hence, while the settlement price is the same for the option and futures, the need to specify if it is option or futures affects the actual settlement. The options go worthless if OTM and hence end of story; for futures, we still need to determine who receives or pays because its a obligation.