AEX: April expiration was textbook

It’s the Third Friday of the month, so the AEX/FTI options expired.
130419 AEX intraday

 

The expiration period is from 15:30 to 16:00, after which the settlement price is set, which was 340.68. The optimal expiration price was 345, at this price most open contracts expired worthless, see chart below. Historically over 70% of open contracts expire worthless. The OIX indicator (developed here) is based on this information.

But notice what happened at 15:30. The AEX was 341.5 and got pushed down in 2 bursts to just under 340, before settling at 340.68. Ideally the AEX should have gone to 345, but look at the percentage chart. At 340 the percentage is almost as high as at 345 (above 80%). This is a textbook example of how expirations unfold.

 

130419 aex percent

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