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Quantitative Finance · Begrippenlijst

Wat is Special opening quotation?

Definition 21.10 Markets I: The Ecosystem and Exchange-Traded Markets · Hoofdstuk 21 — Basis, Roll and Delivery

A special opening quotation is a final settlement value of an index computed from the opening prices of each of its components on the settlement day. It is not an index level that anyone saw: the components open at different moments, and the quotation can lie outside the day’s range of the published index.

The expiry of a cash-settled index future that uses a special opening quotation (New York times). Between the moment futures stop trading and the moment the last component opens, the holder’s exposure is to opening auctions it can join but no longer hedge with the expiring contract.
Figure 21.4. The expiry of a cash-settled index future that uses a special opening quotation (New York times). Between the moment futures stop trading and the moment the last component opens, the holder’s exposure is to opening auctions it can join but no longer hedge with the expiring contract.
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