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Gmike2000
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Joined: September 25th, 2003, 9:49 pm

Euro Stoxx 50 Options

January 26th, 2005, 8:40 pm

The end of day quotes for stoxx 50 options on Bloomberg (available thru OMON or by download thru history wizard), are they any good? Are these actual broker quotes, or bloomberg's own fairy tale prices (as e.g. is sometimes the case with ED and ER futures options).Also, are these quotes time stamped 17:30 (i.e. when the cash market closes) or are they from 20:00 (when the futures market closes)? The description page and EUREX officially claim the options market closes 17:30, but when I do "QRM <go>" on any option, the closing quote is stamped 20:00.Finally, how about volume. Do you think the quotes are good for longer term, e.g. Dec05 options, or just for the "front contract"?Thanks
 
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jkoul
Posts: 4
Joined: October 7th, 2003, 11:47 am

Euro Stoxx 50 Options

January 27th, 2005, 7:53 am

Hi - Bloomberg quotes on exchange-listed options are actual. If you have a live data feed, they are actual bids, offers and last trade prices for each strike, and so is their volume. Options are open untill 17.30, but the 'official closing price' is registered at 20.00 because the 'last price' may not correspond to reality (ie. an option might trade last at 15 at around noon, and then perhaps it does no volume untill the afternoon close). But market fluctuation might drive its price quote at 19 - 21 by the time they close at 17.30pm. It doesn't mean that the official close should be 15; this price was traded hours before the close, and before market moved. You should rather expect that the exchange will announce an offcial close at 20. (the mid price of 19-21) This is registered at 8.00pm.Volume shouldn't be a problem. You can "Request For Quote" for any amount you wish to trade at any expiry, and market-makers will respond instantly. Nevertheless, it is obvious that front months are more heavily traded.