AM vs PM settlement (index options)

AM-settled options are settled on a value computed from the opening prices of the index components on expiration morning, after trading in the option stopped the previous business day; PM-settled options are settled on the closing value of the expiration day. For the S&P 500, standard monthly SPX options are AM-settled and SPXW options are PM-settled.

Senzoukria · Glossary · Updated September 2026

At a glance

AM-settled (SPX standard monthly)
Last trading day usually Thursday; settles on the special opening quotation (SET) on Friday
PM-settled (SPXW)
Trades until 4:00 pm ET on expiry; settles on the closing value
VIX futures and options
Special opening quotation of VIX on expiry morning, usually a Wednesday

Two settlement clocks

According to Cboe, trading in standard SPX options ordinarily ceases on the business day, usually a Thursday, preceding the day the exercise settlement value is calculated. That value, published under the symbol SET, is a special opening quotation built from the opening price of each component stock on the expiration morning. SPXW options, which Cboe lists for every weekday, trade until 4:00 pm ET on their expiration day, 1:00 pm on half days, and settle on the closing value. A third Friday therefore carries two S&P 500 index option expiries with different clocks: the monthly series, already out of the market, and the Friday SPXW series, live until the close.

Why the opening quotation is not the open print

The index value printed at 9:30 is computed from whatever prices exist at that instant, including stocks that have not yet opened. The special opening quotation waits for each component's own opening trade. When several large components open late or away from their previous close, the settlement value can differ noticeably from both the Thursday close and the first index print, and holders of AM-settled series bear that overnight gap without being able to trade the option.

Consequences for expiry-day gamma

  • The gamma of AM-settled series leaves the market at Thursday's close: it cannot be hedged or pinned during Friday's session.
  • Only PM-settled series (SPXW, and ETF options such as SPY and QQQ that expire at the close) carry same-day gamma through the Friday afternoon.
  • Quarterly E-mini index futures also settle to a special opening quotation of their index, so quarterly expiry mornings concentrate several opening settlements.
  • A GEX model that counts an AM-settled series as expiring at Friday's close overstates the time it has left and includes gamma that no longer trades.

In Senzoukria

Senzoukria's curated GEX symbols are ETFs and stocks whose options expire at the close, and its ES and NQ chart overlays map to SPY and QQQ. The app's own vanna, charm and gamma-profile computations measure each leg's time to expiry up to 16:00 New York time on its expiration date, and treat a leg whose expiry has passed as expired rather than inventing a residual time. For an AM-settled index series, whose trading effectively ends the previous day, that clock would overstate the remaining time, a limit to keep in mind if such a chain is loaded.

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Frequently asked questions

Why do AM-settled SPX options still exist next to SPXW?
They are the original monthly SPX contract and carry large open interest, including institutional positions and hedges built around monthly cycles. The settlement method is part of the contract specification, so both families coexist and settle differently on the same third Friday.
Can I trade out of an AM-settled SPX option on expiration morning?
No. Trading in the standard monthly SPX series ordinarily ends on the previous business day. Positions still open after that close are settled at the special opening quotation, whatever the market does overnight and at the open.

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