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I don't know whether this is the right place to ask, but I think Jesse and Kim have mentioned that there are no such thing as stupid questions... so here goes. I'm trying to understand the exact process for calculating whether a RUT option is in or out of the money at expiry. As an example, let's take this month's (October) RUT options. From reading the CBOE web site (http://www.cboe.com/Products/indexopts/rut_spec.aspx), I understand that the expiration date is Saturday, October 18th (will change to Fridays from early next year). Furthermore: Options can only be exercised on the last business day before expiration (i.e. tomorrow, Friday), as they are European style options. The settlement is delivery by cash on the business day following expiration (i.e. Monday). The exercise settlement value (RLS) is calculated using the first (opening) reported sales price in the primary market of each component security on the last business day (usually a Friday) before the expiration date. (my emphasis) The exercise-settlement amount is equal to the difference between the exercise-settlement value and the exercise price of the option, multiplied by $100. So, let me assume the following... Although tomorrow is the last business day before expiration, the only thing that matters in determining whether a RUT option is going to be exercised is what the Russell 2000 components open at tomorrow (Friday) morning, not what happens later during the day. For example, let's say the Russell 2000 opens tomorrow flat at around 1086. Even if we have yet another +30 day upswing and finish at 1115, the exercise settlement value will be around 1086 (may vary a bit depending on opening time of each component), and therefore a call option at say, 1100, would not be exercised. Is that correct?

Kim, With RVX now at around 22 what do you think of opening the Feb Iron condor? Maybe with the "fiscal cliff" discussion out there its better to wait. However personally I think these analysts who are blaming the current market on the fiscal cliff do not know what they are talking about. Thanks! Richard