Comment on STT Trap - Options Expiry - NSE BSE MCX-SX

Amit Nanda commented on 28 Mar 2017, 11:09 AM

Please let me know what I am missing in the below scenario.

Assume that I Short 1 lot of SBIN Feb 260 Call option at 15. On expiry day, the underlying Close price (both Spot and Future) is 270.45. If I do not manually square-off my position on SBIN Call option and let it expire (no extra STT since I have already paid STT while Shorting), then it should expire at 10.45 (270.45 – 260 = 10.45). However, when I see historical data on NSE website on expiry day, the Close price is 10.3 and Settlement price is 0.

Shouldn’t the final settlement price of this call option be exactly 10.45 (instead of 10.30)? At what price does the “in the money” option expire if not squared-off manually? I would assume that it should expire at Closing price of underlying minus Strike price of the option. However that doesn’t seem to happen in many cases.

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