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ES/MES Put Option Trading
For options on the ES/MES futures, what price does it use at the rollover, like today with June/September? It looks like the June MES future is around $4,185 while the September MES future is $4,165. For options expiring today, do they key off the June or September price?, or did they settle based on opening price today? If the option is ITM, I assume it will be cash settled as opposed to assignment of a futures contract? Any clarification would be much appreciated!
Correct! ES options will be settled physically in the near/front future contract. The one exception, as you note, is the expiration date of the ES contract itself, where the ES option will be cash-settled.
The E-mini options that expire in the AM on the expiration day are the American Options listed on the contract specs page. https://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_contractSpecs_options.html
Per that page they should settle to the SOQ of this morning using the June contract. If you hop over to the quotes or settlement pages you’ll see the official numbers.