An option that has a crush spread as underlying. This option is used in the soybeans futures market and is based on the relative mispricing opportunities in this market. The option is in the money when the difference between the crush spread and the exercise price is positive, in the case of a call, or negative, in the case of a put. The CBOT employs a calculation method for that spread using final settlement values for the underlying contracts in the following formula:
[(Settlement Price of Soybean Meal in $/ short ton x .022) + Settlement Price of Soybean Oil in cents/pound x 11)] – (Settlement Price of Soybeans in $/ bushel)
The results of this calculation are rounded to the nearest quarter of one cent ($0.0025). A crush option is in-the-money if the rounded settlement price of the underlying crush spread is less in the case of a put, or greater in the case of a call, than the exercise price of the option.
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