The price the Options Clearing Corporation uses to determine if an option is in-the-money or out-of-the-money at expiration is not the Last Sale at any one specific exchange or market center, but rather a Composite Close price (see OCC Memo 39744). It is important to note that the Composite or Consolidated Closing (CC) price is not determined by any activity in the "after hours" trading session. The Composite/Consolidated Closing price is generally considered the primary measure of the market for a variety of constituents, including institutions, market indexers, and individual investors. Consequently, one advantage of the OCC using the Composite Closing price for expiration processing is it's transparency and familiarity to these constituents, especially public customers.
What price does the OCC use to determine if an option is in-the-money at expiration?
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