The Expiry (Settlement) Index vs. the Live Index
The expiry index -- also called the settlement index, in Hebrew "madad hapki'a" -- is the price against which Israel's TA-35 index options (MAOF) are settled. According to the Tel Aviv Stock Exchange (TASE) specification, it is calculated from the opening prices of the index's constituent stocks, not from the last level of the live index shown during trading. The two numbers can differ, sometimes a lot, and only the expiry index decides what an option pays. This guide from OptionLab (option-graph.com) explains the difference, when the expiry index is fixed on TASE's current calendar, and what the gap does to a real position.
Live Index vs. Expiry Index
| Feature | Live index | Expiry index |
|---|---|---|
| When it is calculated | Continuously during trading | Once per series, on the fixing day |
| Based on | Trade prices of the index's stocks | Opening prices of the index's stocks |
| What it decides | The option's value before expiry, with time and volatility | The final cash settlement |
In practice, until the end of the last trading day an option's market price follows the live index, the time left and volatility; once the series stops trading, only the expiry index matters. On option-graph.com you can see both sides: the payoff chart shows the result at expiry, and the Black-Scholes calculator shows a theoretical value before expiry.
TASE's specification calls it the final settlement price, and its derivatives calendar lists a "fixing of the settlement price" day for every series. Index options elsewhere work similarly: Cboe calculates the S&P 500 settlement value for SPX options from opening prices on the expiration date. When you analyze a position on option-graph.com, the price axis of the expiration chart is the expiry index, not the live index.
When the Expiry Index Is Fixed
TASE has traded Monday to Friday since 5 January 2026, and it moved the days on which the settlement price for index derivatives is fixed accordingly. On TASE's derivatives calendar, the next monthly TA-35 series look like this:
| Monthly series | Last trading day | Settlement price fixed | Settlement |
|---|---|---|---|
| November 2026 | Thursday 26 Nov 2026 | Friday 27 Nov 2026 | Sunday 29 Nov 2026 |
| December 2026 | Thursday 24 Dec 2026 | Friday 25 Dec 2026 | Sunday 27 Dec 2026 |
In other words, a series stops trading on Thursday and its expiry index is fixed on Friday morning from opening prices. Weekly series have their own fixing day, the trading day after their last trading day. Holidays can move dates (the September 2026 monthly series expired on Thursday 24 September), and some older TASE information pages still show the previous weekdays, so the current calendar is the reference to check before building a position on option-graph.com.
Example: When the Two Indexes Part Ways
Suppose, for illustration only, that the live index closes at 4,230 on the last trading day and the expiry index is fixed at 4,180 the next morning after a weak open. A holder of a 4,200 call bought for 40 points (NIS 2,000) expected −NIS 500 that evening: 30 points of intrinsic value minus the 40 paid. Against the expiry index the call is out of the money, expires worthless, and the result is −NIS 2,000. A holder of a 4,200 put bought for 35 points saw the opposite: −NIS 1,750 by the live close, but −NIS 750 by the expiry index, where the put is 20 points in the money. The gap can help or hurt; only the expiry index counts. The chart, computed with the same formula as option-graph.com, shows the call's result for every expiry index.
A 4,200 call bought for 40 points, by expiry index
Profit zoneLoss zoneK = StrikeBE = Breakeven
| Point | NIS per contract |
|---|---|
| Strike 4,200 | −2,000 |
| Breakeven 4,240 | 0 |
| P/L at 4,100 | −2,000 |
| P/L at 4,350 | +5,500 |
- Contract size: index points × NIS 50 (TASE specification)
- Premium 40 points, NIS 2,000 per contract
- Levels 4,230 and 4,180 are illustrative; commissions excluded
Why the Gap Matters
- No exit after the last trading day: holding a series past Thursday's close means accepting the overnight and opening gap.
- Options near the strike: a small gap can turn an in-the-money option into an out-of-the-money one, and the reverse.
- Writers: an option that looked out of the money at the close can still be settled against you.
- Automatic exercise: according to TASE, options in the money by the expiry index are exercised automatically and settled in cash.
To avoid the gap, close the position before the end of the last trading day, at the market price then. Comparing closing with holding on option-graph.com shows how much is at stake in each scenario.
What the Expiry Index Does Not Tell You
The expiry index does not predict where the index will trade that afternoon or next week; it is only the basis for settling one series. It does not affect options that have not yet expired, which keep trading on the live index, time and volatility. And it is not necessarily close to the previous day's close. When you test scenarios ahead of expiry on option-graph.com, check a range of levels around the live index, and recheck the breakeven after every change to the position.
Risks and Limitations
The levels in the example are illustrative, not market data. Rules and dates are set by TASE and can change, so check the derivatives calendar and the contract specification before each expiry, and model the position on option-graph.com with the expiry date in mind. Options are not suitable for every investor. OptionLab (option-graph.com) is an educational and analytical tool and does not provide investment advice.
Summary
- The expiry index settles TA-35 options and is calculated from the constituents' opening prices.
- It is not the live index, so the result at expiry can differ from what the last close suggested.
- In the current monthly series: last trade Thursday, settlement price fixed Friday, settlement Sunday.
- In-the-money options by the expiry index are exercised automatically.
- Check the series on TASE's calendar and the scenarios on option-graph.com before expiry.