Most U.S. equity index derivatives cease trading at 16:15 Eastern Time on the 3rd Thursday of each month and settle “a.m” on the 3rd Friday via the index special opening quotation (SOQ), which is a price calculated after all constituents stocks have traded. Unconditionally, the daily SOQ is close to its preceding closing price. However, when derivative payoffs are calculated, the SOQ exceeds Thursdays close by a significant margin. An abnormally large positive overnight return into the SOQ raises (lowers) S&P 500 call (put) option payoffs, inducing a wealth transfer of around $4 billion per year in SPX options alone. These findings are most consistent with inventory management by option market makers and/or market manipulation by sophisticated investors. Both explanations rely on the existence of an illiquid trading period that precedes option settlement; thus, we argue that current settlement design generates a market inefficiency