CBOE Index Workbench

S&P 500 (SPX)

		Introduction
		Strategies
		S&P 500 Prices
		Product Specifications for SPX Options
		Stocks in S&P 500 Index
		Testimonial Quotes

For more information on S&P 500 options, please visit http://www.cboe.com/spx.

Introduction

Investors have used options on the S&P 500 (SPX) index for a variety of purposes over the past 16 years, including investing, hedging, asset allocation, and the management of risk.

Investors appreciate many features of the SPX options, including:

the fact that the options are tied to the world's leading benchmark for institutional investors
SPX options are powerful, flexible tools that allow investors to synthetically adjust their positions to a 500-stock portfolio
these listed options minimize counterparty risk - they are guaranteed by The Options Clearing Corporation, a triple-A rated clearinghouse.
there is price discovery in competitive, SEC-regulated auction markets.

The following pages have detailed information regarding uses of S&P 500 options and LEAPS. For more information on S&P 500 options, please visit http://www.cboe.com/spx.

Strategies

For some examples of strategies on options on the S&P 500 (SPX) Index, please click on any of the following:
Buy SPX LEAPS
SPX Protective Put
S&P 500 Protective Collar
SPX Synthetic -- Buy Call

For more information on some of the many ways in which listed options can help you manage your equity portfolio, please visit
http://www.cboe.com/strategies/
http://www.cboe.com/protection

Long Call		Long Put
Example: Buy call Market outlook: Bullish Risk: Limited Reward: Unlimited Increase in Volatility: Helps position Time Erosion: Hurts Position		Example: Buy put Market outlook: Bearish Risk: Limited Reward: Limited, but substantiated Increase in Volatility: Helps position Time Erosion: Hurts Position

Call Backspread		Put Backspread
Example: Sell 1 call and buy 2 calls at higher strike Market outlook: Bullish Risk: Limited Reward: Unlimited Increase in Volatility: Typically helps position Time Erosion: Typically hurts Position		Example: Sell 1 put and buy 2 puts at a lower strike Market outlook: Bearish Risk: Limited Reward: Limited, but substantial Increase in Volatility: Typically helps position Time Erosion: Typically hurts Position

Protective Put		Bear Split-Strike Combo
Example: Own 100 shares of stock, buy 1 put Market outlook: Cautiously Bullish Risk: Limited Reward: Unlimited Increase in Volatility: Helps position Time Erosion: Hurts Position Graph shows net stock and options position		Example: Buy 1 put, sell 1 call at higher strike Market outlook: Bearish Risk: Unlimited Reward: Limited, but substantial Increase in Volatility or Time Erosion: Helps or hurts depending on strikes chosen

S&P 500 Prices

Year-end Prices

Year	Dow DJX	S&P 100 OEX	S&P 500 SPX	Russell 2000 RUT	Nasdaq-100 NDX	MNX
1990	26.34	155.22	330.22	132.2	200.53	20.05

1991	31.69	192.78	417.09	189.94	330.85	33.09

1992	33.01	198.32	435.71	221.01	360.18	36.02

1993	37.54	214.73	466.45	258.59	398.28	39.83

1994	38.34	214.32	459.27	250.36	404.27	40.43

1995	51.17	292.96	615.93	315.97	576.23	57.62

1996	64.48	359.99	740.74	362.61	821.36	82.14

1997	79.08	459.94	970.43	437.02	990.80	99.08

1998	91.81	604.03	1229.23	421.96	1836.01	183.60

1999	114.97	792.83	1469.25	504.75	3707.83	370.78

2000	107.88	686.45	1320.28	483.53	2341.70	234.17

Yearly Price Changes

Year	Dow DJX	S&P 100 OEX	S&P 500 SPX	Russell 2000 RUT	Nasdaq-100 NDX	MNX
1991	20.3%	24.2%	26.3%	43.7%	65.0%	65.0%

1992	4.2%	2.9%	4.5%	16.4%	8.9%	8.9%

1993	13.7%	8.3%	7.1%	17.0%	10.6%	10.6%

1994	2.1%	-0.2%	-1.5%	-3.2%	1.5%	1.5%

1995	33.5%	36.7%	34.1%	26.2%	42.5%	42.5%

1996	26.0%	22.9%	20.3%	14.8%	42.5%	42.5%

1997	22.6%	27.8%	31.0%	20.5%	20.6%	20.6%

1998	16.1%	31.3%	26.7%	-3.4%	85.3%	85.3%

1999	25.2%	31.3%	19.5%	19.6%	102.0%	102.0%

2000	-6.2%	-13.4%	-10.1%	-4.2%	-36.8%	-36.8%

For updated price quotes, please visit http://www.cboe.com/MktQuote/

Product Specifications for SPX Options

Symbol:
SPX

Underlying:
The Standard & Poor's 500 Index is a capitalization-weighted index of 500 stocks from a broad range of industries. The component stocks are weighted according to the total market value of their outstanding shares. The impact of a component's price change is proportional to the issue's total market value, which is the share price times the number of shares outstanding. These are summed for all 500 stocks and divided by a predetermined base value. The base value for the S&P 500 Index is adjusted to reflect changes in capitalization resulting from mergers, acquisitions, stock rights, substitutions, etc.

Multiplier:
$100.

Strike Price Intervals:
Five points. 25-point intervals for far months.

Strike (Exercise) Prices:
In-,at- and out-of-the-money strike prices are initially listed. New series are generally added when the underlying trades through the highest or lowest strike price available.

Premium Quotation:
Stated in decimals. One point equals $100. Minimum tick for options trading below 3.00 is 0.05 ($5.00) and for all other series, 0.10 ($10.00).

Expiration Date:
Saturday immediately following the third Friday of the expiration month.

Expiration Months:
Three near-term months followed by three additional months from the March quarterly cycle (March, June, September and December).

Exercise Style:
European - SPX options generally may be exercised only on the last business day before expiration.

Settlement of Option Exercise:
The exercise-settlement value, SET, is calculated using the opening (first) reported sales price in the primary market of each component stock on the last business day (usually a Friday) before the expiration date. If a stock in the index does not open on the day on which the exercise & settlement value is determined, the last reported sales price in the primary market will be used in calculating the exercise-settlement value. The exercise-settlement amount is equal to the difference between the exercise- settlement value, SET, and the exercise price of the option, multiplied by $100. Exercise will result in delivery of cash on the business day following expiration.

Margin:
Purchases of puts or calls with 9 months or less until expiration must be paid for in full. Writers of uncovered puts or calls must deposit / maintain 100% of the option proceeds* plus 15% of the aggregate contract value (current index level x $100) minus the amount by which the option is out-of-the-money, if any, subject to a minimum for calls of option proceeds* plus 10% of the aggregate contract value and a minimum for puts of option proceeds* plus 10% of the aggregate exercise price amount. (*For calculating maintenance margin, use option current market value instead of option proceeds.) Additional margin may be required pursuant to Exchange Rule 12.10.

CUSIP Number:
648815

Last Trading Day:
Trading in SPX options will ordinarily cease on the business day (usually a Thursday) preceding the day on which the exercise-settlement value is calculated.

Trading Hours:
Generally 8:30 a.m.- 3:15 p.m. Central Time (Chicago time).

Visit http://www.cboe.com/spx for any updates and more details.

Stocks in the S&P 500 Index

The Standard & Poor's 500 Index is a capitalization-weighted index of 500 stocks from a broad range of industries. The component stocks are weighted according to the total market value of their outstanding shares.

Top Ten Stocks in Three Indexes (in terms of weighting in index)

Nasdaq-100 (NDX)		S&P 100 (OEX)		S&P 500 (SPX)
MSFT	11.3%	GE	7.0%	GE	4.0%

INTC	6.7%	MSFT	5.4%	MSFT	3.1%

QCOM	5.1%	XOM	5.0%	XOM	2.9%

CSCO	4.1%	PFE	4.3%	PFE	2.4%

AMGN	3.4%	C	3.8%	C	2.2%

ORCL	2.8%	WMT	3.7%	WMT	2.1%

DELL	2.3%	AIG	3.5%	AIG	2.0%

MXIM	2.1%	INTC	3.1%	INTC	1.8%

AMAT	1.8%	JNJ	3.0%	JNJ	1.7%

LLTC	1.8%	IBM	3.0%	IBM	1.7%

	41.4%		41.9%		23.7%

Source: Bloomberg, Sept. 10, 2001 (unofficial information)

For a list of all 500 component stocks, please visit http://www.cboe.com/OptProd/snp500.asp or http://www.cboe.com/OptProd/snp500.asp

Testimonial Quotes on Listed Options

For a video on how portfolio managers use S&P 500 options, please click here.
For print testimonials on index options, please click here.

For more information on S&P 500 options, please visit http://www.cboe.com/spx.

Options involve risk and are not suitable for all investors. Prior to buying or selling options, a person must receive a copy of Characteristics and Risks of Standardized Options, which is available from The Options Clearing Corporation, One North Wacker Dr., Suite 500, Chicago, IL 60606, or by calling 1-888-OPTIONS.

Please note that futures on the CBOE Volatility Index® (VIX®) were introduced in 2004 after the methodology for VIX was changed; please visit www.cboe.com/vix for volatility updates that might not be reflected on this CD-ROM.

This discussion is designed to assist individuals in learning how options work and in understanding various options strategies. This discussion is for educational purposes only and is not intended to provide investment advice. Commissions, taxes and transaction costs generally are not included in the strategy discussions, but can affect final outcome and should be considered. Please contact a tax advisor for the tax implications involved in these strategies.
This discussion has been prepared solely for informational purposes, based upon information generally available to the public from sources believed to be reliable, but no representation or warranty is given with respect to its accuracy or completeness. No statement herein should be construed as a recommendation to buy or sell a security or to provide investment advice. Any profit/loss diagrams refer only to approximate results at expiration. Past performance is no guarantee of future results.

S&P 100® and S&P 500® are registered trademarks of the McGraw-Hill Companies, Inc., and are licensed for use by the Chicago Board Options Exchange, Inc. ("CBOE"). The Russell 2000® Index is a registered trademark of Frank Russell Company. The Nasdaq 100® is a registered mark of The Nasdaq Stock Market, Inc. "Dow Jones SM", "Dow Jones Industrial AverageSM", "Dow Jones Transportation AverageSM," and "Dow Jones Utility AverageSM" are service marks of Dow Jones & Company, Inc. and have been licensed for certain purposes by the CBOE. iSharesSM is a servicemark of Barclays Global Investors. The Goldman Sachs Technology Indexes are the property of Goldman, Sachs & Co. and have been licensed to the CBOE in connection with the trading of options based upon the indexes. Dow Jones & Co., The Nasdaq Stock Market, Goldman Sachs, and McGraw-Hill make no warranties and bear no liability in regard to the trading of index options.VIX®, CBOE Volatility Index® LEAPS®, FLEX®, FLexible EXchange® and OEX® are registered trademarks and Long-term Equity AnticiPation SecuritiesTM and SPXTM are trademarks of the Chicago Board Options Exchange, Inc.

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