CBOE SINGLE-NAME CREDIT EVENT BINARY OPTIONS

Contract Description:
CBOE Single-Name Credit Event Binary Options (Single-Name CEBOs) are binary call options that pay $100,000 upon the confirmation of a Credit Event in a Reference Entity and $0 if there is no Credit Event prior to the last trading day. A Reference Entity can be an issuer with securities listed on a U.S. national market. A Reference Entity is said to have a "Credit Event" if the following occur between the listing date and the last trading day:

(1) A Failure-to-Pay Default on its Reference Obligation (e.g., Company ABC 8.5% July 2013 bond) or on any other debt security obligations of the Reference Entity other than non-recourse indebtedness (the set of these obligations and the Reference Obligation are referred as the "Relevant Obligations"). A "Failure-to-Pay Default" will be defined in accordance with the terms of the Relevant Obligation(s) provided that the minimum failure-to-pay amount, individually or in the aggregate, shall be the greater of $750,000 or the amount specified in accordance with the terms of the Relevant Obligation(s); and/or

(2) The occurrence of any other Event of Default on the Relevant Obligation(s), with each such "Event of Default" being specified by the Exchange and, if so specified, defined in accordance with the terms of the Relevant Obligation(s), provided that the default relates to a principal amount of the Relevant Obligation(s), individually or in the aggregate, that is the greater of $7.5 million or the amount specified in accordance with the terms of the Relevant Obligation(s); and/or

(3) A change in the terms of the Relevant Obligation(s) (a "Restructuring"). The terms of such a Restructuring will be specified by the Exchange and, if so specified, will be defined in accordance with the terms of the Relevant Obligation(s) provided that the restructuring relates to a principal amount of the Relevant Obligation(s), individually or in the aggregate, that is the greater of $7.5 million or the amount specified in the terms of the Relevant Obligation(s).

Each CBOE Single-Name Credit Event Binary Option class shall specify (a) the Reference Entity, (b) the specific debt security that serves as the Reference Obligation and (c) the applicable Credit Events.

Relevant Securities:
The Reference Obligation of the Reference Entity and all its other debt security obligations excluding non-recourse debt.

Strike Price:
Not applicable.

Exercise Settlement Value:
$100 per unit (equivalent to $101.00 minus the dummy strike price of $1.00) if a Credit Event is confirmed.

Unit/Multiplier:
1,000 per contract.

Cash Settlement Amount:
$100,000 per contract (equal to the exercise settlement value of $100 multiplied by the contract multiplier of 1,000) if there is a Credit Event confirmed; $0 if there is no Credit Event confirmed.

Minimum Price Increment:
$0.05 per unit ($50 per contract)

Contract Months:
The Exchange usually will list one to four series for each year up to 10.25 years from the current expiration cycle. Unless a Credit Event has been confirmed, the last trading day in the series will be the 3rd Friday in the March, June, September or December expiration month (however, if that day is not a business day, the last trading day in the series will be on the preceding business day).

Special Contingencies:
Special procedures will apply if one or more of the following events occur on or before the last trading day:

(1) A Succession Event, which will be defined in accordance with the terms of the Relevant Obligation(s).

Adjustment for Succession: Once CBOE has confirmed a Succession Event, each CBOE Single-Name Credit Event Binary Option contract will be replaced by one or more Single-Name Credit Event Binary Options derived from Successor Reference Entities that have succeeded the original Reference Entity as a result of the Succession based on the share of each Successor Reference Entity (as further described in Rule 29.4). If CBOE determines that a Credit Event in the underlying Relevant Obligation(s) of the Successor Reference Entity has occurred prior to 10:59 p.m. (CT) on the last trading day, the cash settlement amount will be $100,000 multiplied by the applicable successor share. Otherwise the cash settlement amount will be $0.

(2) A Redemption Event, which will be defined in accordance with the terms of the Relevant Obligation(s) and will include the redemption or maturity of the Reference Obligation and of all other Relevant Obligations. (If the Reference Obligation is redeemed or matures but other Relevant Obligation(s) remain, a new Reference Obligation will be specified from among the remaining Relevant Obligation(s) and the substitution will not be deemed a Redemption Event.)

Adjustment for Redemption: Once CBOE has confirmed a Redemption Event, each Single-Name Credit Event Binary Option contract will be settled early at a price of $0 if no Credit Event has been confirmed to have occurred prior to the Redemption Date. If a Credit Event in the underlying Reference Entity has been confirmed to have occurred prior to the Redemption Date, the cash settlement amount will be $100,000.

Confirmation of Credit Event and Special Contingencies:
CBOE will confirm Credit Events and Special Contingencies based on at least two of the following sources of publicly available information: (1) Wall Street Journal, Bloomberg Service, Reuters, Dow Jones News Wire, Financial Times, New York Times; and/or (2) information submitted to or filed with the courts, the SEC, an exchange or association, the OCC, or another regulatory agency or similar authority.

Every determination made by the Exchange shall be within its sole discretion and shall be conclusive and binding on all investors and not subject to review.

The confirmation period will begin when the Single-Name Credit Event Binary Option contract is listed and will extend to 3:00 p.m. (CT) on the expiration date.

Settlement:
CBOE Single-Name Credit Event Binary Options settle in cash. If CBOE determines that a Credit Event in the underlying Reference Entity has occurred prior to 10:59 p.m. (CT) on the last trading day, the cash settlement amount will be $100,000. Otherwise the cash settlement amount will be $0.

Last Trading Day:
The 3rd Friday of the expiration month (or, if that day is not a business day, the preceding business day); provided, however, if a Credit Event is confirmed prior to that day, the series will cease trading at the time of confirmation of the Credit Event and the last trading day would be accelerated to the confirmation date.

Expiration Date:
The 4th business day after the 3rd Friday of the expiration month (or, if that day is not a business day, the 4th business day after the preceding business day); provided, however, if a Credit Event is confirmed by the Exchange to members and the OCC, the expiration date will be accelerated to the 2nd business day immediately following the confirmation date.

Final Settlement Date:
The date following the expiration date.

Trading Hours:
8:30 a.m. - 3:00 p.m. (CT)

Trading Platform:
CBOEdirect

Position Limit:
5,000 contracts

Margin:
As described in Rule 12.3(l). Click here for more information.