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Product Specifications


GSTI™ Software Index Options



Symbol:
GSO


Underlying:
A modified capitalization-weighted index of companies involved in the computer software sector of the technology industry. The index is rebalanced semiannually and becomes effective after the close of business on expiration Friday, or the third Friday, in January and July.


Index Components


Multiplier:
$100.


Strike Prices:
Strike prices are set above and below the index level in increments of 2 1/2 or 5 points.


Premium Quote:
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 until February 15, 2015. On and after February 15, 2015, the expiration date will be the third Friday of the expiration month.


Expiration Months:
Generally, up to three near-term months plus up to three additional months on the March quarterly cycle (March, June, September, December).


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


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


Settlement of Option Exercise:
Exercise will result in delivery of cash on the business day following expiration. The exercise-settlement value, GSZ, is calculated using the first (opening) 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 and the exercise price of the option, multiplied by $100.


Position and Exercise Limits:
The position and exercise limits are 31,500 contracts on the same side of the market. *


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 20% 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:
12485Y


Trading Hours:
8:30 a.m. - 3:02 p.m. Central Time (Chicago time).


Position and Exercise limits are subject to change.









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