XSP QUARTERLY OPTIONS
XSP Quarterly Options are series of options based on the Mini-SPX Index that expire on the last business day of each calendar quarter. XSP Quarterly Options are
; that is, their exercise settlement value is based on the closing level of the Mini-SPX Index on the day the options expire.
The Mini-SPX Index (XSP), based on 1/10th the value of the Standard & Poor's 500 Index (SPX).
Up to eight near-term quarterly expirations may be listed at any time.
Strike Price Intervals:
Strike prices intervals shall be no less than 1 point.
In-, at- and out-of-the-money strike prices are initially listed. New strikes can be added as the index moves up or down.
Stated in decimals. One point equals $100. Minimum tick for options trading below 3.00 is 0.01 ($1.00) and for all other series, 0.05 ($5.00).
European - XSP Quarterly Options generally may be exercised only on the expiration date.
The last business day of each calendar quarter
Last Trading Day:
XSP Quarterly Options are
contracts. The last trading day, therefore, is the last business day of each calendar quarter.
Settlement of Option Exercise:
XSP Quarterly Options are
PM-settled. The exercise settlement value is the closing price of the Mini-SPX Index on the expiration date. The exercise-settlement amount is equal to the difference between the exercise-settlement value and the exercise price of the option, multiplied by $100. Exercise will result in delivery of cash on the business day following expiration.
No position and exercise limits are in effect. Each Trading Permit Holder (other than a market-maker) or TPH organization that maintains an end of day aggregate position in excess of 100,000 contracts in SPX, Mini-SPX and XSP Quarterly Options (10 Mini-SPX or XSP Quarterly options equal 1 SPX full value contract) for its proprietary account or for the account of a customer, shall report certain information to the Department of Market Regulation. The TPH must report information as to whether such position is hedged and, if so, a description of the hedge employed. A report must be filed when an account initially meets the aforementioned applicable threshold. Thereafter, a report must be filed for each incremental increase of 25,000 contracts. Reductions in an options position do not need to be reported. However, any significant change to the hedge must be reported.
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.
Beginning with June 2009 expiration, CBOE is changing the close of trading hours from 3:15 p.m. (Chicago time) to 3:00 p.m. (Chicago time) on the last day of trading only in expiring Quarterly Index Expirations on broad-based indexes (i.e.; SPX, XSP and XEO). All non-expiring Quarterly Index Expirations will continue to trade until 3:15 p.m. Refer to IC09-120 for additional information.