S&P^® SmallCap 600 Index Options

Symbol:
SML

Underlying:
The Standard & Poor's SmallCap 600 Index is a capitalization-weighted index of 600 domestic stocks chosen for market size, liquidity and industry representation. 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 issues total market value, which is the share price times the number of shares outstanding. These are summed for all 600 stocks and divided by a predetermined base value. The base value for the S&P SmallCap 600 Index is adjusted to reflect changes in capitalization resulting from mergers, acquisitions, stock rights, substitutions, etc.

Index Components

Multiplier:
$100.

Strike Price Intervals:
2-1/2 points. 10- to 25-point intervals in the later expiration months.

Premium Quotation Stated in points and fractions:
One point equals $100. Minimum tick for series trading below 3 is 1/16 ($6.25) and for all other series, 1/8 ($12.50).

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 following the third Friday of the expiration month.

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

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

Last Trading Day:
Trading in SML options 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:
The exercise-settlement value, XSM, 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 determimed, 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, XSM, and the exercise price of the option, multiplied by $ 100. Exercise will result in delivery of cash on the business day following expiration.

Position and Exercise Limits:
The position and exercise limits are 100,000 contracts on the same side of the market of no more than 60,000 of such contracts in the near-term month. An index option hedge exemption for public customers may be available for certain diversified portfolios, which may expand the position limit up to an additional 75,000 contracts. In, addition proprietary accounts of member organizations may receive an exemption up to 200,000 contracts for the purpose of facilitating public customers orders.

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:
124843W

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

Position and Exercise limits are subject to change.