European-style S&P 100(tm) Index (XEO) LEAPS®
The Standard & Poor's 100 Index is a capitalization-weighted index of 100 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 100 stocks and divided by a predetermined base value. The base value for the S&P 100 Index is adjusted to reflect changes in capitalization resulting from mergers, acquisitions, stock rights, substitutions, etc.
XEO Long-term Equity AnticiPation Securities ("LEAPS") are long-dated, European-style, options on the S&P 100 Index. XEO LEAPS expire approximately two to three years from the date of initial listing.
Stated in decimals, one point equals $100. Minimum tick for series trading below $3 is 0.05 ($5.00) and for all other series, 0.10 ($10.00).
Strike Price Intervals:
Strike prices are listed with intervals of 20 points.
Strike (Excercise) Prices:
In-, at- and out-of-the-money strike prices are initially listed.
New LEAPS can be listed following December expiration of an existing LEAPS series.
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.
Last Trading Day:
Trading in XEO LEAPS will ordinarily cease on the business day (usually a Friday) preceding the day on which the exercise-settlement value is calculated.
European - XEO LEAPS generally may be exercised only on the last business day before expiration.
Exercise will result in delivery of cash on the business day following expiration. The exercise-settlement value, OEX, is calculated using the last (closing) reported sales price in the primary market of each component stock on the last business day before 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.
Position and Exercise Limits:
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 position in excess of 100,000 contracts in XEO 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 e.g. stock portfolio current market value, other stock index option positions, stock index futures positions, options on stock index futures; and for customer accounts, provide the account name, account number and tax ID or social security number. Thereafter, if the position is maintained at or above the reporting threshold, a subsequent report is required on Monday following expiration and when any change to the hedge results in the position being either unhedged or only partially hedged. Reductions below these thresholds do not need to be reported.
For purchases of puts or calls with more than 9 months until expiration, deposit / maintain 75% of the total cost / option current market value. When time to expiration reaches 9 months, the option no longer has value for margin purposes. 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.
8:30 a.m. - 3:15 p.m. Central Time (Chicago time).
* Position and Exercise limits are subject to change.