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Quarterlys - CBOE Options with End of Quarter Expiration


S&P 500® Quarterly Options

SPXSM Quarterly options, first launched by CBOE in July 2006, have become popular with money managers who rebalance or settle portfolios on the last day of each quarter, and who use options as part of their portfolio management strategy.


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Contract Specifications for SPX Quarterly Options
Volume for CBOE Quarterly Options


Key Features of SPX Quarterly Options Include:

  1. END-OF-QUARTER EXPIRATION
    • SPX Quarterly options expire on the last trading day of each quarter to coincide with end-of-quarter accounting practices. (By comparison, traditional options generally expire on the 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.)
  2. LARGE CONTRACT SIZE WITH A $100 MULTIPLIER
    • If the S&P 500 Index is at 1400, SPX Quarterly options have a notIonal size of about $140,000 (ten times larger than SPY options).
  3. PM-SETTLEMENT
    • Aligns with single-stock options and ETF options and with S&P 500 options traded OTC.
    • Preferred by many investors including those with end-of-day reporting needs.
    • The ability to trade in and out of positions on settlement day.
  4. CASH-SETTLEMENT, EUROPEAN-STYLE EXERCISE
    • Like SPX and most other index options, and unlike SPY and other ETF options.
    • No risk of early assignment and loss of dividends, no portfolio disruption on assignment.
    • CBOE Circulars (RG99-09 and RG00-171) allow SPX options to be written on a "covered" basis against SPY or IVV ETF shares in a margin account, provided the investor's brokerage firm has such policies in place
  5. TAX TREATMENT
    • Under section 1256 of the Tax Code, profit and loss on transactions in certain exchange-traded options, including SPX and SPXpm, are entitled to be taxed at a rate equal to 60% long-term and 40% short-term capital gain or loss, provided that the investor involved and the strategy employed satisfy the criteria of the Tax Code*
  6. VOLUME
    • Average daily volume for SPX Quarterly Options grew from 20,627 in September 2010 to 92,678 in September 2011.
SPX Quarterlys Chart

* Investors should consult with their tax advisors to determine how the profit and loss on any particular option strategy will be taxed. Tax laws and regulations change from time to time and may be subject to varying interpretations.



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