Index FLEX® Options

Index FLEX Product Specifications

Minimum Size:

Under a pilot program previous Index FLEX minimum size requirements have been eliminated. Please go to www.cboe.com/legal and refer to Regulatory Circular RG10-021 for more information.

  1. Size for the RFQ ("Request for Quote") and the executed trade may be expressed in millions of dollars of underlying value of the index. CBOE rounds the notional principal amount to the nearest whole number of contracts
  2. Size for the RFQ and the executed trade may be expressed in number of contracts, e.g., 300 FLEX Option contracts

Strike Price:

Any reference price which when converted to an index level rounds to one decimal place. For example:

  1. The strike price within the RFQ may be expressed as a specific index value, e.g., a strike price of 673.14 for an S&P 500 FLEX Option
  2. The strike price within the RFQ may be expressed as a percentage of a reference value of the underlying index. Strike prices are rounded to the nearest tenth of a dollar
  3. The strike price may be expressed as a real-time intra day reference value, e.g., an at-the-money or "ATM" call
  4. The strike price may be set against a futures reference value, e.g., a call struck ATM at futures value less 30 basis points
  5. The strike price may be set by any other method, provided that it is clear and easily understandable to all market participants

Premium:

Premiums may be expressed in the following formats:

  1. The option premium for the executed trade may be expressed as a specific dollar amount per option contract
  2. The option premium for the executed trade may be expressed as a percentage of the reference value of the underlying index. Premiums are rounded to the nearest hundredth
  3. The premium may be contingent on specified factors in other related markets

Expiration Date:

Any business day up to 15 years from trade date.

Exercise Style:

American or European, except as follows: If the expiration specified falls on the third Friday of the month (or the first preceding business day if the third Friday is a holiday), only European-style exercise is permitted. For all American-style FLEX the exercise-settlement value determinations apply only to exercises occurring on the expiration day of the option. Exercises tendered before the expiration date are settled against the closing value of the index on the day of the exercise.

Trade Dissemination:

A text message describing the volume and price of any trade can be received via the terminals of vendors who offer the FLEX retrieval service.

Settlement of Option Exercise:

Exercise will result in the delivery of cash on the business day following expiration. There are 2 methods of exercise-settlement value determination.

Opening exercise-settlement value:

Opening exercise-settlement value for these indexes is calculated using the opening price in the primary market for each component stock on the specified expiration date of the FLEX Option. If a stock in the index does not open for trading on expiration day, the last reported sales price for that stock will be used in calculating the exercise-settlement value. (Nasdaq-100 Index exercise-settlement value calculation is different from other CBOE index opening calculations. It is calculated based on a volume-weighted average of prices reported in the first 5 minutes of trading for each of the component securities on the last business day before the expiration date.)

Closing exercise-settlement value:

Closing exercise-settlement value for these indexes is calculated using the closing price in the primary market of each component stock on the specified expiration date of the FLEX Option. If a stock in the index does not open for trading, the last reported sales price for that stock will be used in calculating the exercise-settlement value.

Trading Hours:

8:45 a.m. - 3:00 p.m. Central Time (Chicago time).

For additional information on Index FLEX, visit the Index FLEX Options page under the Institutional tab.

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