S&P 500 Dividend Index Options
The S&P 500 Dividend Index represents the ordinary cash dividends for all corporations comprising the S&P 500 Index, accumulated over a quarterly "accrual period." Each accrual period runs from the business day after the third Friday of a quarterly expiration month (i.e.; March, June, September or December) through the third Friday of the next quarterly expiration month. The S&P 500 Dividend Index is expressed in S&P 500 Index points and is reset to zero following the end of each quarterly accrual period.
S&P 500 Dividend Index Options are based on ten (10) times the S&P 500 Dividend Index.
March 5, 2010
S&P 500 Dividend Index
Bloomberg Symbol - SPXDIV <Index>
Reuters Symbol - .SPXDIV
S&P 500 Dividend Index - 10×
CBOE Option & Settlement Symbol - DVS
S&P 500 Dividend Index Options reflect the total dividends expected over an entire quarterly accrual period. CBOE disseminates a series of "Indicative Values" derived from S&P 500 Index Option prices that provide estimates of forward expected dividends. These values are intended for informational purposes only.
- Implied Forward DVS Indicator - March - DVMR
- Implied Forward DVS Indicator - June - DVJN
- Implied Forward DVS Indicator - September - DVST
- Implied Forward DVS Indicator - December - DVDE
Strike Price Intervals:
Strike prices may be listed with a minimum interval of 1 point, if the strike price is equal to or less than 200. When the strike price exceeds 200, strike price intervals will be no less than 2.5 points.
Strike (Exercise) Prices:
In-, at- and out-of-the-money strike prices are initially listed, based on the expected forward value of the underlying index at expiration. New strikes may be added as the expected forward value of the underlying index moves and upon request.
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).
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.
Up to four (4) contract months from the March quarterly cycle (March, June, September and December). LEAPS may also be listed.
S&P 500 Dividend Index options are eligible for FLEX trading as provided for in Chapters XXIVA (Flexible Exchange Options) and XXIVB (FLEX Hybrid Trading System).
European - S&P 500 Dividend Index Options may be exercised only on the Expiration Date. Writers are subject to assignment only at expiration.
Last Trading Day:
Trading in S&P 500 Dividend Index options will ordinarily cease at 3:15 p.m. Chicago time on the Thursday before expiration. When the last trading day is moved because of an Exchange holiday, the last trading day for expiring options will be Wednesday.
Settlement of Option Exercise:
The exercise-settlement value is ten (10) times the level of the S&P 500 Dividend Index as reported by Standard & Poor's on the last business day (usually a Friday) 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. 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 position in excess of 100,000 contracts in S&P 500 Dividend Index Options 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.
8:30 a.m. to 3:15 p.m. Central Time (Chicago time).