Russell 2000 Index Options
The Russell 2000 Index is designed to measure the performance of the bottom 2,000 companies from a universe of the 3,000 largest stocks in the U.S. The index is capitalization-weighted and includes only common stocks belonging to corporations domiciled in the US and its territories and traded on the NYSE, NASDAQ or the AMEX. The Russell 2000 Index is adjusted once per year, in June, to reflect changes in rankings and shares outstanding.
Strike Price Intervals:
Strike prices may be listed with a minimum interval of 2.5 points if the strike price is less than 200. When the strike price is 200 or above, strike price intervals will be no less than 5 points.
Strike (Exercise) Prices:
In-, at- and out-of-the-money strike prices are initially listed. New strikes can be added as the indexes move up or down.
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).
European - Russell 2000 Index options generally may be exercised only on the last business day before expiration.
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.
December 2015 RUT option series, however, shall expire on the Saturday following the third Friday of the month (December 19, 2015). Please refer to CBOE Regulatory Circular RG13-118 (Standard Monthly Option Expiration Date Move from Saturday to Friday) located at https://www.cboe.org/publish/regcir/rg13-118.pdf for additional information regarding these grandfathered option series.
Three near-term months plus three months on the March quarterly cycle. LEAPS with expirations up to five years in the future may also be listed.
Settlement of Option Exercise:
Exercise will result in delivery of cash on the business day following expiration. The exercise settlement value (RLS) is calculated using the first (opening) reported sales price in the primary market of each component security 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.
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 aggregate position in excess of 100,000 contracts RUT and RMN (10 RMN or 10 Mini-RUT equals 1 RUT full value contract) 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.
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. Additional margin may be required pursuant to Exchange Rule 12.10. (*For calculating maintenance margin, use option current market value instead of option proceeds.)
Last Trading Day:
Trading in Russell Index options will ordinarily cease on the business day (usually a Thursday) preceding the day on which the exercise-settlement value is calculated.
8:30 a.m. - 3:15 p.m. Central Time (Chicago time).