Product Specifications


S&P 500® RANGE OPTIONS


Product Description:
Range Options are European-style, cash-settled options that have a positive payout if the settlement value of the S&P 500®* index falls within the specified Range Length at expiration. The maximum payout amount will be capped at listing and the specific exercise settlement amount may vary based on where on the Range Length the settlement value falls.

Underlying:
The S&P 500 Index is a capitalization-weighted index of 500 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 500 stocks and divided by a predetermined base value. The base value for the S&P 500 Index is adjusted to reflect changes in capitalization resulting from mergers, acquisitions, stock rights, substitutions, etc.

Ticker Symbol:
SRO

Multiplier:
$100.

Low and High Ranges:
Low Range means a segment of values along the Range Length that immediately precedes the Middle Range and High Range means a segment of values along the Range Length that immediately succeeds the Middle Range. The Range Interval is used to define the Low Range and the High Range, which cover an equal segment of values at opposite ends of the Range Length.

Middle Range:
Middle Range means a segment of values along the Range Length that lies between the Low Range and the High Range and its length is equal to the Range Length minus twice the Range Interval.

Range Length / Strike Price:
The Range Length is defined as the entire length of the range of values of the S&P 500 Index for which the option pays a positive amount if the settlement value of the S&P 500 Index falls within the specified Range Length at expiration. The Exchange sets the Range Length at listing (e.g., 1340 to 1410) and uses the Range Length to determine whether the option is in or out of the money at expiration. When applicable, the Range Length is used to determine the degree that the option is in-the-money if the settlement value of the S&P 500 Index falls within either the Low Range or High Range.

Range Interval / Strike Price Interval:
The Range Interval is defined as an interval amount that determines the range increments of both the Low Range and the High Range. The minimum Range Interval amount is 5 index points and the Exchange sets the Range Interval at listing. The Range Interval will also serve as the strike price interval.

Maximum Range Exercise Value:
The Maximum Range Exercise Value will be a fixed amount set by the Exchange at listing and results in the highest amount that can be paid out for a Range Option. The Maximum Range Exercise Value is used to determine the exercise settlement amount if the settlement value of the S&P 500 Index falls anywhere within the Middle Range.

Expiration Months:
Up to twelve (12) near-term months.

Expiration Date:
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.

Index Settlement Value:
The index settlement value, SET, is calculated using the opening (first) reported sales price in the primary market of each component stock on the last business day (usually a Friday) before the expiration date. If a stock in the index does not open on the day on which the exercise settlement value is determined, the last reported sales price in the primary market will be used in calculating the index settlement value.

Exercise Style:
European - Range Options may be exercised only on the last business day prior to expiration. Writers are subject to assignment only at expiration. Automatic exercise occurs if the value of the S&P 500 Index falls within the Range Length.

Last Trading Day:
Trading will ordinarily cease on the business day (usually a Thursday) preceding the day on which the exercise-settlement value of the Range Option is determined (i.e., Low Range Exercise Value, High Range Exercise Value, Maximum Range Exercise Value).

Determination of Exercise Settlement Amount:
Low Range Exercise Value: to determine the exercise settlement amount if the settlement value of the index falls within the Low Range, the Low Range Exercise Value will be multiplied by the contract multiplier. If the settlement value of the index falls within the Low Range, the option will pay an amount that increases as the index value increases within the Low Range.

High Range Exercise Value: to determine the exercise settlement amount if the settlement value of the index falls within the High Range, the High Range Exercise Value will be multiplied by the contract multiplier. If the settlement value of the index falls within the High Range, the option will pay an amount that decreases as the index value increases within the High Range.

Maximum Range Exercise Value: to determine the exercise settlement amount if the settlement value of the index falls within the Middle Range, the Maximum Range Exercise Value will be multiplied by the contract multiplier. If the settlement value of the index falls within the Middle Range, the options will pay the same amount, which is also the highest amount that can be paid for a Range Option.

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 in SPX, SRO and Mini-SPX (10 Mini-SPX options equal 1 SPX 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. 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.

Margin

Customer margin for uncovered writers is the difference between the Maximum Range Exercise Value times the contract multiplier and the proceeds received from the sale of the Range Option. See Rule 12.3(n).

Trading Hours:
8:30 a.m. to 3:15 p.m. Chicago time.

Trading Platform:
CBOEdirect.

* Standard & Poor's®, S&P® and S&P 500® are registered trademarks of Standard & Poor's Financial Services, LLC and have been licensed for use by CBOE.