MSCI EAFE Index Options Contract Specifications
April 21, 2015
Settlement Value Symbol:
The MSCI EAFE Index (Europe, Australasia, Far East) is a free, float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. The MSCI EAFE Index consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.
Stated in points, one point equals $100. Minimum tick for series trading below $3 is 0.05 ($5.00); at or above $3 is 0.10 ($10.00).
Strike (Exercise) Prices:
In-, at- and out-of-the-money strike prices are initially listed. New strikes can be added as the underlying trades through the highest and lowest strike price available.
Strike Price Interval:
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.
Up to 12-near term months. In addition, the Exchange may list up to 10 MXEA LEAPS expiration months that expire from 12 to 60 months from date of issuance.
The third Friday of the expiration month.
European and P.M.-settled – MXEA options generally may be exercised only on the Expiration Date.
Last Trading Day:
Trading in expiring MXEA options ends at 3:15 p.m. (Chicago time) on the business day (usually a Thursday) preceding their Expiration Date. For information on previously listed MSCI options contracts, including Last Trading Day, click here.
Settlement of Option Exercise:
Exercise will result in delivery of cash on the business day following expiration. The exercise-settlement value, MXS, is the official closing value of the MSCI EAFE Index as reported by MSCI the day after the last trading day of the expiring contract. 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:
The position limit is 25,000 contracts on the same side of the market, with no more than 15,000 contracts in the near term expiration month and the exercise limit is 15,000 contracts.
Customer Strategy -Based Margin:
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 Rules 12.3(h) and 12.10.
Customer Portfolio Margin:
MXEA options are eligible for a portfolio margin account. MXEA options are accommodated in the MSCI EAFE Index Product Group (522), with a 90% offset with the other classes contained in that Product Group. The magnitude of the valuation point range under Cboe Rule 12.4 (Portfolio Margin) for MXEA options held in a portfolio margin account is +/- 10%. The current (spot or cash) MSCI EAFE Index value will be used to calculate theoretical gains and losses for MXEA options. Additional margin may be required pursuant to Exchange Rule 12.10.
8:30 a.m. to 3:15 p.m. (Chicago time).