Russell 1000 Value Index Options Contract Specifications
Settlement Value Symbol:
The Russell 1000 Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower expected growth values. The Russell 1000 Value Index is constructed to provide a comprehensive and unbiased barometer for the large-cap value segment. The Index is completely reconstituted annually to ensure new and growing equities are included and that the represented companies continue to reflect value characteristics.
Stated in points, one point equals $100. Minimum tick for series trading below $3 is 0.05 ($5.00); 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 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.
Up to 6 near-term months. In addition, the Exchange may list up to 10 RLV LEAPS expiration months that expire from 12 to 60 months from date of issuance.
The third Friday of the expiration month.
European and A.M.-settled - RLV options generally may be exercised only on the Expiration Date.
Last Trading Day:
Trading in expiring RLV options will ordinarily end on the business day (usually a Thursday) preceding the day on which the exercise-settlement is calculated.
Settlement of Option Exercise:
Exercise will result in delivery of cash on the business day following expiration. The exercise settlement value (Ticker = RVS) is calculated using the first (opening) reported sales price in the primary market of each component security on the expiration date (usually a Friday). 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 50,000 contracts on the same side of the market, with no more than 30,000 contracts in the near term expiration month and the exercise limit is 30,000 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:
RLV options are eligible for a portfolio margin account. RLV options are accommodated in the Value Indexes Product Group (53), with an 80% 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 RLV options held in a portfolio margin account is -8%/+6%. The current (spot or cash) RLV index value will be used to calculate theoretical gains and losses for RLV options. Additional margin may be required pursuant to Exchange Rule 12.10.
8:30 a.m. to 3:15 p.m. (Chicago time).