Utilities Select Sector Index Options
The Utilities Select Sector Index (IXU) is a modified capitalization-weighted index representing the performance of utility companies that are components of the S&P 500 Index. The index is comprised of 28 securities, which are traded on the New York Stock Exchange (NYSE) or The NASDAQ Stock Market (NASDAQ).
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 strike prices can be added as the underlying index level moves up or down.
Strike Price Interval:
Strike prices may be listed with a minimum interval of 5 points.
Up to 12 near-term months, and up to 10 LEAPS expiration months that expire from 12 to 60 months from date of listing.
The third Friday of the expiration month.
European and A.M.-settled - SIXU options generally may be exercised only on the Expiration Date.
Last Trading Day:
Trading in expiring standard SIXU options will ordinarily cease on the business day (usually a Thursday) preceding the day on which the exercise-settlement value is calculated.
Settlement of Option Exercise:
Exercise will result in delivery of cash on the business day following expiration. The exercise-settlement value (SISUT) is calculated using the opening sales price in the primary market of each component security on 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:
The position limit is 24,000 contracts on the same side of the market.
Customer Strategy-Based Margin:
Purchases of puts or calls with 9 months or less until expiration must be paid for in full. Purchases of puts or calls with more than 9 months until expiration may be effected on a margin basis and must comply with Exchange Rule 12.3(c)(4)(B). Writers of uncovered puts or calls must deposit/maintain 100% of the option proceeds* plus 20% of the aggregate contract value (current index value 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:
SIXU options are eligible for a portfolio margin account. SIXU options are grouped (i.e., contained in a Class Group) with the XLU (Utilities Select Sector SPDR® Fund) option class. This Class Group is contained in the Utility Sector Product Group (57). There is a 100% offset within a Class Group and an 80% offset between Class Groups. The magnitude of the valuation point range under Exchange Rule 12.4 for SIXU options held in a portfolio margin account is +/-15%. The current (spot or cash) IXU index value will be used to calculate theoretical gains and losses for SIXU options. Additional margin may be required pursuant to Exchange Rule 12.10.
8:30 a.m. to 3:00 p.m. Central time (Chicago time).