European-style S&P 100(TM) Index Options
The Standard & Poor's 100 Index is a capitalization-weighted index of 100 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 100 stocks and divided by a predetermined base value. The base value for the S&P 100 Index is adjusted to reflect changes in capitalization resulting from mergers, acquisitions, stock rights, substitutions, etc.
Stated in decimals, one point equals $100. Minimum tick for series trading below $3 is 0.05 ($5.00) and for all other series, 0.10 ($10.00).
In-, at- and out-of-the-money strike prices are initially listed. New series are generally added when the underlying trades through the highest or lowest strike price available.
Strike Price Intervals:
Strike prices are listed with minimum intervals of 5 points. Strike prices are listed in 10 and 20-point intervals in the far-term months.
Up to four near-term months plus up to one month on the March quarterly cycle.
The third Friday of the expiration month.
European - XEO options generally may be exercised only on the expiration date.
Last Trading Day:
Trading in XEO options will ordinarily cease at the close of business on their expiration date.
Exercise will result in delivery of cash on the business day following expiration. The exercise-settlement value, XEO, is calculated using the last (closing) reported sales price in the primary market of each component stock 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:
No position and exercise limits are in effect.
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.)
8:30 a.m. - 3:15 p.m. Central Time (Chicago time).
Position and Exercise limits are subject to change.