The Index Strategy Workshop is designed to assist individuals in learning about various index option strategies. These discussions and materials are for educational purposes only and are not intended to provide investment advice. For the sake of simplicity, taxes, commissions and other trading costs have been omitted from the discussions and strategies. These should be taken into account when making investment decisions. These strategies are based on hypothetical situations involving a European-style, cash-settled index and should only be considered as examples of potential trading approaches.
Investment decisions should not be made based upon worksheet outcomes.
Access to, or delivery of a copy of, the Options Disclosure Document must accompany this worksheet.
The Standard & Poor’s 500 Index (SPX) is a capitalization-weighted index of 500 blue chip, large cap stocks from the U.S equities marketplace that represent a broad range of industry sector groups. It is a broad market index; together these 500 stocks represent approximately 75% of the U.S. equity markets. The impact of a price change in any component stock on the level of the overall index is proportional to the issue’s total market value. The S&P 500 has become the world’s leading benchmark for institutional investors, and so is widely quoted.
Summary of SPX Index Option Contract Specifications
Standard & Poor’s 500 Index (SPX)
$100: contract size = $100 x SPX index level
European: they may generally be exercised only on the last business day before expiration.
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.
AM-settled: the exercise settlement value is calculated using the first (opening) reported sales price in the primary market of each component security on the last business day (usually a Friday) before the expiration date. The cash settlement amount is equal to the difference between the exercise settlement value and the exercise (strike) price of the option, multiplied by $100. Exercise will result in delivery of cash on the business day following expiration.
Exercise Settlement Value
Disseminated with symbol SET
Last Trading Day
Trading of expiring contracts will ordinarily cease on the business day (usually a Thursday) preceding the day on which the exercise settlement value is calculated.
8:30 a.m. to 3:15 p.m. Central Time (Chicago time)
For more information about the SPX index and SPX index options click here.