QUARTERLY S&P 500 (SPX) Index Options
Quarterly S&P 500 Index Options expire on the last business day of each calendar quarter. Quarterly S&P 500 Index Options are
; that is, their exercise settlement value is based on the closing level of the S&P 500 Index on the day the options expire.
The Standard & Poor's 500 Index is a capitalization-weighted index of 500 stocks from a broad range of industries. The component stocks are weighted according to the total market value of their outstanding "free float" shares.
Initially, four (4) quarterly option contracts will be listed. However, up to eight (8) quarterly option contracts may be listed at the same time.
Strike Price Intervals:
No less than 5 points. Strike price intervals shall be the same as standard SPX options.
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.
Stated in decimals. One point equals $100. Minimum tick for options trading below 3.00 is 0.05($5.00) and for all other series, 0.10 ($10.00).
European. Quarterly S&P 500 Index options generally may be exercised only on its expiration date.
The last business day of the calendar quarter (March, June, September & December).
Last Trading Day:
Trading in Quarterly S&P 500 Index options will ordinarily cease on the business day on which the options expire.
Settlement of Option Exercise:
Quarterly S&P 500 Index options are
PM-settled. The exercise-settlement value is calculated using the last (closing) reported sales price in the primary market of each component stock on the last business day (the expiration date) of the calendar quarter. The exercise-settlement amount is equal to the difference between the exercise-settlement value and the exercise price of the option, multiplied by $100. Exercise will result in delivery of cash on the business day following expiration.
As with SPX options, there are no position limits for Quarterly S&P 500 Index options. However, positions in Quarterly S&P 500 Index options shall be aggregated with positions in SPX options for the purposes of satisfying the reporting requirements under Interpretation and Policy .03 to Rule 24.4, which, among other things, requires Trading Permit Holders to submit a report to the CBOE whenever they maintain an aggregated position in SPX options in excess of 100,000 contracts. The TPH must report information as to whether such position is hedged and, if so, a description of the hedge employed e.g. stock portfolio current market value, other stock index option positions, stock index futures positions, options on stock index futures; and for customer accounts, provide the account name, account number and tax ID or social security number. Thereafter, if the position is maintained at or above the reporting threshold, a subsequent report is required on Monday following expiration and when any change to the hedge results in the position being either unhedged or only partially hedged. Reductions below these thresholds do not need to be reported.
Margins would match those of standard options on the S&P 500 Index. Uncovered writers must deposit 100% of the option proceeds plus 15% of the aggregate contract value (current index level multiplied by $100) minus the amount by which the option is out-of-the-money, if any. Minimum margin is 100% of the option proceeds plus 10% of the aggregate contract value. Long puts or calls must be paid for in full.
Beginning with June 2009 expiration, CBOE is changing the close of trading hours from 3:15 p.m. (Chicago time) to 3:00 p.m. (Chicago time) on the last day of trading only in expiring Quarterly Index Expirations on broad-based indexes (i.e.; SPX, XSP and XEO). All non-expiring Quarterly Index Expirations will continue to trade until 3:15 p.m. Refer to IC09-120 for additional information.