Options on Select Sector Indexes
Financial Select Sector Index Options
- Trading Symbol:
- SIXM
- Description:
- The Financial Select Sector Index is a modified capitalization-weighted index representing the performance of financial companies that are components of the S&P 500 Index. The index is comprised of 66 securities, which are traded on the New York Stock Exchange (NYSE) or The NASDAQ Stock Market (NASDAQ).
- Multiplier:
- $100.
- Premium Quotation:
- 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.
- Expiration Months:
- Up to 12 near-term months, and up to 10 LEAPS expiration months that expire from 12 to 60 months from date of listing.
- Expiration Date:
- The third Friday of the expiration month.
- Exercise Style:
- European and A.M.-settled - SIXM options generally may be exercised only on the Expiration Date.
- Last Trading Day:
- Trading in expiring standard SIXM 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 (SISM) 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:
- SIXM options are eligible for a portfolio margin account. SIXM options are grouped (i.e., contained in a Class Group) with the XLF (Financial Select Sector SPDR® Fund) option class. This Class Group is contained in the U.S. Financial Sector Product Group (99). There is a 100% offset within a Class Group and a 90% offset between Class Groups. The magnitude of the valuation point range under Exchange Rule 12.4 for SIXM options held in a portfolio margin account is +/-15%. The current (spot or cash) IXM index value will be used to calculate theoretical gains and losses for SIXM options. Additional margin may be required pursuant to Exchange Rule 12.10.
- CUSIP Number:
- 149846107
- Trading Hours:
- 8:30 a.m. to 3:00 p.m. Central time (Chicago time).