Quarterly XEO Options Product Specification

Quarterly European-style S&P 100^™ (XEO) Index Options

Description

Quarterly European-style S&P 100^™ Index Options expire on the last business day of each calendar quarter. Quarterly European-style S&P 100^™ Index Options are PM-settled ; that is, their exercise settlement value is based on the closing level of the S&P 100 Index on the day the options expire.

Underlying

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 "free float" shares.

Contracts Listed

Initially, four (4) quarterly option contracts will be listed. However, up to eight (8) quarterly option contracts may be listed at the same time.

Multiplier

$100.

Strike Price Intervals

No less than 5 points. Strike price intervals shall be the same as standard XEO options.

Strike Prices

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.

Premium Quotation

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).

Exercise Style

European. Quarterly European-style S&P 100^™ Index Options generally may be exercised only on its expiration date.

Expiration Date

The last business day of the calendar quarter (March, June, September & December).

Last Trading Day

Trading in Quarterly European-style S&P 100^™ Index Options will ordinarily cease on the business day on which the options expire.

Settlement Value

Exercise will result in delivery of cash on the business day following expiration. The exercise-settlement value, OEX, is calculated using the last (closing) reported sales price in the primary market of each component stock on the last business day before 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 Limit

As with XEO options, there are no position limits for Quarterly European-style S&P 100^™ Index Options. However, positions in Quarterly European-style S&P 100^™ Index Options shall be aggregated with positions in XEO 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 XEO 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.

Margin

Margins would match those of standard options on the S&P 100 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.

Trading Hours

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.