Nanos S&P 500 Index Options^*

Symbol

NANOS

Underlying

Nano options are based on 1/10th the value of the S&P 500 Index, using index symbol NANOS. The S&P 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.

Multiplier

$1

Strike Price Intervals

$0.50.

Strike (Exercise) Prices

Plus 2.6% to minus 5% of the NANOS spot value at the market close, with a minimum interval of $1.00.

Premium Quotation

Stated in decimals. One point equals $1. The minimum tick for Nano options is 0.01 ($0.01) for all series.

Exercise Style

European Nano options generally may be exercised only on the expiration date.

Last Trading Days

The last trading day for Nano options is their expiration date. On their last trading day, trading in expiring Nano options closes at 4:00 p.m. Eastern Time.

Expiration Dates

Nano options expire on a Monday, Wednesday, or a Friday. If the Exchange is not open on a Wednesday or Friday, the normally expiring Wednesday or Friday Nano option will expire on the immediately preceding business day. If the Exchange is not open on a Monday, the normally expiring Monday Nanos option will expire on the first business day immediately following that Monday.

Expiration Weeks

Cboe will list up to 2 Monday weekly expirations, 2 Wednesday weekly expirations, and 2 Friday weekly expirations.

Settlement of Option Exercise

Exercise will result in delivery of cash on the business day following expiration. The exercise settlement value (NANOS) is 1/10th the value of the official closing price of the S&P 500 Index as reported by Standard & Poor’s on the last trading day of the expiring series. The exercise settlement amount is equal to the difference between the exercise settlement value and the exercise price of the option.

Position Limit

No position and exercise limits are in effect.

Margin

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. (^*For calculating maintenance margin, use option current market value instead of option proceeds.) Additional margin may be required pursuant to Exchange Rules 10.3(h) and 10.10.

CUSIP Number

12514N103

Trading Hours

9:30 a.m. to 4:15 p.m. Eastern Time. On the last trading day, trading hours for expiring Nano options are 15 minutes shorter from 9:30 a.m. 4:00 p.m. Eastern Time.

^*Nanos trade on Cboe as a $1 multiplier option (versus a $100 multiplier for standard options) on the Mini- S&P 500 Index, which is 1/10th the value of the S&P 500 Index.