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Standard Specifications For All Index Options
Unit of Trade
One contract equals $100 (the index multiplier) times the index level.
Premium Quotations
Stated in points and decimals. One point equals $100. Minimum tick
for series trading below 3 is .05 ($5.00), and for all other series, .10
($10.00).
Strike Price Intervals
Generally, index options are listed at 5 point intervals to bracket
the current value of the index. Higher index values may result in larger
strike price intervals. Contact each exchange for specific information.
MID options are also listed in selective 2.50 point intervals in the nearest
two months.
Generally, Index LEAPSŪ are listed in 2.50 point intervals. SPX options
may be listed with up to 25 point intervals in the far-term months. OEX
options are listed in 10 point intervals in the far-term month. SPL options
are only listed in 25 point intervals. JPN options with more than one
year to expiration are listed in 50 point intervals. Strike price intervals
of 2.50 points may be available for WSX options.
Exercise Style
Index options are designated as either American-style or European-style.
American-style options can be exercised on any business day prior to expiration.
European-style options can be exercised only on the last trading day prior
to expiration.
Expiration Dates
The Saturday immediately following the third Friday of the expiration
month.
Exercise Settlement Price
The dollar difference between the index number and the strike price
of the contract, multiplied by 100. (Note: See product specifications
for each index as there my be different means of calculation).
EUR and JPN options have several unique exercise settlement characteristics
which are described in their respective sections.
Exercise Settlement Time
Exercise notices tendered will result in the delivery of cash on the
next business day.
Trading Hours
9:30 a.m. to 4:15 p.m. (Eastern Time) for broad-based indices
9:30 a.m. to 4:00 p.m. (Eastern Time) for industry specific indices
8:30 a.m. to 11:30 a.m. (Eastern Time) for EUR
Minimum Customer Margin for Uncovered Writers
For broad-based indices: the dollar amount of the premium plus 15%
of the current underlying index value (index number x $100) minus the
amount by which the option is out-of-the-money (if any) with a minimum
of the premium plus 10% of the current index value.
For industry-specific
and narrow-based indices: the dollar amount of the premium plus 20% of
the current underlying index value (index number x $100) minus the amount
by which the option is out-of-the-money (if any) with a minimum of the
premium plus 10% of the current index value.
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