Description: Contracts will contain certain bespoke attributes and are subject to a set of certain parameters.
Type: Call or Put
Unit of Trade: One contract equals $1.00 (the index multiplier) times the index level
Premium Quotations: Stated in points and decimals
Exercise Price: Any positive number
Exercise Style: American or European
Exercise Valuation: Settle On Open (ticker = SET), which is calculated using the opening sales price in the primary market of each component security on the expiration date; or Settle On Close, which is the official closing price of the S&P 500® Index as reported by Standard & Poor's.
Premium Payment Date: Any valid business date
Expiration Dates: May be any OCC business day, provided that the expiration date is specified to be at least four months, and may not be more than 5 years after the date on which the trade is executed by the initial parties to the trade. Trades are subject to parameters listed below:
- Have an expiration date greater than four months and not more than 5 years. In some cases closing transactions will be accepted for expiration dates under four months.
- For initial maturities greater than four months and less than or equal to nine months after the date the trade was executed: a minimum notional value of $500,000 times the value of the S&P 500® Index at the opening of business in New York on the first business day of the calendar year in which the transaction was accepted by OCC is required for the trade to be eligible for clearing.
- For initial maturities greater than nine months but less than three years after the date the trade was originally executed: minimum notional value of at least $100,000 times the value of the S&P 500® Index at the opening of business in New York on the first business day of the calendar year in which the transaction was accepted by OCC. As indicated, notional value requirements are waived for closing transactions, except for dealer closing transactions that result in a customer open position (then Notional Value Requirements apply).
- For initial maturities greater than three years, there is no minimum notional value requirement.
Settlement Type: Cash (USD)