S&P SmallCap 600 Index options

From MarketsWiki
Jump to navigation Jump to search

On the securities options side, the Chicago Board Options Exchange and the International Securities Exchange's list cash-settled Standard & Poor's SmallCap 600 Index options (SML). This Index measures the performance of small-capitalization stocks. It is a capitalization-weighted index of 600 domestic stocks chosen for market size, liquidity and industry representation. The component stocks are weighted according to the total market value of their outstanding shares. The impact of a component’s price change is proportional to the issues' total market value, which is the share price times the number of shares outstanding. These are summed for all 600 stocks and divided by a predetermined base value. The base value for the S&P SmallCap 600 Index is adjusted to reflect changes in capitalization resulting from mergers, acquisitions, stock rights, substitutions, etc.[1] [2]

Because these contracts are fungible, contract specifications at these exchanges mirror one another.

Product Overview[edit]

Symbol SML
Index Multiplier 100
Price Interval The strike price interval is $5.00
Minimum Trading Increments The minimum trading increment for an options contract trading at less than $3.00 is $0.05. The minimum trading increment for an options contract trading at $3.00 or higher is $0.10.
Expiration Date Saturday following the third Friday of the expiration month.
Expiration Months Up to three near-term months followed by three additional months from the March quarterly cycle (March, June, September and December).
Exercise Style European
Last Trading Day Ordinarily cease on the business day (usually a Thursday) preceding the day on which the exercise-settlement value is calculated.
Settlement Type A.M., cash settlement
Settlement Value The exercise-settlement value, XSM, is calculated using the opening (first) reported sales price in the primary market of each component stock on the last business day (usually a Friday) before the expiration date. In the event that a stock in the index does not open on the day in which the exercise-settlement value is determined, the last reported sales price in the primary market will be used in calculating the exercise-settlement value. The exercise-settlement amount is equal to the difference between the exercise-settlement value, XSM, and the exercise price of the option, multiplied by $100. Exercise will result in delivery of cash on the business day following expiration.
Position and Exercise Limits The position and exercise limits are 100,000 contracts on the same side of the market of no more than 60,000 of such contracts in the near-term month. An index option hedge exemption for public customers may be available for certain diversified portfolios, which may expand the position limit up to an additional 75,000 contracts. Additionally, proprietary accounts of member organizations may receive an exemption of up to 200,000 contracts for the purpose of facilitating public customers orders. Position and Exercise limits are subject to change.
Trading Hours 9:30 A.M. - 4:15 P.M. Eastern Time (New York time).