Launch of P.M.-Settled End of Week (i.e. Week-End) SPX Options on Thursday, December 2, 2010

• Regulatory Circular RG10-112
• TO: Trading Permit Holders
• FROM: CBOE Research and Product Development
• DATE: October 28, 2010
• SUBJECT: Launch of P.M.-Settled End of Week (i.e. ?Week-End?) SPX Options on Thursday, December 2, 2010

OVERVIEW

• On Thursday, December 2, 2010, CBOE will commence trading of PM-settled End of Week (?Week-Ends?) SPX Options for expiration on Friday, December 10, 2010.
• With the commencement of trading in Week-End SPX Options, CBOE will discontinue the listing of AM-settled SPX Weeklys options, although they will be available during the month of November (expiring November 5, November 12 and November 26), with the last expiring on Friday, December 3.

The listing of the initial Week-End SPX options on Thursday, December 2 will allow for a one-day roll period between the SPX Weeklys options that expire on December 3 and the initial Week-End SPX options that expire on Friday, December 10. Initially, Week-End SPX Options will be listed on Thursdays of the week prior to their expiration.

END OF WEEK (i.e. WEEK-END) S&P 500 INDEX OPTIONS PRODUCT DESCRIPTION

• Symbol: SPXW
• Description:
  • Week-End SPX options are PM-settled, European-style exercise options that may be listed for trading to expire on any Friday of the month, other than the third Friday of the month.
  • The Standard & Poor's 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 shares. The impact of a component's price change is proportional to the issue's total market value, which is the share price times the number of shares outstanding. These are summed for all 500 stocks and divided by a predetermined base value. The base value for the
  • S&P 500 Index is adjusted to reflect changes in capitalization resulting from mergers, acquisitions, stock rights, substitutions, etc.
• Multiplier: $100.
• Premium Quote: 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).
• 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.
• Strike Price Intervals: Five points.
• Expiration Dates: Any Friday of the month, other than the third Friday of the month.
• Exercise Style: European - Week-End SPX options generally may be exercised only on the expiration date.
• Last Trading Day: Trading in End of Week SPX options ordinarily cease trading on the business day (usually a Friday) that the options expire.
• Settlement Value: The exercise-settlement value, SPX, is calculated using the last (closing) reported sales price in the primary market of each component stock on the last trading day. The exercise- settlement amount is equal to the difference between the exercise-settlement value, SPX, and the exercise price of the option, multiplied by $100. Exercise will result in delivery of cash on the business day following the day the exercise notice is properly submitted.
• Position and Exercise Limits, Reporting Requirements: As part of the SPX options class, there are no position limits for End of Week SPX options.
  • Positions in Week-End SPX options shall be aggregated with positions in SPX options for the purposes of satisfying the reporting requirements under Interpretation and Policy .03 to Rule 24.4, which, among other things, requires each TPH (other than a market maker) to submit a report to the CBOE whenever they maintain an aggregated position in SPX 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, asubsequent 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.
• Position and exercise limits are subject to change.
• 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 Rule 12.10.
• Cusip Number: TBD
• Trading Hours: 8:30 a.m. - 3:15 p.m. Central Time (Chicago time).
• If you have any questions about this memorandum may be directed to the Help Desk at 1- 866-728-2263.