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End-of-Month and Quarterly Options

In 2006 Cboe introduced Quarterlys -- options that expire at the end of calendar-year quarters (March, June, September and December).

In 2014 Cboe introduced PM-settled, End-of-Month options series (EOM) -- with expiration dates falling on the last business day of the month -- for its S&P 500® Index (SPXSM) options. Cboe added SPX EOM options to its SPX options product line in response to requests from asset managers who want to more precisely match SPX option expirations to end-of-month fund cycles and fund performance periods.

Key Features of SPX EOM Options

  1. End-Of-Month Expiration
    • End-of-month SPX options expire on the last trading day of each month to coincide with end-of-month accounting practices. (By comparison, traditional options generally expire on the Saturday immediately following the third Friday of the expiration month until February 15, 2015. On and after February 15, 2015, the expiration date will be the third Friday of the expiration month.)
  2. Large Contract Size With A $100 Multiplier
    • If the S&P 500 Index is at 1900, SPX EOM options have a notIonal size of about $190,000 (ten times larger than SPY options).
  3. PM-Settlement
    • Preferred by many investors, including those with end-of-month reporting needs.
    • The ability to trade in and out of positions on settlement day.
  4. Cash-Settlement, European-Style Exercise
    • Like SPX and most other index options, and unlike SPY and other ETF options.
    • No risk of early assignment and loss of dividends, no portfolio disruption on assignment.
    • Cboe Circulars (RG99-09 and RG00-171) allow SPX options to be written on a "covered" basis against SPY or IVV ETF shares in a margin account, provided the investor's brokerage firm has such policies in place.
  5. Margin
    • Cboe Regulatory Circular RG15-183 notes that Cboe rules allow a short position in a cash-settled-index option established and carried in a margin account to receive covered margin treatment, if the short option position is offset in the same account by an equivalent position in an index-tracking ETF that is based on the same index that underlies the short option(s).

      In order to receive covered margin treatment, the market value of the offsetting ETF position must be equivalent or exceed the current aggregate index value of the option being covered. One should note that not all ETFs are managed so as to maintain a share price that is a constant fraction (e.g., 1/10 th, 1/100 th, 1/1,000 th, etc.) of the index being tracked.
  6. Ticker Symbols
    • The S&P 500 End-of-Month options will trade on the Hybrid trading platform in the SPX options chain under the SPXW options root ticker symbol.
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