Regulatory Circular RG13-125
Date:
September 27, 2013
To:
Trading Permit Holders
From: Business Development
RE:
Mini-SPX (“XSP”) Index Option Symbol Conversion; Launch of New PM-Settled Mini-SPX
Options
Overview
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Currently, Mini-SPX Index Options are AM-settled option series based on 1/10 the value of the S&P 500
Index (“SPX”). CBOE intends to phase out AM-settled Mini-SPX options, and does not plan to list new
AM-settled Mini-SPX series after November 4, 2013. On Tuesday, November 5, 2013, CBOE will
introduce new, PM-settled Mini-SPX Index Options. The option symbol for this new class will be “XSP.”
Conversion of AM-Settled XSP Options to XSPAM
The option symbol for existing AM-settled XSP options will change to “XSPAM” effective for Monday,
November 4, 2013. At that time, all AM-settled XSP series will be converted to XSPAM series. All open
positions in XSP options will be converted to positions in XSPAM options. The CUSIP for the AM-settled
XSPAM will remain 12502W107.
Additionally:
• CBOE will disseminate 1/10 the SPX value under symbol XSPAM.
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• The exercise settlement value for expiring AM-settled XSPAM options will be 1/10 the special
opening quotation of the S&P 500 Index reported by Standard & Poor’s. CBOE will disseminate
the exercise settlement value for XSPAM options under the symbol “XSR.”
• Allocation algorithm:
o The allocation algorithm for automatic executions of single-leg orders will continue to be
pro-rata with public customer priority, with multiple public customers at the same price in
time sequence, a 50% market turner overlay and a DPM participation entitlement. The
DPM participation entitlement will continue to include 100% of 1-5 lots remaining after
allocation to public customers.
o The allocation algorithm for complex orders will continue to be public customer priority,
with multiple public customers at the same price in time sequence and pro-rata for nonpublic customers.
• No new expirations or series will be added to XSPAM.
• XSPAM Trading Hours will continue to be 8:30 a.m. - 3:15 p.m. Central Time (Chicago time).
• Auctions:
o AIM will continue to be available, with SAM continuing to be inactive. The participation
entitlement for AIM contra orders will continue to be 40%.
o COA and COB will continue to be available.
o Market-Makers may respond to AIM and COA auctions only if they have an appointment
in the relevant class.
• Permissible Order Types: Permissible order types will continue to be Day, GTC, Market, MarketOn-Close, Limit, On-the-Open, Immediate-Or-Cancel, Fill-Or-Kill, Reserve, Stop, Stop Limit and
All-Or-None
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Market Participants and Valid Order Origin Codes:
Valid order origin codes will continue to be: C (Public Customer); W (Professional Customer); B
(Broker/Dealer); F (Proprietary); M (CBOE Market-Maker), N (Non-CBOE/Away Market-Maker), J
(JBO) and L (foreign affiliate firm).
Market Participants:
o All market makers currently appointed in XSP will be automatically appointed to XSPAM.
o The Designated Primary Market-Maker (DPM) will be Merrill Lynch Professional Clearing
Corp.
Launch of New PM-Settled Mini-SPX Options
On Tuesday, November 5, 2013, CBOE will introduce new, PM-settled Mini-SPX Index Options. The
option symbol for this new class will be “XSP.” CUSIP for the PM-settled XSP will be 12505Q107.
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CBOE will disseminate 1/10 the SPX value under symbol XSP.
PM-settled XSP Trading Hours: 8:30 a.m. - 3:15 p.m. Central Time (Chicago time) except that on
the last trading day, transactions in expiring PM-settled XSP options may be effected between
8:30 a.m. and 3:00 p.m. (Chicago time).
Multiplier: $100.
Strike Price Intervals: Generally, $1 or greater where the strike price is $200 or less and $5.00 or
greater where the strike price is greater than $200.
Strike (Exercise) Prices: In-, at- and out-of-the-money strike prices will be initially listed. New
strikes will be added as the index moves up or down.
Premium Quotation: Stated in decimals. One point equals $100. The minimum tick for XSP
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options is 0.01 ($1.00) for all series, including LEAPS.
Exercise Style: European - XSP options generally may be exercised only on the last business
day before expiration.
Last Trading Day: Trading in "standard" (i.e., 3rd Friday) XSP options will ordinarily cease on the
business day (usually a Friday) preceding the expiration date. Trading in all other XSP options
will ordinarily cease on the expiration date.
Expiration Dates: CBOE may list up to six expiration months of XSP options at one time. End-ofWeek (i.e., “Weekly”) options and LEAPS may also be listed.
Settlement of Option Exercise: Exercise will result in delivery of cash on the business day
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following expiration. The exercise settlement value, XSP, is one-tenth (1/10 ) the official closing
price of the S&P 500 Index as reported by Standard & Poor's on the last trading day of the
expiring series. The exercise settlement amount is equal to the difference between the exercisesettlement value and the exercise price of the option, multiplied by $100.
Position Limits: No position and exercise limits are in effect. Each TPH (other than a MarketMaker) or TPH organization that maintains an end of day position in excess of 100,000 contracts
in SPX and Mini-SPX (i.e., XSP and XSPAM; 10 Mini-SPX options equal 1 SPX full value
contract) for its proprietary account or for the account of a public customer, shall report certain
information to the Department of Market Regulation via email at IndexReporting@cboe.com. The
member 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 public customer accounts,
provide the account name, account number and tax ID or social security number. Thereafter, if
Market participants are advised that the current XSP contract, as well as the successor XSPAM contract, have a
minimum tick of 0.01 ($1.00) for all series below $3 and 0.05 ($5.00) for all series at or greater than $3. The new PMsettled XSP contract will differ in that it will have penny increments for all series regardless of premium level.
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the position is maintained at or above the reporting threshold, a subsequent 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.
Allocation Algorithm:
o The allocation algorithm for automatic executions of single-leg orders will be pro-rata with
public customer priority, with multiple public customers at the same price in time
sequence, a 50% market turner overlay and a DPM participation entitlement. The DPM
participation entitlement includes 100% of 1-5 lots remaining after allocation to public
customers.
o The allocation algorithm for complex orders will be public customer priority, with multiple
public customers at the same price in time sequence and pro-rata for non-public
customers.
Auctions:
o AIM will be available, but SAM will not. The participation entitlement for AIM contra
orders will be 40%.
o COA and COB will be available. Market-Makers may respond to AIM and COA auctions
only if they have an appointment in the relevant class.
Complex orders between XSP and XSPAM will be accepted for manual execution only.
Permissible Order Types: Permissible order types will be Day, GTC, Market, Market-On-Close,
Limit, On-the-Open, Immediate-Or-Cancel, Fill-Or-Kill, Reserve, Stop, Stop Limit and All-Or-None
Market Participants and Valid Order Origin Codes:
o Market-Maker Trading Permit Holders will need a class appointment in XSP to stream
quotes. The appointment requirement for XSP options will be set at 0.01.
o The Designated Primary Market-Maker (DPM) will be Merrill Lynch Professional Clearing
Corp.
Valid order origin codes will be: C (Public Customer); W (Professional Customer); B
(Broker/Dealer); F (Proprietary); M (CBOE Market-Maker), N (Non-CBOE/Away Market-Maker), J
(JBO) and L (foreign affiliate firm).
Additional Information:
Questions regarding the operational topics in this circular may be directed to Anthony Montesano at
(312) 786-7365 montesan@cboe.com or the CBOE Help Desk at (866) 728-2263 helpdesk@cboe.com.