November 2015
FTSE 100 MINI INDEX OPTIONS
®
The FTSE
FTSE 100
100(ticker
is a market-capitalization
weighted index
of UK-listed
chip companies.
The indexThe
is part
of the
FTSE
The
UKX) is a market-capitalization
weighted
index ofblue
UK-listed
blue chip companies.
index
is part
of the FTSE
UK
Series
and
is
designed
to
measure
the
performance
of
the
100
largest
companies
traded
on
the
London
Stock
Exchange
UK Series and is designed to measure the performance of the 100 largest companies traded on the London Stock Exchange
thatthat
pass screening for size and liquidity. FTSE 100 constituents are all traded on the London Stock Exchange’s SETS trading system.
pass screening for size and liquidity. FTSE 100 constituents are all traded on the London Stock Exchange’s SETS trading system.
DESCRIPTION OF FTSE 100 MINI INDEX OPTIONS
Description
Options Chain
Root Ticker Symbol
AM or PM Settlement
Notional Size Underlying Index will be
based on (1/10th) of the FTSE 100 Index (UKX)
Exercise
Settlement Type
FTSE 100 Mini Index Options - Traditional
UKXM
UKXM
AM-settled
UKX Index priced at 6,000
600 x $100 multiplier = $60,000
European
Cash
LARGE CONTRACT SIZE
UKXM mini index options have a large notional size with $100 multiplier. This may permit commissions cost savings based upon the
number of contracts needed to attain exposure to the UKX Index.
CASH SETTLEMENT, EUROPEAN-STYLE EXERCISE
With European-style exercise, there is no risk of early assignment such as for dividends; and cash settlement means there is no unwanted
delivery or assignment of shares.
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 that 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 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. 1/10th, 1/100th, 1/1000th, etc.) of the index being tracked.
TAX TREATMENT
Under section 1256 of the Tax Code, profit and loss on transactions in certain exchange-traded options, including UKXM options, are
entitled to be taxed at a rate equal to 60% long-term and 40% short-term capital gain or loss, provided that the investor involved and the
strategy employed satisfy the criteria of the Tax Code*
LAST TRADING DAY
Trading in expiring UKXM options will ordinarily cease on the business day (usually a Thursday) preceding the day on which the exercisesettlement value is calculated.
SETTLEMENT OF OPTION EXERCISE
The exercise settlement value UKS is one-tenth (1/10th) of the FTSE 100 Index –UKX Index- and is calculated by FTSE International with
reference to the outcome of the Exchange Delivery Settlement Price (‘EDSP’) intra-day auction at the London Stock Exchange carried
out on the Last Trading Day. The exercise-settlement amount is equal to the difference between the exercise-settlement value and the
exercise price of the option, multiplied by $100. UKXM Options are AM-settled on 3rd Fridays.
FTSE 100® MINI INDEX OPTIONS
|2
Index Level
SECTOR
FTSE 100 monthly change (+/- 1% or greater) approximately 80% ofINDUSTRY
the time over
the WEIGHTINGS
last 3 years.
FTSE 100 INDEX (UKX)
-7.18% Up = +6.13%
During
this
time
period
the
largest
monthly
moves:
Down
=
5 YR. MONTHLY CLOSING VALUES - JAN. 2010 - OCT. 2015
Oil & Gas
11.01%
6,900.00
Personal & Household Goods 10.81%
6,700.00
Banks10.29%
FTSE 100 Index
Industrial Goods & Services
8.77%
6,500.00
Monthly Change (%)
Financial
Services
6.59%
6,300.00
(2/2013 - 2/2016)
Insurance6.11%
6,100.00
0.06
Telecommunications5.11%
5,900.00
0.04
Travel & Leisure
4.57%
5,700.00
0.02
Basic Resources
4.34%
5,500.00
Utilities3.80%
0
Real Estate
3.16%
5,300.00
-0.02
Technology1.63%
5,100.00
-0.04
Construction & Materials
1.02%
4,900.00
-0.06
Chemicals0.68%
4,700.00
-0.08
Automobiles & Parts
0.24%
1/1/2010
1/1/2011
1/1/2012
1/1/2013
1/1/2014
1/1/2015
Source: Bloomberg
Source: FTSE Russell
Source: Bloomberg
FTSE 100® INDEX MONTHLY
CHANGES
(%)day
IN GBP
FTSE 100
average 30
Historical Vol = 18.00 The FTSE 100 Index
Jan
declined -9.78% and 30 day Historical Vol. rose +59.94% (8/17 - 9/29/2015).
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
2.77%
0.34%
-6.64%
2.69%
2015
2.79%
2.92%
-2.50%
2014
-3.54%
4.60%
-3.10%
2013
6.43%
1.34%
0.80%
0.29%
2012
1.96%
3.34%
7500
2.24%
-1.76%
-0.53%
2.75%
0.95%vs 30
-1.47%
FTSE
100 Index
Day
Nov
Dec
-6.70%
-2.98%
4.94%
-0.21% Volatility
1.33%
Historical
-2.89%
-1.15%
2.69%
-2.33%
-3.14%
0.77%
4.17%
-1.20%
1.48%
1.35%
0.54%
2.38%
-5.58%
6.53%
Daily Price
Movement
(1/2/2015
- 3/11/2016)
-7
.27%
4.70%
1.15%
0.71%
1.45%
0.53%
35
2011
-0.63%
-1.42% 2.73%
-1.32%
-0.74%
-2.20%
-7.23%
-4.93% 8.11%
-0.70% 1.21%
30
2010
-4.14% 3.20%
6.07%
-2.22% -6.57%
-5.23%
6.94%
-0.62%
6.19%
2.28%
-2.59% 6.72%
7000
25
Source: Bloomberg
6500
20
15
6000
10
5
42006
42024
42040
42058
42074
42090
42110
42129
42145
42164
42180
42198
42214
42230
42249
42265
42283
42299
42317
42333
42349
42369
42388
42404
42422
42438
5500
Source: Bloomberg
FTSE 100
30 Day Hist. Vol.
*Investors should consult with their tax advisors to determine how the profit and loss on any particular option strategy will be taxed. Tax laws and regulations change from time to time and
may be subject to varying interpretations.
Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options. Copies are
available from your broker, by calling 1-888-OPTIONS, or from The Options Clearing Corporation at www.theocc.com. The information in this document is provided solely for general education
and information purposes. No statement within this document should be construed as a recommendation to buy or sell a security or to provide investment advice. CBOE® and Execute
Success® are registered trademarks of Chicago Board Options Exchange, Incorporated (CBOE). FTSE® is a trademark and service mark of FTSE International Limited, used under license.
Copyright © 2016
2015 CBOE. All rights reserved.
CBOE | 400 South LaSalle Street | Chicago, IL 60605
April 2016
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