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About CME E-mini S&P 500 EOM Options
Contract Size
The size of one CME E-mini S&P 500® EOM options on futures contract is one CME E-mini S&P 500 futures contract. CME E-mini S&P 500 options are listed out three calendar months. The contract moves in the tick increments: 0.25=$12.50 if premium >5.00; and ticks of 0.05=$2.50 if premium =5.00. Strike prices (price at which the options contract can be exercised by the options holder) are offered in 10-point and 5-point intervals depending on expiration date. Underlying Index
The S&P 500 Index is a perhaps the most widely followed benchmark of stock market performance in the world. It is capitalization-weighted and float-adjusted index of 500 large-capitalization stocks traded on the NYSE, ASE and the Nasdaq National Market System. The Index represents the market value of all outstanding common shares of the 500 firms listed (share price x shares outstanding). A change in the price of any one stock influences the Index in proportion to the relative market value of that firm's outstanding shares. For more about the underlying Index, including a complete list of stocks represented by the Index, visit the Standard & Poor’s Web site. Expiration Calendar
EOMs settle into the nearest expiring quarterly futures contract (CME E-mini S&P 500 futures). The table below outlines settlement of 2007 CME E-mini S&P 500 EOM options: | Month | End-of-Month
Expiration Date | Underlying Futures | | Jan 2007 | 1/31 | March 2007 | | Feb2007 | 2/28 | March 2007 | | Mar 2007 | 3/30 | June 2007 | | Apr 2007 | 4/30 | June 2007 | | May 2007 | 5/31 | June 2007 | | Jun 2007 | 6/29 | September 2007 | | Jul 2007 | 7/31 | September 2007 | | Aug 2007 | 8/31 | September 2007 | | Sep 2007 | 9/28 | December 2007 | | Oct 2007 | 10/31 | December 2007 | | Nov 2007 | 11/30 | December 2007 | | Dec 2007 | 12/31 | March 2008 |
Special Fixing Price (ESF)
At expiration, the automatic exercise price for CME E-mini S&P 500 EOM options will be determined against the weighted average trading price of the CME E-mini® S&P 500 futures contract (within the last 30 seconds of trading leading to 3:00 p.m. Chicago time.) This "fixing" price will be communicated and disseminated immediately. It can also be found here. Additionally, CME Clearing will not accept contrarian instructions on this contract. This means that if an option is in-the-money at expiration, it will be automatically exercised by CME Clearing. Conversely, all options not in-the-money at expiration will be abandoned.
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