CBOE S&P 500 BuyWrite Index Futures

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The CBOE S&P 500 BuyWrite Index futures contract is one of seven futures contracts based on “variance” and on “volatility” offered on the CBOE Futures Exchange. Listed for trading on October 2, 2006, it is based on a benchmark index designed to track the performance of a hypothetical buy-write strategy on the Standard & Poor's 500 Composite Stock Index (S&P 500 Index). The BXM Index measures the total rate of return of a "covered call" strategy that consists of a "long" position indexed to the S&P 500 Index on which are deemed sold a succession of one-month, at-the-money call options on the S&P 500 Index.

The BXM Index covered call strategy requires that each S&P 500 call option be held to its date of maturity, generally the third Friday of the month. Soon after the settlement of the expiring call option, a new at-the-money call option expiring in the next month is then written (referred to as the "roll"). The strike price of the new call is the closest listed strike price equal to or greater than the last value of the S&P 500 Index reported before 10:00 a.m. Chicago time.

Contract Specifications

CONTRACT SIZE	The contract multiplier is $100. For example, at a BXM Index level of 735.59, the contract size of one BXM Index future would be $73,559.00 (735.59 x $100).
TRADING HOURS	8:30 a.m. - 3:15 p.m. (Chicago time).
TRADING PLATFORM	CBOEdirect
CONTRACT MONTHS	Up to 3 near-term serial contract months and 3 contract months on the March quarterly cycle (March, June, September and December)
TICKER SYMBOLS	Futures - BZ; Cash Index - BXMFT
PRICING CONVENTIONS	Quoted in terms of the underlying BXM Index. Both futures prices and cash index levels are stated in decimal format.
MINIMUM PRICE INTERVALS	0.05 index points (equal to $5.00 per contract).
DOLLAR VALUE PER TICK	$5.00 per contract
TERMINATION OF TRADING	The close of trading on the day before the Final Settlement Date. When the last trading day is moved because of a CFE holiday, the last trading day for expiring BX futures contracts is the day immediately preceding the last regularly-scheduled trading day.
FINAL SETTLEMENT DATE	The third Friday of the expiring month (Final Settlement Date)
DELIVERY	Settlement of CBOE S&P 500 BuyWrite Index (BXM) Futures contracts will result in the delivery of a cash settlement amount on the business day immediately following the settlement date. The cash settlement amount on the final settlement date shall be the final mark to market amount against the final settlement price of the BXM futures multiplied by $100.
POSITION ACCOUNTABILITY	No more than 5,000 contracts net long or net short in all BXM Index futures contract months combined. The foregoing position limit does not apply to positions that are subject to a position limit exemption that meets the requirements of SEC Regulations and CFE Rules.
MINIMUM REPORTABLE LEVEL	25 or more contracts

Final Settlement Price

The final settlement price for the BXM Index futures contract shall be a Special Opening Quotation ("SOQ") of the BXM Index, which is calculated by multiplying the value of the BXM Index as of the close of trading on the day before the Final Settlement Date by the rate of return of the BXM Index portfolio measured from the close of trading on the day before the Final Settlement Date to the open of the S&P 500 Index the following business day as follows:

BXMSOQ = BXMt-1 x (1+Ra)

where

BXMt-1 is the closing value of BXM Index on the business day immediately prior to the Final Settlement Date, and

1+Ra = (SSOQ+Divt - CSettle) / (St-1 - Ct-1)

where

SSOQ - S&P 500 Open Settlement Value
Divt - Aggregate value of dividends deemed "ex-distribution" on the Final Settlement Date, expressed in S&P 500 Index points
CSettle - Settlement price of expiring SPX call option in the hypothetical BXM portfolio
St-1 - Closing value of S&P 500 on the business day immediately prior to the Final Settlement Date
Ct-1 - The average of the bid and ask quotations of the expiring SPX call option in the BXM Index portfolio at 3:00 p.m. Chicago time on the business day immediately prior to the Final Settlement Date.

If the final settlement value is not available or the normal settlement procedure cannot be utilized due to a trading disruption or other unusual circumstance, the settlement value will be determined in accordance with the rules and bylaws of the Options Clearing Corporation.