KBW Mortgage Finance Index

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Cash-settled KBW Mortgage Finance Index (MFX) options, traded on the International Securities Exchange and PHLX[1], is a float-adjusted, modified-cap-weighted index created to represent the performance of the broad and diverse U.S. mortgage finance industry. The Index is evaluated at least annually by Keefe, Bruyette & Woods (KBW) to assure that the composition is highly representative of the mortgage finance industry. KBW is an institutionally oriented securities broker/dealer and full service investment bank that specializes in the financial services sector.


The Federal National Mortgage Association (FNMA or Fannie Mae), Federal Home Loan Mortgage Corporation (FHLMC or Freddie Mac), Washington Mutual, and Countrywide Financial Corp. are among the mortgage entities represented in the Index.

Because these contracts are fungible, contract specifications at these exchanges mirror one another.


PRODUCT SPECIFICATIONS

Symbol: MFX

Index Multiplier : 100

Price Interval : Strike price intervals are at least $2.50.

Minimum Trading Increments: The minimum trading increment for an options contract trading at less than $3.00 is $0.05. The minimum trading increment for an options contract trading at $3.00 or higher is $0.10.

Expiration Date : Saturday following the third Friday of the expiration month.

Expiration Months : Three near-term months followed by two additional month from the March quarterly cycle (March, June, September and December).

Exercise Style : European

Last Trading Day : Trading will ordinarily cease on the business day (usually a Thursday) preceding the day on which the exercise-settlement value is calculated.

Settlement Type : A.M., cash settlement

Settlement Value : The exercise-settlement value is calculated using the opening (first) reported sales price in the primary market of each component stock on the last business day (usually a Friday) before the expiration date. The exercise-settlement amount is equal to the difference between the exercise-settlement value and the exercise price of the option, multiplied by $100. Exercise will result in delivery of cash on the business day following expiration.

Position and Exercise Limits: The position and exercise limits are 31,500 contracts on the same side of the market. Position and Exercise limits are subject to change.

Trading Hours : 9:30 A.M. - 4:00 P.M. Eastern Time (New York time).


Resources

International Securities Exchange Contract Specifications [[1]]

Philadelphia Stock Exchange [[2]]


References

  1. "Directory of Listed Products”. www.occ.com.