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Description of of
Index
The Standard & Poor's
MidCap 400 Index measures the performance of the mid-range sector of the U.S. stock
market. The Index is based on 400 stocks chosen on the basis of market capitalization,
liquidity and industry group representation. (Median market capitalization was $1.651
million as of Nov. 30, 1999) The S&P MidCap Index is market-value (capitalization)
weighted. The MidCap Index was introduced on June 19, 1991.
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Index Components
The Index is composed of
stocks in four broad market sectors. As of Jan. 30, 1998, the sector weightings were:
industrials (70.3%); financials (16.7%); utilities (11%); and transportation (2%). A list
of the MidCap Index's 400 component stocks is available from
Standard & Poor’s. |
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Trading Unit
The minimum trade size is
one option contract. The notional value underlying each contract equals $100 multiplied by
the Index value. |
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Expiration Cycle
As many as four consecutive
near-term expiration months, plus two additional further-term expiration months in the
March cycle. |
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Expiration
The Saturday following the
third Friday of the expiration month. |
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Last Trading Day
Two business days prior to
expiration (normally a Thursday). |
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Limited Exercise of
Options
European style. Options may be exercised only on the last business day
prior to expiration (normally a Friday). Writers are subject to assignment only at
expiration. Check with your broker to ascertain cut-off times for exercise and
provisions for automatic exercise. |
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"Delivery"
Method if Exercised
Cash settlement based on
the dollar difference between the final settlement value of the Index and strike price of
the contract multiplied by $100. |
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Exercise Price Intervals
Exercise (strike) prices
are set at five-point intervals, bracketing the current value of the Index when the Index
is above 200. If the Index is below 200, the interval will be 2 ½ points. |
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Option Premium
Quotations
Stated in points and
fractions. One point equals $100. Minimum tick for series trading below 3 is 1/16 ($6.25);
for all other series, 1/8 ($12.50). |
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Final Index Settlement
Value
Determined on the last
business day prior to expiration, based on the first (opening) reported sale price for
each component stock. |
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Settlement
Next New York business day
following expiration. |
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Position Limits
45,000 contracts on the
same side of the market, provided no more than 25,000 of such contracts are in the nearest
expiration month series. No more than 25,000 of such contracts be used for Index
arbitrage. Hedge and order facilitation exemptions are available, subject to prior
approval from the American Stock Exchange. |
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Minimum Customer Margin
for Uncovered Writers
Premium plus 15% of the
aggregate Index value (Index value x $100) reduced by any out-of-the-money amount to a
minimum of premium plus 10% of the aggregate Index value. |
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Trading Hours
9:30 a.m. to 4:15 p.m., New
York time. |
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Trading System
Specialist/Registered
Options Trader. |
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CUSIP Number
03113H100 |
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Trading Symbol
MID |
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Final Settlement Value
Symbol
MIV |
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