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DATE: November 13, 1997 Regulatory Circular #RG97-155
TO: Members
RE: S&P 100 ("OEX/OEW/OEZ/OEB")
2-for-1 Index Split
Effective Date: November 24, 1997
FROM: Eileen Smith
Effective on November 24, 1997, Standard & Poor's will perform a 2-for-1
split of the S&P 100 Index (OEX). To effect this split, the index divisor
will be doubled.
S&P 100 LEAPS contracts will NOT be adjusted. However, since the OEX level
will be halved, the value underlying OEX LEAPS will be calculated based on
one-fifth of the S&P 100 Index. For example, if the OEX is currently at
880.42, the OLX value = 880.42/10 or 88.04. After the split the OLX value
will equal 440.21/5 or 88.04.
Contract Adjustment
All outstanding OEX/OEW/OEZ/OEB option series will be adjusted to reflect
this 2-for-1 split on Monday, November 24, 1997, at 8:30 A.M. Chicago time.
The OCC will issue one additional contract for each open contract on the
effective date. Also on the effective date, each OEX/OEW/OEZ/OEB series
will have an adjusted exercise price equal to one-half of the exercise
price for each series existing on the business day immediately prior to the
effective date. For example, a person holding 10 OEX Dec 880 calls, will
have an adjusted position of 20 OEX Dec 440 calls. [Any FLEX series that
may exist will be adjusted in a similar manner to the standardized option.]
The option symbols will be adjusted as follows: all adjusted series between
300 and 395 will have an underlying symbol of OEZ, all adjusted series
between 400 and 495 will have an underlying symbol of OEX and all adjusted
series between 500 and 595 will have an underlying symbol of OEW.
The option adjustment will appear in the Daily Position Report of the
clearing member firms on the effective date. After 8:30 A.M. Monday,
November 24, 1997, all trades, corrections and exercises must be submitted
to the CBOE and OCC on an adjusted basis.
Procedures for Resting GTC Orders
On Friday, November 21, 1997, after the close, resting GTCs in OEW, OEX and
OEZ will be automatically cancelled or adjusted, as requested by the firm.
Reports will be printed by the book staff at 3:15 and should be picked up
by firms at the OEX order entry area. These reports will list each resting
GTC along with the action to be taken (either cancellation or adjustment).
If cancelled, OUTS will be sent back to the branch for ORS wire orders and
to the booth for BERS orders. If adjusted, the order will remain in the
book and our system will appropriately maintain the quantity, symbol and
premium.
All resting GTCs in OEB will be manually cancelled by the book staff at the
end of the day on Friday. Firms will be notified of all such cancelled
orders. It is the responsibility of the firm to re-enter these orders on
Monday, November 24, 1997 using the OEW symbol.
Position and Exercise Limits
The position limits following this split will be 50,000 contracts on the
same side of the market with no more than 30,000 contracts in the near term
expiration. Exercise limits will be 30,000 contracts. LEAPS will now be
aggregated with standard options on a 5-to-1 basis and LEAPS position
limits will remain at 250,000 contracts.
Adjusted Exercise Prices
On Monday, November 24, 1997, the effective date, trading in OEX series
will be on an adjusted basis. At 8:30 A.M., Chicago time, an opening
rotation will be effected with the following adjustments:
EXISTING SERIES ADJUSTED SERIES
OEZLL Dec 760 Calls OEZLP Dec 380 Calls
OEZLP Dec 780 Calls OEZLR Dec 390 Calls
OEXLT Dec 800 Calls OEXLT Dec 400 Calls
OEXLB Dec 810 Calls OEXLA Dec 405 Calls
OEXLD Dec 820 Calls OEXLB Dec 410 Calls
OEXLF Dec 830 Calls OEXLC Dec 415 Calls
OEXLH Dec 840 Calls OEXLD Dec 420 Calls
OEXLJ Dec 850 Calls OEXLE Dec 425 Calls
OEXLL Dec 860 Calls OEXLF Dec 430 Calls
OEXLN Dec 870 Calls OEXLG Dec 435 Calls
OEXLP Dec 880 Calls OEXLH Dec 440 Calls
EXISTING SERIES ADJUSTED SERIES
OEXLR Dec 890 Calls OEXLI Dec 445 Calls
OEWLT Dec 900 Calls OEXLJ Dec 450 Calls
OEWLB Dec 910 Calls OEXLK Dec 455 Calls
OEWLD Dec 920 Calls OEXLL Dec 460 Calls
OEWLF Dec 930 Calls OEXLM Dec 465 Calls
OEWLH Dec 940 Calls OEXLN Dec 470 Calls
OEWLJ Dec 950 Calls OEXLO Dec 475 Calls
OEWLL Dec 960 Calls OEXLP Dec 480 Calls
OEWLN Dec 970 Calls OEXLQ Dec 485 Calls
OEWLP Dec 980 Calls OEXLR Dec 490 Calls
OEWLR Dec 990 Calls OEXLS Dec 495 Calls
OEBLB Dec 1010 Calls OEWLA Dec 505 Calls
OEBLF Dec 1030 Calls OEWLC Dec 515 Calls
OEZAL Jan 760 Calls OEZAP Jan 380 Calls
OEZAP Jan 780 Calls OEZAR Jan 390 Calls
OEXAT Jan 800 Calls OEXAT Jan 400 Calls
OEXAB Jan 810 Calls OEXAA Jan 405 Calls
OEXAD Jan 820 Calls OEXAB Jan 410 Calls
OEXAF Jan 830 Calls OEXAC Jan 415 Calls
OEXAH Jan 840 Calls OEXAD Jan 420 Calls
OEXAJ Jan 850 Calls OEXAE Jan 425 Calls
OEXAL Jan 860 Calls OEXAF Jan 430 Calls
OEXAN Jan 870 Calls OEXAG Jan 435 Calls
OEXAP Jan 880 Calls OEXAH Jan 440 Calls
OEXAR Jan 890 Calls OEXAI Jan 445 Calls
OEWAT Jan 900 Calls OEXAJ Jan 450 Calls
OEWAB Jan 910 Calls OEXAK Jan 455 Calls
OEWAD Jan 920 Calls OEXAL Jan 460 Calls
OEWAF Jan 930 Calls OEXAM Jan 465 Calls
OEWAH Jan 940 Calls OEXAN Jan 470 Calls
OEWAJ Jan 950 Calls OEXAO Jan 475 Calls
OEWAL Jan 960 Calls OEXAP Jan 480 Calls
OEWAN Jan 970 Calls OEXAQ Jan 485 Calls
OEWAP Jan 980 Calls OEXAR Jan 490 Calls
OEWAR Jan 990 Calls OEXAS Jan 495 Calls
OEBAB Jan 1010 Calls OEWAA Jan 505 Calls
OEBAF Jan 1030 Calls OEWAC Jan 515 Calls
OEZBL Feb 760 Calls OEZBP Feb 380 Calls
OEZBP Feb 780 Calls OEZBR Feb 390 Calls
OEXBT Feb 800 Calls OEXBT Feb 400 Calls
OEXBB Feb 810 Calls OEXBA Feb 405 Calls
OEXBD Feb 820 Calls OEXBB Feb 410 Calls
OEXBF Feb 830 Calls OEXBC Feb 415 Calls
OEXBH Feb 840 Calls OEXBD Feb 420 Calls
OEXBJ Feb 850 Calls OEXBE Feb 425 Calls
OEXBL Feb 860 Calls OEXBF Feb 430 Calls
OEXBN Feb 870 Calls OEXBG Feb 435 Calls
EXISTING SERIES ADJUSTED SERIES
OEXBP Feb 880 Calls OEXBH Feb 440 Calls
OEXBR Feb 890 Calls OEXBI Feb 445 Calls
OEWBT Feb 900 Calls OEXBJ Feb 450 Calls
OEWBB Feb 910 Calls OEXBK Feb 455 Calls
OEWBD Feb 920 Calls OEXBL Feb 460 Calls
OEWBF Feb 930 Calls OEXBM Feb 465 Calls
OEWBH Feb 940 Calls OEXBN Feb 470 Calls
OEWBJ Feb 950 Calls OEXBO Feb 475 Calls
OEWBL Feb 960 Calls OEXBP Feb 480 Calls
OEWBN Feb 970 Calls OEXBQ Feb 485 Calls
OEWBP Feb 980 Calls OEXBR Feb 490 Calls
OEWBR Feb 990 Calls OEXBS Feb 495 Calls
OEBBB Feb 1010 Calls OEWBA Feb 505 Calls
OEBBF Feb 1030 Calls OEWBC Feb 515 Calls
OEZXL Dec 760 Puts OEZXP Dec 380 Puts
OEZXP Dec 780 Puts OEZXR Dec 390 Puts
OEXXT Dec 800 Puts OEXXT Dec 400 Puts
OEXXB Dec 810 Puts OEXXA Dec 405 Puts
OEXXD Dec 820 Puts OEXXB Dec 410 Puts
OEXXF Dec 830 Puts OEXXC Dec 415 Puts
OEXXH Dec 840 Puts OEXXD Dec 420 Puts
OEXXJ Dec 850 Puts OEXXE Dec 425 Puts
OEXXL Dec 860 Puts OEXXF Dec 430 Puts
OEXXN Dec 870 Puts OEXXG Dec 435 Puts
OEXXP Dec 880 Puts OEXXH Dec 440 Puts
OEXXR Dec 890 Puts OEXXI Dec 445 Puts
OEWXT Dec 900 Puts OEXXJ Dec 450 Puts
OEWXB Dec 910 Puts OEXXK Dec 455 Puts
OEWXD Dec 920 Puts OEXXL Dec 460 Puts
OEWXF Dec 930 Puts OEXXM Dec 465 Puts
OEWXH Dec 940 Puts OEXXN Dec 470 Puts
OEWXJ Dec 950 Puts OEXXO Dec 475 Puts
OEWXL Dec 960 Puts OEXXP Dec 480 Puts
OEWXN Dec 970 Puts OEXXQ Dec 485 Puts
OEWXP Dec 980 Puts OEXXR Dec 490 Puts
OEWXR Dec 990 Puts OEXXS Dec 495 Puts
OEBXB Dec 1010 Puts OEWXA Dec 505 Puts
OEBXF Dec 1030 Puts OEWXC Dec 515 Puts
OEZML Jan 760 Puts OEZMP Jan 380 Puts
OEZMP Jan 780 Puts OEZMR Jan 390 Puts
OEXMT Jan 800 Puts OEXMT Jan 400 Puts
OEXMB Jan 810 Puts OEXMA Jan 405 Puts
OEXMD Jan 820 Puts OEXMB Jan 410 Puts
OEXMF Jan 830 Puts OEXMC Jan 415 Puts
OEXMH Jan 840 Puts OEXMD Jan 420 Puts
OEXMJ Jan 850 Puts OEXME Jan 425 Puts
OEXML Jan 860 Puts OEXMF Jan 430 Puts
EXISTING SERIES ADJUSTED SERIES
OEXMN Jan 870 Puts OEXMG Jan 435 Puts
OEXMP Jan 880 Puts OEXMH Jan 440 Puts
OEXMR Jan 890 Puts OEXMI Jan 445 Puts
OEWMT Jan 900 Puts OEXMJ Jan 450 Puts
OEWMB Jan 910 Puts OEXMK Jan 455 Puts
OEWMD Jan 920 Puts OEXML Jan 460 Puts
OEWMF Jan 930 Puts OEXMM Jan 465 Puts
OEWMH Jan 940 Puts OEXMN Jan 470 Puts
OEWMJ Jan 950 Puts OEXMO Jan 475 Puts
OEWML Jan 960 Puts OEXMP Jan 480 Puts
OEWMN Jan 970 Puts OEXMQ Jan 485 Puts
OEWMP Jan 980 Puts OEXMR Jan 490 Puts
OEWMR Jan 990 Puts OEXMS Jan 495 Puts
OEBMB Jan 1010 Puts OEWMA Jan 505 Puts
OEBMF Jan 1030 Puts OEWMC Jan 515 Puts
OEZNL Feb 760 Puts OEZNP Feb 380 Puts
OEZNP Feb 780 Puts OEZNR Feb 390 Puts
OEXNT Feb 800 Puts OEXNT Feb 400 Puts
OEXNB Feb 810 Puts OEXNM Feb 405 Puts
OEXND Feb 820 Puts OEXNB Feb 410 Puts
OEXNF Feb 830 Puts OEXNC Feb 415 Puts
OEXNH Feb 840 Puts OEXND Feb 420 Puts
OEXNJ Feb 850 Puts OEXNE Feb 425 Puts
OEXNL Feb 860 Puts OEXNF Feb 430 Puts
OEXNN Feb 870 Puts OEXNG Feb 435 Puts
OEXNP Feb 880 Puts OEXNH Feb 440 Puts
OEXNR Feb 890 Puts OEXNI Feb 445 Puts
OEWNT Feb 900 Puts OEXNJ Feb 450 Puts
OEWNB Feb 910 Puts OEXNK Feb 455 Puts
OEWND Feb 920 Puts OEXNL Feb 460 Puts
OEWNF Feb 930 Puts OEXNM Feb 465 Puts
OEWNH Feb 940 Puts OEXNN Feb 470 Puts
OEWNJ Feb 950 Puts OEXNO Feb 475 Puts
OEWNL Feb 960 Puts OEXNP Feb 480 Puts
OEWNN Feb 970 Puts OEXNQ Feb 485 Puts
OEWNP Feb 980 Puts OEXNR Feb 490 Puts
OEWNR Feb 990 Puts OEXNS Feb 495 Puts
OEBNB Feb 1010 Puts OEWNA Feb 505 Puts
OEBNF Feb 1030 Puts OEWNC Feb 515 Puts
Questions regarding this memo can be addressed to the CBOE Investor
Services Department at 1-800-OPTIONS (1-800-678 4667), press 4, press 2.
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