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Description of AMEX Defense Index Options
The AMEX Defense Index (DFI) is designed to represent a cross section of widely held, highly capitalized companies involved in providing systems, equipment and services to the United States government and its allies for the purpose of supporting military, defense and intelligence efforts. |
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Index Calculation
The Index is calculated using an equal-dollar weighting methodology to ensure that each of the component securities is represented in approximately equal dollar amounts in the Index. Equal dollar weighting was established by designating the number of shares of each component security to represent approximately $10,000 in market value, based on closing prices on September 21, 2001. The aggregate value of stocks was reduced by a divisor to establish an Index benchmark value of 500.00. To ensure that each component stock continues to represent an approximately equal dollar value, adjustments are made after close of trading on the third Friday of March, June, September, and December. |
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Index Components
| Alliant Techsystems Inc. |
ATK |
Lockheed Martin Corp. |
LMT |
| Boeing Co. |
BA |
Newport News Shipbuilding |
NNS |
| DRS Technologies, Inc. |
DRS |
Northrop Grumman Corp. |
NOC |
| Engineered Support Systems, Inc. |
EASI |
Raytheon Co. |
RTN |
| EDO Corporation |
EDO |
Stewart & Stevenson Services, Inc. |
SSSS |
| FLIR Systems, Inc. |
FLIR |
Titan Corp. |
TTN |
| General Dynamics Corp. |
GD |
United Industrial Corp |
UIC |
| L3 Communications |
LLL |
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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
Three consecutive near-term expiration months plus two successive months from 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 the 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 dollars and cents. Minimum price variant $0.05 (nickel) for series trading under 3 and $0.10 (dime) for series trading 3 and above. |
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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./font> |
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Settlement
Next New York business day following expiration. |
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Position Limits
31,500 contracts on the same side of the market. |
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Minimum Customer Margin for Uncovered Writers
Premium plus 20% 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 4:02 p.m., New York time. |
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Trading System
Specialist/Registered Options Trader. |
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CUSIP Number
03114A104 |
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Trading Symbol
DFI |
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Final Settlement Value Symbol
DOI |
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