The closing procedures set forth below are being implemented in response to a decision by the Chicago Mercantile Exchange (CME) to conduct a special settlement procedure for all domestic stock index futures and options on June 30, 2000. On that day, the CME will stop trading in domestic stock index products at 3:05 p.m. (CST) - five minutes after the close of the stock market - instead of the usual 15 minutes after the close. The CME will then determine the settlement prices for all domestic stock index futures and options on the basis of their "fair value" relative to the underlying cash indexes at 3:00 p.m. (CST).
In order to make the Exchange's hours of trading in domestic broad-based index options on June 30, 2000, conform to the hours of trading in related futures and to assure that quarter-end values for the Exchange's domestic broad-based index options are also based on "fair value" in a manner consistent with the determination of related futures values, the Exchange is implementing special quarter-end closing procedures, as described below.
Closing of Certain Index Options at 3:05 p.m.
On June 30, 2000, trading in the following index options will cease at 3:05 p.m. (CT): S&P 500 Index (SPX), S&P 100 Index (OEX), Nasdaq-100 Index (NDX), Russell 2000 Index (RUT), S&P/Barra Growth Index (SGX), S&P/Barra Value Index (SVX), S&P SmallCap Index (SML), Morgan Stanley Multinational Company Index (NFT).
Special "Closing Rotations" in these Index Options
In order to allow the CBOE's domestic broad-based index options to be valued on the same "fair value" basis as the related index futures at the CME, the Exchange has determined to deviate from the normal procedure for the conduct of closing rotations on June 30, 2000, for each of the index options listed above. Specifically, after the close of trading at 3:05 p.m. (CT) on that date, special "closing rotations" will be held for the sole purpose of determining theoretical fair values for the option contracts listed above. It should be noted that the option "fair values" determined during the special closing rotations may deviate from actual traded prices at the close. This action is being taken pursuant to authorization given to CBOE Floor Officials in consultation with the Order Book Officials under CBOE Rules 6.2 and 24.13 to deviate from ordinary rotation policies or procedures in the interest of a fair and orderly market. No trading of any kind is permitted. No orders of any type, including orders resting in the Exchange's limit order book, will be allowed to be traded during these special closing rotations. No market maker to market maker transactions will be allowed.
Additionally, please be aware that in accordance with Exchange Rule 11.1, the cutoff time for submitting an "exercise advice" to the Exchange on June 30, 2000, will be changed due to the early close of trading on that day.
As the close of trading for OEX options will be 3:05 p.m. (CT) on June 30, 2000, "exercise advices" must be submitted to the Exchange within five minutes after the closing rotation on that day.
