Exercise Price Intervals Premium Quotations
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 points.
Settlement Position Limits Minimum Customer Margin for
➢ 股指期权的交易形式既有交易所交易,也有场外交易(OTC)。有些指数是用来 衡量整个股票市场的（如S&P500指数），而另一些是基于某些特定的行业的 指数（如能源、科技等行业指数）。
➢ 第一份普通股指期权合约于1983年3月在芝加哥期权交易所出现。该期权的标 的物是S&P100（标准普尔100种股票指数）。随后，美国证券交易所和纽约 证券交易所迅速引进了指数期权交易。指数期权以普通股股价指数作为标的， 其价值决定于作为标的的股价指数的价值及其变化。
➢ 在股利模型下，看涨看跌期权的计算公式调整如下
c S0eδT N (d1) KerT N (d2 ) p KerT N (d2 ) S0eδT N (d1)
➢ 此时看涨-看跌平价为：
c KerT p S0eδT
金融衍生工具
12
第二节 红利率与期权定价
➢ 例3：假设某公司股票年利率复利收益为δ=0.04，S=41，K=40，σ=0.3， r=8%，T=0.25，求该股票的看涨期权价格。
The minimum trade size is one option contract. The notional value underlying each contract equals $100 multiplied by the Index value. Three near-term expiration months, plus two additional further-term expiration months from the March cycle. The Saturday following the third Friday of the expiration month. Two business days prior to expiration (normally a Thursday). Options may be exercised only at expiration. Writers of options are subject to exercise only at that time. Check with your broker to ascertain cut-off times
