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Alpha Index Options Contract Specifications

  NASDAQ OMX Alpha Indexes
Description The NASDAQ OMX Alpha Indexes measure relative total returns of one underlying stock and one exchange traded fund (ETF) share -- each such combination of two components is referred to as an “Alpha Pair”. Total return measures performance (rate of return) of price appreciation plus dividends over a given evaluation period. Thus, an Alpha Index measures the relative total return of one stock and one ETF. The first component identified in an Alpha Pair (the “Target Component”) is measured against the second component identified in the Alpha Pair (the “Benchmark Component”).
Symbol(s) See below
Multiplier $100
Strike Interval $1.00 minimum
Minimum Trading Increment < $3.00 is $0.05= $3.00 or higher is $0.10 However, if either component of the Alpha Pair has a minimum tick size of $0.01, options on that Alpha Index will also have a minimum tick size of $0.01.
Expiration Date Saturday following the third Friday of the expiration month.
Expiration Month There will be at least two expiration months from the March quarterly cycle, in addition to, two near-term months; so that the three nearest term months will always be available. LEAPS may also be available.
Exercise Style European
Last Trading Day Trading will ordinarily cease on the business day (usually a Thursday) before the third Friday of the expiration month.
Settlement Type Cash settlement
Settlement Value Symbol(s) See below
Settlement Value The settlement value of each Alpha Index will be based on the opening prices of the individual stock and the ETF from the primary listed market, on the last trading day prior to expiration (usually a Friday).
Settlement of Exercise Next business day following expiration.
Position and Exercise Limits The position and exercise limits are 60,000 contracts on the same side of the market. Positions in Alpha Options will be aggregated with positions in the equity options on the underlying securities for purposes of determining compliance with position limits.
MarginMargin requirements are set at the higher of the margin requirements applicable to options on the two individual components (Target and Benchmark) of the Alpha Index.
Trading Hours 9:30 A.M. - 4:00 P.M. Eastern Time (Philadelphia time).

Index Name Symbol Settlement Symbol Index Options
NASDAQ OMX Alpha AAPL vs. SPY Index AVSPY AIX Options Chain
NASDAQ OMX Alpha GOOG vs. SPY Index GOOSY AXG Options Chain

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