PHLX Semiconductor SectorSM (SOXSM) The PHLX Semiconductor SectorSM (SOXSM) is a price-weighted index composed of 19 companies primarily involved in the design, distribution, manufacture, and sale of semiconductors. The index was set to an initial value of 200 on December 1, 1993 and was split two-for-one on July 24, 1995; options commenced trading on September 7, 1994.
Contract Specifications
Trading Symbol: SOX
Alternate Symbols: SOO, SOY, SXX, SJX, SOW If you are unable to obtain a listing for a strike price under the trading symbols, use the alternate symbols.
Exercise Style: American - may be exercised on any business day before the expiration date.
Expiration Date: Saturday following the third Friday of the expiration month.
Expiration Cycle: Three months from the March, June, September, December cycle plus two additional near-term months (five months at all times).
Settlement: Cash
Settlement Value For Expiring Contracts: Based on the opening prices of the component stocks on the last trading day prior to expiration (usually a Friday). The settlement value is disseminated under the symbol SX.
Last Trading Day for Expiring Contracts: The last business day (usually a Thursday) before the third Friday of the expiration month.
Index Multiplier: $100 (i.e., one contract = index value x 100)
Exercise (Strike) Price Intervals: The Exchange shall determine fixed point intervals of exercise prices for index options. Generally, the exercise (strike) price interval shall be $2 1/2 for the three consecutive near-term months, $5 for the fourth month and $10 for the fifth month. However, the Exchange may determine to list strike prices at $2 1/2 intervals in response to demonstrated customer interest or specialist request. The Exchange may also determine to list strike prices at wider intervals. Consult PHLX Rule 1101A for further information.
Premium Quotation: One point = $100. Thus a premium quote of 2 is $200. The minimum change in a premium under 3 is $5.00 and the minimum change in a premium of 3 or greater is $10.00.
Position Limits: 31,500 contracts on the same side of the market. Hedge exemptions are available.
Margin: Uncovered writers must deposit 100% of the option proceeds plus 20% of the aggregate contract value (current index level multiplied by $100) minus the amount by which the option is out-of-the-money, if any. Minimum margin is 100% of the option proceeds plus 10% of the aggregate contract value. Long puts or calls must be paid for in full.
Trading Hours: 9:30 a.m. to 4:00 p.m. EST/EDT (Philadelphia Time)
Issuer and Guarantor: The Options Clearing Corporation (OCC)
Trading Example: An investor wishes to capitalize on a market decline in the semiconductor industry over the next 9 months. In April, SOX is trading at a level of 370. The investor decides to purchase 10 in-the-money SOX December 375 puts at 15 ( 10 x $15 x 100 = $15,000). At expiration, SOX has declined approximately 5% to 351, yeilding the investor a profit of $9,000 - a 60% return on his initial investment.
SOX value at expiration 375 Less SOX call option strike -351 ------------ 24 Intrinsic value of option 24 pts.Multiply by # of contracts x10 ------------ Intrinsic value of position ( measured in pts.) 240 Multiply by index multiplier ($100) x100 ------------ Proceeds $24,000 Less cost of SOX puts -15,000 ------------ Net Profit $ 9,000
PHLX Semiconductor Sector, SOXSM are service marks of the Philadelphia Stock Exchange.
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