Final Settlement Procedures

Quarterly settlement of S&P 500, E-mini S&P 500, S&P MidCap 400, E-mini S&P MidCap 400, S&P 500 Citigroup/Growth and Value and SPCTR  Index futures and options on futures are based on a Special Opening Quotation of the relevant underlying index. The Special Opening Quotation for each index is based on the opening price of each component stock in that index on expiration Friday.

Special Opening Quotations (SOQ) generally differ from the opening index value of each index because all stocks do not open immediately. For example, on typical days surveyed by CME Group, most S&P stocks open quickly, with around 95% open within 15 minutes and 98% open within 30 minutes. Other indexes with larger numbers of stocks may take longer to open.

On typical days, CME Group begins disseminating index values immediately at 8:30 a.m. Central Time (CT). Because the index value is based on the last price for each stock, the opening index value will reflect the previous day's closing price for any stock that has yet to open. Thus, the index value almost always begins at the previous close and then changes as stocks open. Thereafter, the index calculation reflects some stocks not yet open, and other stocks actively trading.

Special Opening Quotations of the indexes generally will be based on the opening values of the component stocks, regardless of when those stocks open on expiration day. However, if a stock does not open on that day, its last sale price will be used in the Special Opening Quotation. The Special Opening Quotation may or may not be within the cash index prices on expiration day.

CME disseminates periodic updates of the S&P 500 and S&P MidCap 400 Special Opening Quotations on the ticker as a text message. These quotations are based on the opening prices for those stocks that have opened by that time and the last sale price for those stocks that have yet to open.

A sample calculation of the S&P 500 Index and Special Opening Quotation is shown below. When either:

• all the stocks in the index are open, and corrections are finished, or
• the close of business occurs, whichever is first, the Special Opening Quotations will be finalized.

All open expiring futures and options on futures contracts will be cash-settled to final Special Opening Quotations.²

This example illustrates the difference between the index and the Special Opening Quotation for a simple two-stock index with equal outstanding shares of stock.

N/O Not Open 
* Opening price 
** Official opening index value

NASDAQ-100 Index futures and options on futures, E-mini NASDAQ-100 futures and options and E-mini NASDAQ Composite  futures expire on a quarterly cycle. Beginning with the June 2005 expirations, the Special Opening Quotations for NASDAQ-100 and NASDAQ Composite Indexes will be calculated based on the NASDAQ Official Opening Price (NOOP) for the component stocks of the respective indexes.

Nikkei 225 and TOPIX products expire on the second Friday of the contract month. The final settlement price of the Nikkei 225 futures and TOPIX futures are based on the Special Opening Quotation of each indices referencing the opening values of constituent stocks at Tokyo Stock Exchange on the business day following the last trading day. The final settlement price on all cash settlements will be rounded to the 1/100th of an index point.

1 The NYSE or AMEX opening price will be used for stocks listed on the NYSE or AMEX, respectively. The NASDAQ Official Opening Price (NOOP) will be used for NASDAQ stocks.

2 Expiring in-the-money option contracts will be exercised automatically, absent contrary instructions received by CME Clearing prior to 7:00 p.m. on expiration Friday.