Amendment to exercise price rules & clarification to 813
November 28, 2005
Page 20 of 20

2. Options not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

CHAPTER 361A: Options on E-Mini Russell 2000 Futures

361A01.E. Exercise Prices

1. Options in the March Quarterly cycle

The exercise prices shall be stated in terms of the E-Mini Russell 2000 Stock Price Index futures contract.

A referencing index shall be determined each quarter on the day prior to the expiration of the March quarterly
futures contract and shall equal the daily settlement price of the nearest expiring E-Mini Russell 2000 Index
futures contract. The chosen referencing index will then be used to determine the strike listing range for all listed
contract months. The index points are rounded down to the nearest integer.

At the commencement of trading for each contract, the Exchange shall list all exercise prices that are integers
divisible by 10 without remainder, e.g. 600, 610, 620, etc, in a range of 30% of the referencing index above and
below the previous day’s settlement price of the underlying futures contract.

The Exchange shall also add exercise prices that are integers divisible by 5 without remainder within in the range
of 15% above and below the previous day’s settlement price of the underlying futures contract. In addition, the
Exchange shall add exercise prices that are integers divisible by 2.5 in a range of 15 index points above and below
the previous day’s settlement price of the underlying futures contract.

Thereafter, when a daily settlement price in the underlying futures contract occurs at, or passes through, any
exercise price, the Exchange shall list, on the next trading day, all eligible exercise prices in the corresponding
ranges.

Exchange Staff, under delegated authority from the Board may modify the provisions governing the establishment
of exercise prices as it deems appropriate.

2. Options Not in the March Quarterly cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

813. SETTLEMENT PRICE

The settlement price shall be a price consistent with the minimum fluctuations of the commodity. Settlement
prices will be determined at the close of Regular Trading Hours.

Rules A. — E. remain unchanged

F. Settlement prices for the Standard and Poor’s Midcap 400 Stock Price Index futures and the Russell 2000
Stock Price Index futures contract months shall equal the settlement prices for the corresponding contract months
of the E-Mini Standard and Poor’s Midcap 400 Stock Price Index futures and the E-Mini Russell 2000 Stock
Price Index futures

G. For products cleared by the Clearing House on behalf of another exchange, market or Marketplace other
than the Exchange, the settlement price shall be determined according to the rules of such entity. In the case of
inaccuracy or unavailability of a settlement price from the exchange, market or Marketplace, or if such settlement
price would create risk management concerns for the Clearing House, the Clearing House reserves the right to
calculate settlement variation using an alternate price determined by the Clearing House


Amendment to exercise price rules & clarification to 813
November 28, 2005
Page 14 of 20

Exercise prices that are integers divisible by 10 without remainder shall be added, if they have not already been
listed, within a range of 20 percent of the referencing index above and below the previous day's settlement price
of the underlying futures contract.

When a contract month becomes the second-nearest contract month in the March quarterly cycle, the Exchange
shall add exercise prices at an interval that is an integer divisible by 5 without remainder in a range of 10 percent
of the referencing index above and below the previous day's settlement price of the underlying futures contract.
Thereafter, when a settlement price in the underlying futures contract occurs at, or passes through, any exercise
price, the Exchange shall add on the next trading day, all eligible exercise prices in the corresponding ranges.
New options may be listed for trading up to and including the termination of trading.

2. Options Not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

Exchange Staff, under delegated authority from the Board may modify the provisions governing the establishment
of exercise prices as it deems appropriate.

CHAPTER 352A: Options on Nikkei Stock Average Futures

352A01.E. Exercise Prices

1. Options in the March Quarterly Cycle

The exercise prices shall be stated in terms of the Nikkei Stock Average futures contract which is deliverable
upon exercise of the option and shall be an integer divisible by 500 without remainder, e.g., 20000, 20500, 21000,
ete.

At the commencement of trading in a contract month, the Exchange shall list put and call options, with exercise
prices at each of the next six levels above the previous day's settlement of the futures contract deliverable upon
exercise of the option (the underlying futures contract) and put and call options with exercise prices at each of the
next six levels below that settlement price. If any of the foregoing exercise prices are within 100 index points of
the settlement price of the underlying futures contract, then the Exchange shall list a thirteenth exercise price at
the unoccupied level closest to the exercise price within 100 index points of the settlement.

When a sale, bid, or offer in the underlying futures contract occurs at, or passes through, the sixth highest (or sixth
lowest) listed exercise price, put and call option contracts at the next higher (or lower) exercise price shall
commence trading on the next trading day. New options may be listed for trading up to and including the
termination of trading.

Exchange Staff, under delegated authority from the Board may modify the provisions governing the establishment
of exercise prices as it deems appropriate.

2. Options Not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

CHAPTER 353A: Options on Standard and Poor's Midcap 400 Stock Price IndexTM Futures

353A01.E. Exercise Prices

1. Options in the March Quarterly Cycle

The exercise prices shall be stated in terms of the Standard and Poor's MidCap 400 Stock Price Index futures
contract.

A referencing index shall be determined each quarter on the day prior to the expiration of the March Quarterly
futures contract and shall equal the daily settlement price of the nearest expiring S&P MidCap 400 futures


Amendment to exercise price rules & clarification to 813
November 28, 2005
Page 5 of 20

When a contract month becomes the second-nearest contract month in the March quarterly cycle, the Exchange
shall add exercise prices at an interval that is a number divisible by 2.5 without remainder in a range of 15 index
points above and below the Previous day's settlement ‘Price of the underlying futures contract. DE the previous

era) Ht 1H +hen—that hall-_be—listed—al.
iprice ed} price; P?

previeusly-tisted:]

Thereafter, [and-for-al-contractmonths,] when a settlement price in the underlying futures contract occurs at, or
passes through, any exercise price, the Exchange shall list, on the next trading day, all eligible exercise prices in
the corresponding ranges.

New options may be listed for trading up to and including the termination of trading.

Exchange Staff, under delegated authority from [F]the Board may modify the provisions governing the
establishment of exercise prices as it deems appropriate.

:

2. Options Not in the March Quarterly Cycle
Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the

exercise prices listed for the January contract shall be identical to those listed for the March contract.

[pond d-evidi din-th th tions pit, the Exch halist put-and-call opti t
pe Pp P B P P

ry
listed-for-tradine- in-th + Mareh-quarterly vyole-fat jon-thati thi jrati £-the-opti

CHAPTER 354A: Options on Russell 2000 Stock Price IndexTM Futures

354A01.E. Exercise Prices

1. Options in the March Quarterly Cycle

The € exercise © Prices shall be stated in terms + of the Russell 2000 Stock Price Index futures contract, [whieh-is

hall-b int divisible by ithout ind 200,205,210, we],

Tees
A referencing ‘index shall be determined each quarter on the dat lay prior to the expiration [day] of the March
Quarterly futures_contract and [Fhe-+eferencing index] shall equal the_daily [previeus-day's] settlement price of
the nearest expiring [Jead-month] Russell 2000 Index futures contract. The chosen referencing index will then be
used to. determine the strike sting range for al all sisted contract months. [ealeulatethe-index_pointsfor the-10%
8 € a elew-] The index points are rounded down to the nearest

integer.
At the commencement of trading for each contract _month [the-feurth 3 tract th-in—the-March

quarterly_eyele], the Exchange shall list all eligible [exercise] prices in a range of 10 percent of the referencing
index above and below the previous day's settlement price of the underlying futures contract that are integers
divisible by 5 without remainder, e.g. 600, 605, 610, etc.

[Fhereafter, for the third and fourth +-contract ths-in-the-March-quartert: Je—when- ttlement-pri
7 # YCyeres P'
in-th derhine fut tract " ses_thi h i jce—the-Exeh: hall-add—all
YEE OF pt eas-any eo PHee; Bi

When a contract month becomes the second-nearest contract month in the March quarterly cycle, the Exchange
shall add exercise prices at an interval that is a number divisible by 2.5 without remainder in a range of 15 index
points above and below the Previous day’ 'S settlement price of the underlying futures contract. unease

day's sett +-price-eq’ Jigs _thenthat P hall-be—listed—al
-]
Thereafter, [andfor-alt-eth tract ths;] when a settlement price, in the underlying futures contract occurs

at, or passes through, any exercise price, the Exchange shall list, on the next trading day, all eligible exercise

prices in the corresponding ranges.
New options may be listed for trading up to and including the termination of trading.


Amendment to exercise price rules & clarification to 813
November 28, 2005
Page 18 of 20

A referencing index shall be determined each quarter on the day prior to the expiration of the March Quarterly
futures contract and shall equal the daily settlement price of the nearest expiring NASDAQ 100 Index futures
contract. The chosen referencing index will then be used to determine the strike listing range for all listed
contract months. The index points are rounded to the nearest integer.

At the commencement of trading for each contract month, the Exchange shall list all exercise prices in a range of
30 percent of the referencing index above and below the previous day's settlement price of the underlying futures
contract that are integers divisible by 50 without remainder, e.g. 1500, 1550, 1600, etc.

When a contract month becomes the second-nearest contract month in the March quarterly cycle, the Exchange
shall add exercise prices at an interval that is an integer divisible by 10 without remainder in a range of 15 percent
of the referencing index above and below the previous day's settlement price of the underlying futures contract
Thereafter, when a settlement price in the underlying futures contract occurs at, or passes through, any exercise
price, the Exchange shall add, on the next trading day, all eligible exercise prices in the corresponding range.
New options may be listed for trading up to an including the termination of trading.

2. Options not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

Exchange Staff, under delegated authority from the Board may modify the provisions governing the establishment
of exercise prices as it deems appropriate.

Applicable for the January 2006 and subsequently listed contracts

1 Options in the March Quarterly Cycle

The exercise prices shall be stated in terms of the NASDAQ 100 futures.

A referencing index shall be determined each quarter on the day prior to the expiration of the March Quarterly
futures contract and shall equal the daily settlement price of the nearest expiring NASDAQ 100 Index futures
contract. The chosen referencing index will then be used to determine the strike listing range for all listed
contracts. The index points are rounded to the nearest integer.

At the commencement of trading, the Exchange shall list all exercise prices in a range of 15 percent of the
referencing index above and below the previous day's settlement price of the underlying futures contract that are
integers divisible by 25 without remainder, e.g. 1500, 1525, 1550, etc. .

When a contract month becomes the nearest expiring contract month, the Exchange shall add exercise prices at an
interval that is an integer divisible by 5 without remainder in a range of 7.5 percent of the referencing index above
and below the previous day's settlement price of the underlying futures contract.

Thereafter, when a settlement price in the underlying futures contract occurs at, or passes through, any exercise
price, the Exchange shall add, on the next trading day, all eligible exercise prices in the corresponding range.
New options may be listed for trading up to an including the termination of trading.

Exchange Staff, under delegated authority from the Board may modify the provisions governing the establishment
of exercise prices as it deems appropriate.

2. Options not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

CHAPTER 358A: Options on E-mini Standard and Poor's 500 Stock Price Index Futures
358A0L.E. Exercise Prices
1, Options in the March Quarterly Cycle


Amendment to exercise price rules & clarification to 813
November 28, 2005
Page 10 of 20

index above and below the previous day's settlement price of the underlying futures contract that are integers

divisible by 50 without remainder, e.g. 1500, 1550, 1600, etc.
(Fe fer for 43 f th-in-the-M; eg Fterby: te; dy ettle; AL pri inth derlying fat

th Hy i iee—the Exeh: hall-add-all-eligibh i i th
BA any Pre; et 8 PI

nextirading day]
When a contract month becomes the second-nearest contract month in the March quarterly cycle, the Exchange
shall add exercise prices at an interval that is an integer divisible by 10 without remainder in a range of 15 percent

of the referencing index above and below the previous day's | settlement price of the underlying futures contract.
[4the-pe wv: ys era) t- 1s elisible +h that 7 shall beHisted-al-

ti i) ie “PY 7 P of
ifnot previouslylisied]
Thereafter, when a settlement price in the underlying futures contract occurs at, or passes through, any exercise
price, the Exchange shall add, on the next trading day, all eligible exercise prices in the corresponding range.
New options may be listed for trading up to an including the termination of trading.

2. Options not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

[E fe i t-in-the Mareh-quarter! Je-shall-be-ind dent-ef the. ices-that
PA P' * ‘y*y P Pi
listed-fer-th: + March quart ti
¢ Hy-ep
At-thi ntoftrading f i -in-the- March quarter! 1 H i hall be-tisted-
S Pt “HIBEOR-qUAHCEY CF Cre; P
£30. tefthe ref ine-index-ab d-belew-th jous day's setth +t-price-ef the-underlyi:
i> Pe S Pi y i RE
fur: tract—Exerci: js hall-_be-int divisible-by—50—witheut ind Withi ef-15
2 PH ‘2 y 7 2)
t-ef the ref inp-index-_abeve-and_below-th jous-day's-settl +-_price_for-the-underlyine fut
Pr Ae Pp y P SIRE.
tract_10-peint i 4 hal-be-listed-ifthey-hi et-b Jready-listed
sp P o y y F
Thereaft hi th +-price-in-the underlying fate tract at, through,
‘PH y 5
the Exch hall-add-all-elivible prices in the di the-next+ ]
7 ee Bre pI iP J ed 2d

Exchange Staff, under delegated authority from [F]the Board may modify the provisions governing the
establishment of exercise prices as it deems appropriate.

Applicable for the January 2006 and subsequently listed contracts

L Options in the March Quarterly Cycle
The exercise prices shall be stated in terms of the NASDAQ 100 futures contract [which is-deliverable-apon
ise-of the-option —_In-all-centract-menths,th P 2 ible-by-25-wither

A referencing ‘index ‘shall be determined each quarter on the day prior to the expiration [day] of the March

Quarterly futures contract and [Fhe-+eferencingindex] shall equal the daily [previeus-day's] settlement price of
the nearest expiring [}ead4nenth] NASDAQ 100 Index futures contract[s]. The chosen referencing index will

then be used to determine the strike listing range for all listed contracts. [ealeulate-the index-peints forthe 159

d-7-5%-ranges-fe tract opt pecified-belew.] The index points are rounded to the

nearest integer.

[For-al-eligible-contract-menths]At the commencement of trading, the Exchange shall list all [eligible] exercise
prices in a range of 15 percent of the referencing index above and below the previous day's settlement price of the

underlying futures contract that are integers divisible by 25 without remainder, e.g. 1500, 1525, 1550, etc.

[Fhereafter,for-alHisted-contract ths, tt] + in-the-underlying fut tract t,
through, i ice,the Exehi hall-add-all-elicib} i ‘ thi ttradi ]
‘PF S B B-day:

When a contract month becomes the nearest expiring contract month, the Exchange shall add exercise prices at an
interval that is an integer divisible by 5 without remainder in a range of 7.5 percent of the referencing index above



Amendment to exercise price rules & clarification to 813

November 28, 2005
Page 7 of 20
hes ve db id: dinth ti ti it-the-Exch: hal-list Ht it

Pt iP options pit; BBE P ye

} listed for-tradi: inth +M, +h ter} e-fiaty yeti that f£ the-epti
PF o st oS 'P* FP
N Hy e-listed fortradi + d-inehidi: +the+ inati f tradi: ]

PF y i of S ree.

CHAPTER 355C: Options on S&P 500/ CITIGROUP Growth Index Futures

355C01.E. Exercise Prices

1. Options in the March Quarterly Cycle

The e} exercise prices shall be stated i in terms of the S&P 500/CITIGROUP Growth Index futures ¢ contract [whieh is

Je-th hall bs ible-by thout indere.¢.-255, 260,265, ete—In-all other

P' 8
tract ths_th i i hall bi ber-divisible-by2-5. 87 28552575 260, ie)

eyele], the Exchange shall list all [eligible] exercise prices in a range of 20 index points above and below the
previous day's settlement price of the underlying futures contract that_are integers divisible by 5 without
remainder, e.g. 500, 505, 510, etc.

If any of the foregoing exercise prices are within 2 index points of the settlement price of the underlying futures
contract, then the Exchange shall list an additional exercise price at the unoccupied level above (or below) the

exercise Price that i is within 2 index points of the previous day's settlement price. [Hthe-previous-day's settlement

ibh -then-that ice-shall- be-listed-also-]
Pi ¢ igi ise-pi Pi 9
[Thereafter for the third and-fourth +-contract ths-in-the-Mareh-quarterly-eyele,-wh le_bid off
+hicher( ‘
Be -aay P +P Bert P
with: 20-ind b forbel th i jee~at-which-or_th: h-whiehth derlyi
P iB ‘S F eA yas
fate Je, bid-offe th {pri d:]

When a contract month becomes the second-nearest contract month in the March quarterly cycle, the Exchange
shall add exercise prices at an interval that is a number divisible by 2.5_without remainder in a range of 15 index
Points above and below the Previous day’ 's settlement Price of the © underlying futures o contract. [Ht the previous

previously listed:
Thereafter, [and—fer-all_other-centract-menths,] when a [sale—bideffer—or] settlement price, in the underlying
futures contract occurs at, or passes through, any exercise price, the Exchange shall list all eligible exercise prices

in the corresponding ranges on the next trading day. [on th t-trading-day_put_and _call_opti t-th t

higher-( t lower). ithin-a-15- ind a beve-lor-belew) th ise-price-at-which-or
‘s P P iS € P

th hoavhich thy v. ty i: fate 7 bi d; fF settlement + d -}

New options may be listed for trading up to and including the termination of trading.
Exchange Staff, under delegated authority from [¥F]the Board may modify the provisions governing the
establishment of exercise prices as it deems appropriate.

2. Options Not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

[¥ demand-evidenced-in-th ti ti it_the Exch: hall-list put-and-call-opti +
P Pe “OpHons pit P P ry
jce-listed-for-tradine- in-th: + March- quarter} Jo-fute tion-thatd: +-thi irati fthe-epti
pF S i yey P’ Pi} pt
Ni ti be listed-for-tradi: to-and- inchidine the terminati £ tradi
Pt y SEP AE:

CHAPTER 356A: Options on S&P 500/ BARRA Value Index Futures
356A01.E. Exercise Prices
1, Options in the March Quarterly Cycle


Amendment to exercise price rules & clarification to 813
November 28, 2005
Page 6 of 20

Exchange Staff, under delegated authority from [F]the Board may modify the provisions governing the
establishment of exercise prices as it deems appropriate.

2. Options Not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

[8 a d-evid din-th +i tiens-pit_the Exch: hallist- put-and-call-epti +t
SPe Pe 14 PH, Bi P Pp yx
ice-listed for-tradine-inth +March-quarter! Je-fute tion-thatd +-th irati £the-epti
P i erg yy eyen P P P
Ni ti be listed fortradi to-and-includine the terminati ftrading-]
P y Sup B

CHAPTER 355A: Options on S&P 500/ BARRA Growth Index Futures
355A01.E. Exercise Prices

1. Options in the March Quarterly Cycle
The exercise prices shall be stated in terms of the S&P 500/BARRA Growth Index futures contract [whichis
deliverable-up £ the-eption In the third-and-fourth +-centract ths_in-the March-quarterly

Je_th i js hall int divisible» itheut ind 255,260,265, -ete_In-alLothe:

At the commencement of trading for each contract [tae—fourth. t Hach thinthe-Mareh-quarterly
eyele], the Exchange shall list all [eligible] exercise prices in a range of 20 index points above and below the
previous day's settlement price of the underlying futures contract that_are integers divisible by 5 without
remainder, e.g. 500, 505, 510, etc.

If any of the foregoing exercise prices are within 2 index points of the settlement price of the underlying futures
contract, then the Exchange shall list an additional exercise price at the unoccupied level above (or below) the

exercise Price that i is within 2 index points of the Previous day's settlement price. [If the-previeus-day's-settlement

ibh ice, thea-that ice-shall-be listed alse-]
P ¢ igi P P' 9
[Fhereafter, forthe third-and-fourth +-contract. ths-in-the- March -quarterly-eycle,-wh le—bid-off
4h t-price-in—th derhine—fat: tract " th: h ; jce—th
P YRS B P Bas PFHEE;
Exch: hall tist-on-th +-tradine-d; t-and-call-epti t-thi t-hicher- +4 ) ‘
B Bay Pt pt ‘ Pi
ithi 20-ind: iat bove-lorbelow)-th js i +t which-or-th: h-which-th derhyi:
‘pein Ag x P IRE
fut: Je-bid-off tt] +-pri 24]

When a contract month becomes the second-nearest contract month in the March quarterly cycle, the Exchange
shall add exercise prices at an interval that is a number divisible by 2.5_without remainder in a range of 15 index
points above and below the Previous day's settlement Price of the underlying futures contract. [Hf the previous

day's—sett} t Jigibh then—that hall-be-listed-alse—if-

y P' f ‘Pree; P 5
Thereafter, [and—fer-al-oth Fact ths;] when a [salebid,offerer] settlement price, in the underlying
futures contract occurs at, or passes through, any exercise price, the Exchange shall list all eligible exercise prices
in the corresponding ranges on the next trading day. [on-th ttrading-day_put-and_call_epti th t
higher-¢ tlower) ithin-a-15 dnd int beve-tor below) th i ice-at-which

€ } P' P ro et > Pi
throush which the und tying fut Je, bid, off ttlement-pri d:]
i PF

New options may be listed for trading up to and including the termination of trading.
Exchange Staff, under _delegated authority from [F]the Board may modify the provisions governing the
establishment of exercise prices as it deems appropriate.

2. Options Not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.



Amendment to exercise price rules & clarification to 813
November 28, 2005
Page 19 of 20

The exercise prices shall be stated in terms of the E-Mini Standard and Poor's 500 Stock Price Index futures
contract.

At the commencement of trading, the Exchange shall list all exercise prices that are integers divisible by 25
without remainder, e.g. 1200, 1225, 1250, etc, in a range of 250 index points above and below the previous day's
settlement price of the S&P 500 futures contract. Within a range of 150 index points above and below the
previous day's settlement price of the S&P 500 futures contract, exercise prices that are integers divisible by 10
without remainder shall be added. Within a range of 50 index points above and below the previous day's
settlement price of the S&P 500 futures contract, exercise prices that are integers divisible by 5 without remainder
shall be added.

Thereafter, when a daily settlement price in the underlying futures contract occurs at, or passes through, any
exercise price, the Exchange shall list, on the next trading day, all eligible exercise prices in the corresponding
ranges.

Exchange Staff, under delegated authority from the Board may modify the provisions governing the establishment
of exercise prices as it deems appropriate.

2. Options not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

CHAPTER 359A: Options on E-mini NASDAQ 100 Index® Futures

359A01.E. Exercise Prices

Applicable for contracts listed through December 2005

The exercise prices shall be stated in terms of the E-Mini Nasdaq 100 Index futures contract. The exercise prices
shall be integers divisible by 10 without remainder, e.g., 2000, 2010, 2020, etc.

At the commencement of trading, the Exchange shall list all exercise prices in a range of 100 index points above
and below the previous day's settlement price of the E-Mini Nasdaq 100 Index futures contract.

Thereafter, when a daily settlement price in the underlying futures contract occurs at, or passes through, any
exercise price, the Exchange shall list on the next trading day all eligible exercise prices in the corresponding
ranges.

Exchange Staff, under delegated authority from the Board may modify the provisions governing the establishment
of exercise prices as it deems appropriate.

Applicable for the January 2006 and subsequently listed contracts

1. Options in the March Quarterly Cycle

The exercise prices shall be stated in terms of the E-Mini Nasdaq 100 Index futures contract.

At the commencement of trading, the Exchange shall list all exercise prices that are integers divisible by 25
without remainder, e.g. 2000, 2025, 2050, etc, in a range of 100 index points above and below the previous day's
settlement price of the E-Mini Nasdaq 100 Index futures contract.

When a contract month becomes the nearest expiring contract month, the Exchange shall add exercise prices at an
interval that is an integer divisible by 5 without remainder in a range of 100 index points above and below the
previous day's settlement price of the underlying futures contract.

Thereafter, when a daily settlement price in the underlying futures contract occurs at, or passes through, any
exercise price, the Exchange shall list, on the next trading day, all eligible exercise prices in the corresponding
ranges.

Exchange Staff, under delegated authority from the Board may modify the provisions governing the establishment
of exercise prices as it deems appropriate.


Amendment to exercise price rules & clarification to 813
November 28, 2005
Page 9 of 20

previous day's settlement price of the underlying futures contract that are integers divisible by 5 without
remainder, e.g. 500, 505, 510, etc.

If any of the foregoing exercise prices are within 2 index points of the settlement price of the underlying futures
contract, then the Exchange shall list an additional exercise price at the unoccupied level above (or below) the

exercise price that i is within 2 index points of the Previous day's settlement price. [}£the-previeus-day's settlement

1 Hig then-that ice-shall-be tisted-alse-]

priee-eqt ‘Pree; pi

[Thereafter f the third and fourth +-centract ths-in-the March-quarterly-cyclewh le_bid_offk
settlement—price—in_th derhying—fut: tract " through i jce—the

fate Je-bid, off tt +r d:]
P

When a contract month becomes the second-nearest contract month in the March quarterly cycle, the Exchange
shall add exercise prices at an interval that is a number divisible by 2.5 without remainder in a range of 15 index

points above and below the previous day's settlement price of the underlying futures contract. wena

day's—settl " 1 Jicibl. then—that hall_be—Histed—al:
Price—eq S PREC; P

previously Histed.]
Thereafter, [and—fer-all-oth: tract ths;] when a [sale bidoffer,or] settlement price, in the underlying

futures contract occurs at, or passes through, any exercise Price, the Exchange shall list all eligible exercise prices

in the corresponding ranges on the next trading d day [i & g
va 4], ay ithi int be 4 beh thi 4 7 t—whieh-

P dex-pei
th: h-which the-underlying fut Je-bid_-off ttl tori d:]
8 y epi

New options may be listed for trading up to and including the termination of trading.
Exchange Staff, under_delegated authority from [F]the Board may modify the provisions governing the
establishment of exercise prices as it deems appropriate.

2. Options Not in the March Quarterly Cycle
Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the

exercise prices listed for the January contract shall be identical to those listed for the March contract.
[Upon-demand-evidencedinth 43 7 it, the Exch hall-list putand-eall-opti "

Pt P P iB Pt pt y

CHAPTER 357A: Options on NASDAQ 100 Index Futures
357A01.E. Exercise Prices
Applicable for contracts listed through December 2005.

1. Options in the March Quarterly Cycle
The exercise prices shall be stated in terms | of the NASDAQ 100 futures contract. [which is deliverable upon
ise-of- the-option—In-all tract: ; Pp hall-b Bi by

A referencing index shall be determined each quarter on the day prior to the expiration [day] of the March
Quarterly futures contract and [Fhe-referencing-index] shall equal the daily [previeus-day's] settlement price of
the nearest expiring [lead-menth] NASDAQ 100 Index futures contract[s]. The chosen referencing index will
then be used to determine the strike listing range for all listed contract months. [ealeulate-the-index-pointsforthe

e elew:] The index points are rounded to the

nearest integer,
At the commencement of trading for each contract month [the-fourth-nearest-centract-menth—in—the-March
quarterly-eyele], the Exchange shall list all [eligible] exercise prices in a range of 30 percent of the referencing


cme @

Chicago Mercantile Exchange
20 South Wacker Drive 312/930.1000 tel
Chicago, Ik 60606-7499 312/466.4410 fax

www.cme.com

November 28, 2005 *

Ms. Jean A. Webb

Office of the Secretariat

Commodity Futures Trading Commission
Three Lafayette Centre

1155 21st Street, NW

Washington, DC 20581

RE: Section Sc(c)(1), Part 40.6 — Amendments to the exercise price
tule language for all Equity index options contracts
and a clarification to rule 813. CME Submission# 05-129.

Dear Ms. Webb:

Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) hereby notifies the Commission of
an amendment to the exercise price rule language for the all Equity Index options contracts. In addition,
a clarification is included in rule 813 regarding settlements.

The Exchange certifies that these amendments complies with the Act and rules thereunder.

As the number of equity index options contracts has grown and various rule amendments have
been implemented, the exercise price rule language for each of the contracts has become convoluted and
difficult to decipher. Staff has therefore rewritten the rule language in an effort to make the strike listing
tules more comprehensible. Please note that none of the substance has changed.

In addition, there has been a technical amendment made to rule 813 which describes the
settlement procedures for the E-mini contracts. The rule has been expanded out to include the settlement
procedures for the S&P Midcap 400 Index and the Russell 2000 Index futures. This amendment follows
the rationalized exercise price rules for the equity options contracts. Additions have been underlined and
deletions have been bracketed and struck out.

If you require any additional information regarding this action, please do not hesitate to contact
Ms. Ariel Hantin, Senior Research Analyst at 312-559-4951 or via e-mail at ahantin@cme.com. Please
reference our CME Submission #05-129 on all future correspondence regarding this notification.


Amendment to exercise price rules & clarification to 813
November 28, 2005
Page 12 of 20

Thereafter, when a daily settlement price in the underlying futures contract occurs at, or passes through, any
exercise price, the Exchange shall list on the next trading day [put-and-call- eptiens-with] all eligible exercise
prices in the corresponding [abeve] ranges.

Exchange Staff, under delegated authority from [F]the Board may modify the provisions governing the
establishment of exercise prices as it deems appropriate.

Applicable for the January 2006 and subsequently listed contracts
L. Options in the March Quarterly Cycle

The exercise prices shall be stated in terms of the E-Mini Nasdaq 100 Index futures contract, [whiehis

e-g--2000,2625-2050,2075,<te7]

At the commencement of trading, [option q a-centracts] the Exchange shall list
all [eligible] exercise prices that are integers divisible by 25 without remainder, e.g. 2000, 2025, 2050, etc, ina
range of 100 index points above and below the previous day's settlement price of the E-Mini Nasdaq 100 Index
futures contract.

When a contract month becomes the nearest expiring contract month, the Exchange shall add exercise prices at an
interval that is an integer divisible by 5 without remainder in a range of 100 index points above and below the

Previous day's s settlement price of the underlying futures contract. Dfthe previous day's settlement price equals-an

then-that ice-shall-be-listed-alse if: 1y-listed.]
7 a Pi y

Thereafter, when a daily settlement price in the underlying futures contract occurs at, or passes through, any
exercise price, the Exchange shall list, on the next trading day, [putand-eall-eptions-with] all eligible exercise
prices in the corresponding [abeve] ranges.

Exchange Staff, under delegated authority from [F]the Board may modify the provisions governing the
establishment of exercise prices as it deems appropriate.

2. Options not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

CHAPTER 361A: Options on E-Mini Russell 2000 Futures
361A01.E. Exercise Prices

1. Options in the March Quarterly cycle
The ex exercise prices shall be stated in terms of the E- Mini Russell 2000 Stock Price Index futures contract [which
bh iP £ thy ptien- The P i hall-beint ei dixvisibh byt ithout 5

eesoe S19 220 ec

A referencing index shall be determined each quarter on the day prior to the expiration [day] of the March
quarterly futures contract and [Fhe-+eferencing index] shall equal the daily [previeus-day“s] settlement price of the -
nearest expiring [Jead-menth] E-Mini Russell 2000 Index futures contract. The chosen referencing index will then
be used to determine the strike listing range for all listed contract months. [ealeulate the index-peints-for-the 30%

d15% fe tract th-epth specified belew-.] The index points are rounded down to the
nearest integer.
At the commencement of trading for each contract month [¢ d t_-contract months in the March

quarterly-eyele], the Exchange shall list all [eligible] exercise prices that are integers divisible by 10 without
remainder, e.g. 600, 610, 620, etc, in a range of 30% of the referencing index above and below the previous day’s
settlement price of the underlying futures contract.

The Exchange shall also add [;4fthey-have-net-already-been-isted,] exercise prices [atanintervalthatis-a
number] that are integers divisible by 5 without remainder within in the range of 15% above and below the
previous day’s settlement price of the underlying futures contract. Jn addition, t[F]he Exchange shall add exercise



Amendment to exercise price rules & clarification to 813
November 28, 2005
Page 11 of 20

and below | the previous day': s settlement price of the underlying futures contract. [Ifthe-previeus-day's-settlement

Jigibh then-that hall-be-tisted-alse-ifnot iously-tisted.]
priee-eqi g i g PF

Thercaher when a settlement price in the underlying futures contract occurs at, or passes through, any exercise
price, the Exchange shall add, on the next trading day, all eligible exercise prices in the corresponding range.
New options may be listed for trading up to an including the termination of trading.

Exchange Staff, under delegated authority from [F]the Board may modify the provisions governing the
establishment of exercise prices as it deems appropriate.

2. Options not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

CHAPTER 358A: Options on E-mini Standard and Poor's 500 Stock Price Index Futures
358A01.E. Exercise Prices

1. Options in the March Quarterly Cycle

The exercise prices shall be stated in terms of the E-Mini Standard and Poor's 500 Stock Price Index futures

contract [which is-deli ble-upe: ise-of the-option—Th pri hall-be-integers-divisible-by2
ithout der,e-¢-,1000,1025, 1050, et6-]

At the commencement of trading, [fer-2-Mini S&P-500-opti tracts] the Exchange shall list all [eligible]

exercise prices that are integers divisible by 25 without remainder, e.g. 1200, 1225, 1250, etc, in a range of 250
index points above and below the previous day's settlement price of the S&P 500 futures contract. Within a range
of 150 index points above and below the previous day's settlement price of the S&P 500 futures contract, exercise
prices that are integers divisible by 10 without remainder shall be added. [;#fthey-h LalreadybeenHsted: |
Within a range of 50 index points above and below the previous day's settlement price of the S&P 500 futures
contract, exercise prices that are integers divisible by 5 without remainder shall be added. [;4f+they-have-net
already-been-lsted:]

Thereafter, when a daily settlement price in the underlying futures contract occurs at, or passes through, any
exercise price, the Exchange shall list, on the next trading day, [put-and-call-eptiens—vith] all eligible exercise
prices in the corresponding [abeve] ranges.

Exchange Staff, under delegated authority from [F]the Board may modify the provisions governing the
establishment of exercise prices as it deems appropriate.

2. Options not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

CHAPTER 359A: Options on E-mini NASDAQ 100 Index® Futures

359A01.E. Exercise Prices

Applicable for contracts listed through December 2005

The exercise prices shall be stated in terms of the E~Mini Nasdaq 100 Index futures contract, [whiehis

deliverable-upt ise-ofthe-eption-] The exercise prices shall be integers divisible by 10 without remainder,
e.g., 2000, 2010, 2020, [2039}, etc.
At the commencement of trading, [eptiontrading for B-Mini Nasdaq400-epti tracts] the Exchange shall list

all [eligible] exercise prices in a range of 100 index points above and below the previous day's settlement price of
the E—Mini Nasdaq 100 Index futures contract.


Amendment to exercise price rules & clarification to 813

November 28, 2005
Page 8 of 20
The exercise prices shall be stated in terms of the S&P 500/BARRA Value Index futures contract [whiehis
deliverable-up ise-of the-option —In-the third-and-fourth st-contract ths-int

e—th: i: i hall tate divisible-by—S-witheut ind 255 ~260-265—et 4; Hoth
yete; P ry 7:85 255; 260; 265; ete;

tract- months th: i ices shall ber- divisible» 255.2 260,-ete-]

p > by 2:5-0:8,255,257:5; ete:

At the commencement of trading for each contract_[the—-feurth- + tract thinthe Marek Ferly

eyele], the Exchange shall list all [eligible] exercise prices in a range of 20 index points above and below the
previous day's settlement price of the underlying futures contract that_are integers divisible by 5 without
remainder, e.g. 500, 505, 510, etc.

If any of the foregoing exercise prices are within 2 index points of the settlement price of the underlying futures
contract, then the Exchange shall list an additional exercise price at the unoccupied level above (or below) the
exercise Price that j is) within 2 index Points of the Previous day's settlement price. [Jf the-previous-day's-settlement

that ice-shall-be-tisted -alse-]
P ‘¢ price;+ P'

[Fhereafter, for the third-and fourth +-eentract ths-in-the-Mareh-quarter! Je—wh le—bid-o ff

pot range et ¥} P } YAS
fate le, bid, offer 44] tori d:]

When a contract month becomes the second-nearest contract month in the March quarterly cycle, the Exchange
shall add exercise prices at an interval that is a number divisible by 2.5 without remainder in a range of 15 index
points above and below the previous day's settlement price of the underlying futures contract. [ie the previous

day's-settlement- quals. ligib| pricethen—that 2 hall-_be—listed_alse J£
proviously- listed]

Thereafter, [and—feralloth tract ths;] when a [salebid,-efferor] settlement price, in the underlying
futures contract occurs at, or passes through, any exercise price, the Exchange shall list all eligible exercise prices
in the corresponding ranges on the next trading day [or th trading day put and call opti Hh thigh

+4 ) thi 15-ind: +t by Lor-_below)-th i i t which

New options may be listed for trading u up to and including the termination of trading.
Exchange Staff. under_delegated authority from [F]the Board may modify the provisions governing the
establishment of exercise prices as it deems appropriate.

2. Options Not in the March Quarterly Cycle
Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the

exercise prices listed for the January contract shall be. identical to 0 tho a listed for the March contract.

CHAPTER 356C: Options on S&P 500/ CITIGROUP Value Index Futures
356C01.E. Exercise Prices

1. Options in the March Quarterly Cycle

The exercise prices shall be stated in terms of the S&P 500/CITIGROUP Value Index futures contract [whichis
liverable-up £ the-option—In-the third-and fourth +-contract-months-in-the March-quarterly
Je_th ji ices-shall- be-an- integer divisible b itheut ind 255,260,265,0te—I -all-oth

Yeres Pi B y Tob

a SOBs : =]
At the commencement of trading Tor each contract [the-fourth t tract th-in-the-March_quarterly
eyele]}, the Exchange shall list all [eligible] exercise prices in a range of 20 index points above and below the



Amendment to exercise price rules & clarification to 813
November 28, 2005
Page 4 of 20

Exchange Staff, under delegated authority from [F]the Board may modify the provisions governing the
establishment of exercise prices as it deems appropriate.

CHAPTER 352A: Options on Nikkei Stock Average Futures

352A01.E. Exercise Prices

1. Options in the March Quarterly Cycle

The exercise prices shall be stated in terms of the Nikkei Stock Average futures contract which is deliverable
upon exercise of the option and shall be an integer divisible by 500 without remainder, e.g., 20000, 20500, 21000,
ete.

At the commencement of trading in a contract month, the Exchange shall list put and call options, with exercise
prices at each of the next six levels above the previous day's settlement of the futures contract deliverable upon
exercise of the option (the underlying futures contract) and put and call options with exercise prices at each of the
next six levels below that settlement price. If any of the foregoing exercise prices are within 100 index points of
the settlement price of the underlying futures contract, then the Exchange shall list a thirteenth exercise price at
the unoccupied level closest to the exercise price within 100 index points of the settlement.

When a sale, bid, or offer in the underlying futures contract occurs at, or passes through, the sixth highest (or sixth
lowest) listed exercise price, put and call option contracts at the next higher (or lower) exercise price shall
commence trading on the next trading day. New options may be listed for trading up to and including the
termination of trading.

Exchange Staff, under delegated authority from [F]the Board may modify the provisions governing the
establishment of exercise prices as it deems appropriate.

2. Options Not in the March Quarterly Cycle
Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise

prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

[Upen-d devidi dinth i ti it the Exeh hall-list put-and-call opti "
P P P B FP 4 ry
iee-listed_for-tradine in-th + March quarter! e-fuat: tien -thaté +-th irati £the-epti
Pi Ss ‘ ry ey P P Pt
N ti be-tisted-for tradi: te-and includine the-terminati £ tradi:
P y pte Ss

CHAPTER 353A: Options on Standard and Poor's Midcap 400 Stock Price IndexTM Futures
353A01.E. Exercise Prices
1. Options in the March Quarterly Cycle

The exercise prices shall be stated in terms of the Standard and Poor's MidCap 400 Stock Price Index futures
contract, [whieh-i deliverable-upo ise-of-the-option—In-all-contract ths-in-the- Mareh-quarterly le;
th pri hall int divisible-by ithout der-e-2-H0,115,126, ete.]
A referencing index shall be determined each “quarter on the day prior to the expiration [day] of the March
Quarterly futures_contract and [Fhe-+eferencing-index] shall equal the daily [previews-day's] settlement price of
the nearest expiring [lead+nenth] S&P['s] MidCap 400 futures contract. The chosen referencing index will then
be used to, determine the strike listing range for all listed contract months. [ealeulate-the index-peintsferthe 10%
oa teact th-optt specified-belew.] The index points are rounded down to the nearest
integer.
At the commencement of trading for each contract_month [the-feurth-nearest-centract-monthin—the-March
quarterly-eyele], the Exchange shall list all [eligible] exercise prices in a range of 10 percent of the referencing
index above and below the previous day's settlement price of the underlying futures contract that are integers
divisible by 5 without remainder, eg. 600, 605, 610, etc.

th v) fate tract " thi h i ice,_the-Exchai hall-add-all

Ligibl j i +h +trading-day-]
iS cay


Amendment to exercise price rules & clarification to 813
November 28, 2005
Page 15 of 20

contract. The chosen referencing index will then be used to determine the strike listing range for all listed
contract months. The index points are rounded down to the nearest integer.

At the commencement of trading for each contract month, the Exchange shall list all exercise prices in a range of
10 percent of the referencing index above and below the previous day's settlement price of the underlying futures
contract that are integers divisible by 5 without remainder, eg. 600, 605, 610, etc.

When a contract month becomes the second-nearest contract month in the March quarterly cycle, the Exchange
shall add exercise prices at an interval that is a number divisible by 2.5 without remainder in a range of 15 index
points above and below the previous day's settlement price of the underlying futures contract.

Thereafter, when a settlement price in the underlying futures contract occurs at, or passes through, any exercise
price, the Exchange shall list, on the next trading day, all eligible exercise prices in the corresponding ranges.
New options may be listed for trading up to and including the termination of trading.

Exchange Staff, under delegated authority from the Board may modify the provisions governing the establishment
of exercise prices as it deems appropriate.

2. Options Not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

CHAPTER 354A: Options on Russell 2000 Stock Price IndexTM Futures

354A01.E. Exercise Prices

1. Options in the March Quarterly Cycle

The exercise prices shall be stated in terms of the Russell 2000 Stock Price Index futures contract.

A referencing index shall be determined each quarter on the day prior to the expiration of the March Quarterly
futures contract and shall equal the daily settlement price of the nearest expiring Russell 2000 Index futures
contract. The chosen referencing index will then be used to determine the strike listing range for all listed
contract months. The index points are rounded down to the nearest integer.

At the commencement of trading for each contract month, the Exchange shall list all eligible prices in a range of
10 percent of the referencing index above and below the previous day's settlement price of the underlying futures
contract that are integers divisible by 5 without remainder, e.g. 600, 605, 610, etc.

When a contract month becomes the second-nearest contract month in the March quarterly cycle, the Exchange
shall add exercise prices at an interval that is a number divisible by 2.5 without remainder in a range of 15 index
points above and below the previous day's settlement price of the underlying futures contract.

Thereafter, when a settlement price, in the underlying futures contract occurs at, or passes through, any exercise
price, the Exchange shall list, on the next trading day, all eligible exercise prices in the corresponding ranges.
New options may be listed for trading up to and including the termination of trading.

Exchange Staff, under delegated authority from the Board may modify the provisions governing the establishment
of exercise prices as it deems appropriate.

2. Options Not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

CHAPTER 355A: Options on S&P 500/ BARRA Growth Index Futures

355A01.E. Exercise Prices

1. Options in the March Quarterly Cycle

The exercise prices shall be stated in terms of the S&P 500/BARRA Growth Index futures contract.



Amendment to exercise price rules & clarification to 813
November 28, 2005
Page 17 of 20

At the commencement of trading for each contract, the Exchange shall list all exercise prices in a range of 20
index points above and below the previous day's settlement price of the underlying futures contract that are
integers divisible by 5 without remainder, e.g. 500, 505, 510, etc.

If any of the foregoing exercise prices are within 2 index points of the settlement price of the underlying futures
contract, then the Exchange shall list an additional exercise price at the unoccupied level above (or below) the
exercise price that is within 2 index points of the previous day's settlement price.

When a contract month becomes the second-nearest contract month in the March quarterly cycle, the Exchange
shall add exercise prices at an interval that is a number divisible by 2.5 without remainder in a range of 15 index
points above and below the previous day's settlement price of the underlying futures contract.

Thereafter, when a settlement price, in the underlying futures contract occurs at, or passes through, any exercise
price, the Exchange shall list all eligible exercise prices in the corresponding ranges on the next trading day.

New options may be listed for trading up to and including the termination of trading.

Exchange Staff, under delegated authority from the Board may modify the provisions governing the establishment
of exercise prices as it deems appropriate.

2. Options Not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

CHAPTER 356C: Options on S&P 500/ CITIGROUP Value Index Futures

356CO1.E. Exercise Prices

1. Options in the March Quarterly Cycle

The exercise prices shall be stated in terms of the S&P 500/CITIGROUP Value Index futures contract.

At the commencement of trading for each contract, the Exchange shall list all exercise prices in a range of 20
index points above and below the previous day's settlement price of the underlying futures contract that are
integers divisible by 5 without remainder, e.g. 500, 505, 510, etc.

If any of the foregoing exercise prices are within 2 index points of the settlement price of the underlying futures
contract, then the Exchange shall list an additional exercise price at the unoccupied level above (or below) the
exercise price that is within 2 index points of the previous day's settlement price.

When a contract month becomes the second-nearest contract month in the March quarterly cycle, the Exchange
shall add exercise prices at an interval that is a number divisible by 2.5 without remainder in a range of 15 index
points above and below the previous day's settlement price of the underlying futures contract.

Thereafter, when a settlement price, in the underlying futures contract occurs at, or passes through, any exercise
price, the Exchange shall list all eligible exercise prices in the corresponding ranges on the next trading day.

New options may be listed for trading up to and including the termination of trading.

Exchange Staff, under delegated authority from the Board may modify the provisions governing the establishment
of exercise prices as it deems appropriate.

2. Options Not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

CHAPTER 357A: Options on NASDAQ 100 Index Futures

3STAOLE. Exercise Prices

Applicable for contracts listed through December 2005

1. Options in the March Quarterly Cycle

The exercise prices shall be stated in terms of the NASDAQ 100 futures contract.


Amendment to exercise price rules & clarification to 813
November 28, 2005
Page 3 of 20

Text of Rule Amendments
(Additions are underlined, deletions are bracketed and overstruck.)

Chapter 351A: Options on Standard and Poor's 500 Stock Price IndexTM Futures
351A01.E. Exercise Prices

1. Options in the March Quarterly Cycle
The exercise prices shall be stated in terms of the Standard | and Poor's 500 Stock Price Index futures contract.
[whichis deliverabl ise-of the-eption—Th P hall-b integer-divisible- by-25-without

1025, 1050,1075, ete:]
oe 7

di
A referencing index shall be determined each quarter on the day prior to [ea] the expiration [day] of the March
Quarterly futures, contrac and [Fhe-referencing index] shall equal the_daily settlement price of the nearest

expiring [p: days sett t-_price-of the lead #2] Standard and Poor's 500 Stock Price Index futures
contract. The chosen referencing index will then be used to_determine the strike listing range for all listed
contract months, [ealeulate the index points for the 50%, 20%, and 40% ranges f tract month-opti
as-specified-below.] The index points are rounded down to the nearest integer.

At the commencement of trading for each contract month [the-feurth- t tract thinthe-Mareh

quarterly-eyele], the Exchange shall list all [eligible] exercise prices in a range of 50 percent of the referencing
index above and below the previous day's settlement price of the underlying futures contract that _are integers
divisible by 25 without remainder, e.g. 1200, 1225, 1250,etc.

Exercise prices that are integers divisible by 10 without remainder shall be added, if they have not already been
listed, within a range of 20 percent of the referencing index above and below the previous day's settlement price
of the underlying futures contract.

[Fhereaft hy th t in-th derhyine-futr tract + th: m"
p YRS FOF Pi Bah any
the Exch: hall-add-allelicibl i jees-in-th di th ttrading-day-]
5 Bi is P

Pr" oS o ‘S a
When a contract month becomes the second-nearest contract month in the March quarterly cycle, the Exchange
shall add exercise prices at an interval that is an integer divisible by 5 without remainder in a range of 10 percent

of the referencing index above and below the Previous day's | settlement price of the underlying futures contract.
[H4the-p: 4: ys eral + a ibh th that i hall-be-listed-ak

P ¢ igi P Pi 5
i£not previously listed:]

Thereafter, when a settlement price in the underlying futures contract occurs at, or passes through, any exercise
price, the Exchange shall add on the next trading day, all eligible exercise prices in the corresponding ranges.
New options may be listed for trading up to and including the termination of trading.

2. Options Not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

[E i for-options_net-in_the-Mareh_quarter: Je-shall-be-independent-of th jees-that
Pi P yey ise-pi
Histed-forth + March-quartery opti
yp’ F
At-th tof tradine ti t-in- the March quarter}: 1, i i hall-be listed :
Ss P i y-Cy ere; i
£50. tefthe ref ine-index-ab nd-below-th jous-day's-setth +-price of the-under}yi
B P Se P ry PA yas
fut vatract—E: i js hall-be-int divisible-by-25—without indi Withi £29
tof the ref b d-below-th: jous-day's-settl +-price-for_the-underlyine fate
pe Pi YY P BE
tract—10-peint H i hall-be-isted—if they-hi tb Jready-listed Additional 5-peint-
rhs P 5 x ry P
hall-alse-be-listed-i £40. t-ef the ref ine-index-abi nd-_below-th i day"
Pi £3 pe iS P y

4] t-price-for the -underlyine fut: tract.



Amendment to exercise price rules & clarification to 813
November 28, 2005
Page 2 of 20

Sincerely,

John W. Labuszewski, Director
Research & Product Development

ce: Mr. Thomas M. Leahy and Mr. Steven B. Benton
CFTC Division of Market Oversight, Product Review & Analysis Section


Amendment to exercise price rules & clarification to 813
November 28, 2005
Page 13 of 20

prices that are integers [at an-interval-thatis-e-number] divisible by 2.5 in a range of 15 index points above and
below the previous day’s settlement price of the underlying futures contract. [ifthe previous days settlement

1 Lisibl jice—then-that halLalse-be-listed, if net Jylisted.]
Oe) 5 ep P' ¥

Thereafter, [for-all- contract: months,] when a daily settlement price in the underlying futures contract occurs at, or
passes through, any exercise price, the Exchange shall list, on the next trading day, [put-and-eall-eptiens-with] all
eligible exercise prices in the corresponding [abeve] ranges.

Exchange Staff, under delegated authority from [F]the Board may modify the Provisions governing the

establishment of exercise prices as it deems appropriate. [1 bject-to-the-pr tion Safa}U2)(A} ofth
fa dity- Exehange-Act and CETC-regulations-th der]

2. Options Not in the March Quarterly cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to [dependent
uper] the exercise prices that are listed for the [nearest] March quarterly options on the same underlying futures
contract. For example, the exercise prices listed for the January contract shall be identical to those listed for the
March contract.

813. SETTLEMENT PRICE
The settlement price shall be a price consistent with the minimum fluctuations of the commodity. Settlement
prices will be determined at the close of Regular Trading Hours.

Rules A. — E. remain unchanged

F.__ Settlement prices for the Standard and Poor’s Midcap 400 Stock Price Index futures and the Russell 2000
Stock Price Index futures contract months shall equal the settlement prices for the corresponding contract months
of the E-Mini Standard and Poor’s Midcap 400 Stock Price Index futures and the E-Mini Russell 2000 Stock
Price Index futures

G.[F] For products cleared by the Clearing House on behalf of another exchange, market or Marketplace other
than the Exchange, the settlement price shall be determined according to the rules of such entity. In the case of
inaccuracy or unavailability of a settlement price from the exchange, market or Marketplace, or if such settlement
price would create risk management concerns for the Clearing House, the Clearing House reserves the right to
calculate settlement variation using an alternate price determined by the Clearing House

Clean Copy of Rule Amendments
Chapter 351A: Options on Standard and Poor's 500 Stock Price IndexTM Futures

351A01.E. Exercise Prices

1. Options in the March Quarterly Cycle

The exercise prices shall be stated in terms of the Standard and Poor's 500 Stock Price Index futures contract.

A referencing index shall be determined each quarter on the day prior to the expiration of the March Quarterly
futures contract and shall equal the daily settlement price of the nearest expiring Standard and Poor's 500 Stock
Price Index futures contract. The chosen referencing index will then be used to determine the strike listing range
for all listed contract months. The index points are rounded down to the nearest integer.

At the commencement of trading for each contract month, the Exchange shall list all exercise prices in a range of
50 percent of the referencing index above and below the previous day's settlement price of the underlying futures
contract that are integers divisible by 25 without remainder, e.g. 1200, 1225, 1250, etc.


Amendment to exercise price rules & clarification to 813
November 28, 2005
Page 16 of 20

At the commencement of trading for each contract, the Exchange shall list all exercise prices in a range of 20
index points above and below the previous day's settlement price of the underlying futures contract that are
integers divisible by 5 without remainder, e.g. 500, 505, 510, ete.

If any of the foregoing exercise prices are within 2 index points of the settlement price of the underlying futures
contract, then the Exchange shall list an additional exercise price at the unoccupied level above (or below) the
exercise price that is within 2 index points of the previous day's settlement price

When a contract month becomes the second-nearest contract month in the March quarterly cycle, the Exchange
shall add exercise prices at an interval that is a number divisible by 2.5 without remainder in a range of 15 index
points above and below the previous day's settlement price of the underlying futures contract.

Thereafter, when a settlement price, in the underlying futures contract occurs at, or passes through, any exercise
price, the Exchange shall list all eligible exercise prices in the corresponding ranges on the next trading day.

New options may be listed for trading up to and including the termination of trading.

Exchange Staff, under delegated authority from the Board may modify the provisions governing the establishment
of exercise prices as it deems appropriate.

2. Options Not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

CHAPTER 355C: Options on S&P 500/ CITIGROUP Growth Index Futures

355C01.E. Exercise Prices

1. Options in the March Quarterly Cycle

The exercise prices shall be stated in terms of the S&P 500/CITIGROUP Growth Index futures contract.

At the commencement of trading for each contract, the Exchange shall list all exercise prices in a range of 20
index points above and below the previous day's settlement price of the underlying futures contract that are
integers divisible by 5 without remainder, e.g. 500, 505, 510, etc.

If any of the foregoing exercise prices are within 2 index points of the settlement price of the underlying futures
contract, then the Exchange shall list an additional exercise price at the unoccupied level above (or below) the
exercise price that is within 2 index points of the previous day's settlement price.

When a contract month becomes the second-nearest contract month in the March quarterly cycle, the Exchange
shall add exercise prices at an interval that is a number divisible by 2.5 without remainder in a range of 15 index
points above and below the previous day's settlement price of the underlying futures contract

Thereafter, when a settlement price, in the underlying futures contract occurs at, or passes through, any exercise
price, the Exchange shall list all eligible exercise prices in the corresponding ranges on the next trading day.

New options may be listed for trading up to and including the termination of trading.

Exchange Staff, under delegated authority. from the Board may modify the provisions governing the establishment
of exercise prices as it deems appropriate.

2. Options Not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the exercise
prices that are listed for the March quarterly options on the same underlying futures contract. For example, the
exercise prices listed for the January contract shall be identical to those listed for the March contract.

CHAPTER 356A: Options on S&P 500/ BARRA Value Index Futures

356A01.E. Exercise Prices

1. Options in the March Quarterly Cycle

The exercise prices shall be stated in terms of the S&P 500/BARRA Value Index futures contract.