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351A01.

OPTION CHARACTERISTICS

351A01.A. Contract Months, Trading Hours, and Trading Halts

Options contracts shall be listed for such contract months and scheduled for trading during such
hours, except as indicated below, as may be determined by the Board of Directors.

There shall be no trading in any option contract when the S&P 500 Stock Price Index primary futures
contract is limit bid or offered at any price limit except at the total daily price limit on an option's last
day of trading.

There shall be no trading in any option contract during a period when trading in the primary futures
contract is terminated pursuant to Rule 35102.1.

For purposes of this rule, the primary futures contract shall be defined as the futures contract trading
in the lead month configuration in the pit.

For purposes of this rule, Exchange staff shall have the responsibility of determining whether the
primary futures contract is trading at its limit during Regular Trading Hours (RTH). During
Electronic Trading Hours (ETH), the determination shall be made by the GLOBEX Control Center .

351A01.B. Trading Unit

The trading unit shall be an option to buy, in the case of the call, or to sell, in the case of the put, one
Standard and Poor's 500 Stock Price Index futures contract as specified in Chapter 351.

351A01.C. Minimum Fluctuations

The price of an option shall be quoted in index points. Each .01] index point shall represent $2.5. The
minimum fluctuation shall be .10 index points ($25.00, also known as one tick). Trades may also
occur at a price of .05 index points ($12.50, also known as one-half tick), whether or not such trades
result in the liquidation of positions for both parties to the trade. A trade with a price equal to or less
than 3.00 index points may also occur at a price in multiples of .05 index points, e.g. 15 index points
($37.50, also known as one and one-half ticks), and I.95 index points ($487.50 also known as
nineteen and one-half ticks).

351A01.D. Underlying Futures Contract
1. Options in the March Quarterly Cycle

For options that expire in the March quarterly cycle (i.e., March, June, September, and December),
the underlying futures contract is the futures contract for the month in which the option expires. For
example, the underlying futures contract for an option that expires in March is the March futures
contract.

2. Options Not in the March Quarterly Cycle

For options that expire in months other than those in the March quarterly cycle (i.e., January,
February, April, May, July, August, October, and November), the underlying futures contract is the
next futures contract in the March quarterly cycle that is nearest the expiration of the option. For


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Clean Copy of Rule Amendments
CHAPTER 358A
Options on E-mini Standard and Poor’s 500 Stock Price Index Futures
358A00. SCOPE OF CHAPTER

358A01.

This chapter is limited in application to trading in put and call options on the E-Mini Standard and
Poor’s 500 Stock Price Index futures contract (“E-Mini S&P options”). The procedures for trading,
clearing, inspection, delivery and settlement and any other matters not specifically covered herein
shall be governed by the rules of the Exchange.

OPTION CHARACTERISTICS

358A01.A. Contract Months, Trading Hours, and Trading Halts

Options contracts shall be listed for such contract months and scheduled for trading during such
hours, except as indicated below, as may be determined by the Board of Directors.

There shall be no trading in any option contract when the E-Mini S&P 500 Stock Price Index primary
futures contract is limit bid or offered at any price limit except at the total daily price limit on an
option’s last day of trading.

There shall be no trading in any option contract during a period when trading in the primary futures
contract is terminated pursuant to Rule 35802.1.

For purposes of this rule, the primary E-Mini futures contract shall be defined as the nearest E-Mini
S&P 500 futures contract month.

For purposes of this rule, Exchange staff shall have the responsibility of determining whether the
primary E-Mini futures contract is trading at its limit during Regular Trading Hours (RTH). During
Electronic Trading Hours (ETH), the determination shall be made by the GLOBEX® Control Center .
358A01.B. Trading Unit

The trading unit shall be an option to buy, in the case of the call, or to sell, in the case of the put, one
E-Mini Standard and Poor’s 500 Stock Price Index futures contract as specified in Chapter 358.
358A01.C. Minimum Fluctuations

The price of an option shall be quoted in index points. Each .01 index point shall represent $0.50.

The minimum fluctuation shall be .25 index points (also known as one tick). Trades may also occur
at a price of .05 index points $2.50, whether or not such trades result in the liquidation of positions for
both parties to the trade. A trade with a price equal to or less than 3.00 index points may also occur at
a price in multiples of .05 index points, $2.50.

358A01.D. Underlying Futures Contract
1. Options in the March Quarterly Cycle


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351A03.

(The remain

An option is deemed in the money if the fixing price of the underlying futures contract lies strictly
above the exercise price in the case of a call, or lies strictly below the exercise price in the case of a
put. For example, if the fixing price were 1250.01 or higher, then 1250 Calls shall be exercised. If
the fixing price were 1250.00 or lower, then 1250 Calls shall be abandoned. Similarly, if the fixing
price were 1249.99 or lower, then 1250 Puts shall be exercised. If the fixing price were 1250.00 or
higher, then 1250 Puts shall be abandoned.

Options in the “End-of-Month” options series may not be exercise prior to the expiration of the
options. At the expiration, in-the-money options may not be abandoned and out-of-the-money
options may not be exercised.

351A02.B. Assignment

Exercise notices accepted by the Clearing House shall be assigned through a process of random
selection to clearing members with open short positions in the same series. A clearing member to
which an exercise notice is assigned shall be notified thereof as soon as practicable after such notice
is assigned by the Clearing House, but not later than 45 minutes prior to the opening of trading in the
underlying futures contract on the following business day.

The clearing member assigned an exercise notice shall be assigned a short position in the underlying
futures contract if a call was exercised or a long position if a put was exercised. The clearing member
representing the option buyer shall be assigned a long position in the underlying futures contract if a
call was exercised and a short position if a put was exercised.

All such futures positions shall be assigned at a price equal to the exercise price of the option and
shall be marked to market in accordance with Rule 814 on the trading day of acceptance by the
Clearing House of the exercise notice.

EMERGENCIES, ACTS OF GOD, ACTS OF GOVERNMENT

If exercise or assignment or any precondition or requirement of either is prevented by a strike, fire,
accident, act of government or act of God, the seller or buyer shall immediately notify the Exchange
President. If the President determines that emergency action may be necessary, he shall call a special
meeting of the Board of Directors and arrange for the presentation of evidence respecting the
emergency condition. If the Board determines that an emergency exists, it shall take such action as it
deems necessary under the circumstances and its decision shall be binding upon all parties to the
contract.

der of Chapter 351A remains unchanged)


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

3. Options in the “End-of-Month” Options Series

Exercise prices for options in the “End-of-Month” Options Series 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 “End-of-Month” option series shall be
identical to those listed for the March Quarterly options series.

358A01.F. Position Limits

No person shall own or control a combination of options and underlying futures contract that exceeds
20,000 S&P 500 Stock Price Index futures-equivalent contracts net on the same side of the market in

all contract months combined. For the purpose of this rule, each E-Mini S&P 500 futures-equivalent

contract shall be deemed equal to one-fifth (0.20) of an S&P 500 Stock Price Index futures-equivalent
contract.

For the purpose of this rule, the futures equivalent of an option contract is 1 times the previous
business day’s IOM risk factor for the option series. Also for purposes of this rule, a long call option,
a short put option, and a long underlying futures contract are on the same side of the market;
similarly, a short call option, a long put option, and a short underlying futures contract are on the
same side of the market.

358A01.G. Accumulation of Positions

For the purposes of this rule, the positions of all accounts directly or indirectly owned or controlled
by a person or persons, and the positions of all accounts of a person or persons acting pursuant to an
expressed or implied agreement or understanding, and the positions of all accounts in which a person
or persons have a proprietary or beneficial interest, shall be cumulated.

358A01.H. Exemptions

The foregoing position limits shall not apply to commercially appropriate risk reducing option
positions defined in accordance with Regulation 1.3(z)(1) of the CFTC and meeting the requirements
of Rule 543 and shall not apply to other option positions exempted pursuant to Rule 543.

358A01.1. Termination of Trading

1. Options in the March Quarterly Cycle

For options that expire in the March quarterly cycle, options trading shall terminate at the same date
and time as the underlying futures contract.

2. Options Not in the March Quarterly Cycle

For options that expire in months other than those in the March quarterly cycle, options trading shall
terminate on the third Friday of the contract month. If that day is not a scheduled Exchange business
day, options trading shall terminate on the first preceding business day. In the event that the
underlying futures market does not open on the scheduled expiration day, the option expiration shall
be extended to the next day on which the underlying futures market is open for trading.


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example, the underlying futures contract for options that expire in January or February is the March
futures contract.

3. Options in the European style “End-of-Month” Option Series

For options in the European style “End-of-Month” options series, the underlying futures contract is
the next futures contract in the March quarterly cycle that is nearest the expiration of the option. For
example, the underlying futures contract for options in the January or February European style “End-
of-Month” option series is the March futures contract, while the underlying futures contract for
options in the March European Style “End-of-Month” option series is the June futures contract.

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.

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.

3. Options in the European Style “End-of-Month” Options Series


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351A02.

For options in the European style “End-of-Month” Options Series, trading shall terminate at 3:00p.m.
Chicago Time on the last business day of the contract month. In the event that the underlying futures
market does not open on the scheduled options expiration day, the option expiration shall be extended
to the next day on which the underlying futures market is open for trading.

351A01.J. Contract Modification

Specifications shall be fixed as of the first day of trading of a contract except that all options must
conform to government regulations in force at the time of exercise. If the U.S. government, an
agency, or duly constituted body thereof issues an order, ruling, directive, or law inconsistent with
these rules, such order, ruling directive, or law shall be construed to become part of these rules and all
open new options contracts shall be subject to such governmental orders.

EXERCISE

In addition to the applicable procedures and requirements of Chapter 7, the following shall apply to
the exercise of S&P options.

351A02.A. Exercise of Option by Buyer
351A02.A.1 Options Not in the Euorpean Style “End-of-Month” Series

An option may be exercised by the buyer on any business day that the option is traded. Exercise of an
option is accomplished by the clearing member representing the buyer presenting an exercise notice
to the Clearing House by 7:00 p.m. on the day of exercise.

An option in the March quarterly cycle that is in the money and has not been liquidated or exercised
prior to the termination of trading shall, in the absence of contrary instructions delivered to the
Clearing House by 7:00 p.m. on the business day following the termination of trading by the clearing
member representing the option buyer, be exercised automatically.

In-the-money options that expire in months other than those in the March quarterly cycle and have
not been liquidated or exercised prior to the termination of trading shall, in the absence of contrary
instructions delivered to the Clearing House by 7:00 p.m. on the day of the expiration by the clearing
member representing the option buyer, be exercised automatically.

Corrections to option exercises may be accepted by the Clearing House after the 7:00 p.m. deadline
and up to the beginning of final option expiration processing provided that such corrections are
necessary due to; (1) a bona fide clerical error, (2) an unreconciled Exchange option transaction(s), or
(3) an extraordinary circumstance where the clearing firm and customer are unable to communicate
final option exercise instructions prior to the deadline. The decision whether a correction is
acceptable will be made by the President of the Clearing House, or the President's designee, and such
decision will be final.

351A01.A.2 Options in the European Style “End-of-Month” Series

Following the termination of trading of an option, all in-the-money options shall be automatically
exercised by the Clearing House. All out-of-the-money options shall be abandoned by the Clearing
House on the day of expiration for the option. Whether an option is in or out of the money shall be
determined based on the fixing price of the CME E-mini S&P 500 stock index futures on the day of
expiration, determined pursuant to Rule 358.A02.A.2.



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Tierl Take the thirty (30) second average of sale prices of the underlying futures contract on
GLOBEX, weighted by volume, from 2:59:30 to 3:00:00 p.m. Chicago time.

Tier2 If no sales occurred during the thirty-second interval noted above, take the midpoint of each
bid and ask spread and average the resulting midpoints over the thirty-second interval.
However, when looking at each bid / ask spread, if it is wider than 2 ticks (0.50 index points),
the bid/ask pair shall be discarded in the calculation.

Tier3 If the fixing price cannot be determined by both Tiers 1 and 2, or there is a trading
interruption in the underlying futures market on GLOBEX at any point from 2:58:00 to
3:00:00 p.m. Chicago time due to system outage or trading stoppages, including stoppages
pursuant to Rule 580.3, take the thirty (30) second average of sale prices of the S&P 500
futures contract of the same contract month as the underlying futures contract, from 2:59:30
to 3:00:00 p.m. Chicago time.

Tier 4 If the fixing price cannot be determined pursuant to Tiers 1, 2 and 3, Exchange Staff shall
take into consideration any other information it deems appropriate to determine the fixing
price. This information may include, but is not limited to, the following, and procedures to
determine the information may be performed in any order by Exchange Staff: (1) derive the
fixing price based on basis relationship against the underlying cash index level; (2) repeat
Tier 1, 2, or 3 at ever increasing 30 second increment intervals until data is obtained.

The calculation of the fixing price shall be rounded to the nearest 0.01 index points.

An option is deemed in the money if the fixing price of the underlying futures contract lies strictly
above the exercise price in the case of a call, or lies strictly below the exercise price in the case of a
put. For example, if the fixing price were 1250.01 or higher, then 1250 Calls shall be exercised. If
the fixing price were 1250.00 or lower, then 1250 Calls shall be abandoned. Similarly, if the CME
currency fixing price were 1249.99 or lower, then 1250 Puts shall be exercised. If the fixing price
were 1250.00 or higher, then 1250 Puts shall be abandoned.

Options in the “End-of-Month” options series may not be exercise prior to the expiration of the
options. At the expiration, in-the-money options may not be abandoned and out-of-the-money
options may not be exercised.

358A02.B. Assignment

Exercise notices accepted by the Clearing House shall be assigned through a process of random
selection to clearing members with open short positions in the same series. A clearing member to
which an exercise notice is assigned shall be notified thereof as soon as practicable after such notice
is assigned by the Clearing House, but not later than 45 minutes prior to the opening of trading in the
underlying futures contract on the following business day.

The clearing member assigned an exercise notice shall be assigned a short position in the underlying
futures contract if a call was exercised or a long position if a put was exercised. The clearing member
representing the option buyer shall be assigned a long position in the underlying futures contract if a
call was exercised and a short position if a put was exercised.

All such futures positions shall be assigned at a price equal to the exercise price of the option and
shall be marked to market in accordance with Rule 814 on the trading day of acceptance by the
Clearing House of the exercise notice.



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For options that expire in the March quarterly cycle (i.e., March, June, September, and December),
the underlying futures contract is the futures contract for the month in which the option expires. For
example, the underlying futures contract for an option that expires in March is the March futures
contract.

2. Options Not in the March Quarterly Cycle

For options that expire in months other than those in the March quarterly cycle (i.e, January,
February, April, May, July, August, October, and November), the underlying futures contract is the
next futures contract in the March quarterly cycle that is nearest the expiration of the option. For
example, the underlying futures contract for options that expire in January or February is the March
futures contract.

3. Options in the European style “End-of-Month” Option Series

For options in the European style “End-of-Month” options series, the underlying futures contract is
the next futures contract in the March quarterly cycle that is nearest the expiration of the option. For
example, the underlying futures contract for options in the January or February European style “End-
of-Month” option series is the March futures contract, while the underlying futures contract_for
options in the March European Style “End-of-Month” option series is the June futures contract.

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.

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.


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options shall be abandoned by the Clearing House on the day of expiration for the option. Whether
an option is in or out of the money shall be determined based on the fixing price of the CME E-mini
S&P 500 stock index futures on the day of expiration as follows:

Tier] Take the thirty (30) second average of sale prices of the underlying futures contract _on
GLOBEX, weighted by volume. from 2:59:30 to 3:00:00 p.m. Chicago time.

Tier2 _ If no sales occurred during the thirty-second interval noted above, take the midpoint of each
bid_and_ask spread and average the resulting midpoints over the thirty-second interval.
However, when looking at each bid / ask spread, if it is wider than 2 ticks (0.50 index points),
the bid/ask pair shall be discarded in the calculation.

Tier3__If the fixing price cannot be determined by both Tiers 1 and 2, or there is a trading
interruption in the underlying futures market on GLOBEX at any point from 2:58:00 to
3:00:00 p.m. Chicago time due to system outage or trading stoppages, including stoppages
pursuant to Rule 580.3, take the thirty (30) second average of sale prices of the S&P 500
futures contract of the same contract month as the underlying futures contract, from 2:59:30

to 3:00:00 p. hicago time.

Tier 4 _If the fixing price cannot be determined pursuant to Tiers 1, 2 and 3, Exchange Staff shall
take into consideration any other information it deems appropriate to determine the fixing
price. This information may include, but is not limited to, the following, and procedures to
determine the information may be performed in any order by Exchange Staff: (1) derive the
fixing price based on basis relationship against the underlying cash index level; (2) repeat
Tier 1, 2, or 3 at ever increasing 30 second increment intervals until data is obtained.

The calculation of the fixing price shall be rounded to the nearest 0.01 index points.

An option is deemed in the money if the fixing price of the underlying futures contract lies strictly
above the exercise price in the case of a call, or lies strictly below the exercise price in the case of a
put. For example, if the fixing price were 1250.01 or higher, then 1250 Calls shall be exercised. If
the fixing price were 1250.00 or lower, then 1250 Calls shall be abandoned. Similarly, if the CME
currency fixing price were 1249.99 or lower, then 1250 Puts shall be exercised. If the fixing price
were 1250.00 or higher, then 1250 Puts shall be abandoned.

Options in the “End-of-Month” options series may not be exercise prior to the expiration of the
options. At the expiration, in-the-money options may not be abandoned and _out-of-the-money
options may not be exercised.

358A02.B. Assignment

Exercise notices accepted by the Clearing House shall be assigned through a process of random
selection to clearing members with open short positions in the same series. A clearing member to
which an exercise notice is assigned shal! be notified thereof as soon as practicable after such notice
is assigned by the Clearing House, but not later than 45 minutes prior to the opening of trading in the
underlying futures contract on the following business day.

The clearing member assigned an exercise notice shall be assigned a short position in the underlying
futures contract if a call was exercised or a long position if a put was exercised. The clearing member
representing the option buyer shall be assigned a long position in the underlying futures contract if a
call was exercised and a short position if a put was exercised.


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358A02.

3. Options in the “End-Of-Month” Options Series

For options in the “End-of-Month” Options Series, electronic trading on GLOBEX of the options
shall terminate at 3:00p.m. Chicago Time on the last business day of the contract month. In the event
that the underlying futures market does not open on the scheduled options expiration day, the option
expiration shall be extended to the next day on which the underlying futures market is open for

trading.

358A01.J. Contract Modification

Specifications shall be fixed as of the first day of trading of a contract except that all options must
conform to government regulations in force at the time of exercise. If the US government, an agency,
or duly constituted body thereof issues an order, ruling, directive, or law inconsistent with these rules,
such order, ruling directive, or law shall be construed to become part of these tules and all open new
options contracts shall be subject to such governmental orders.

EXERCISE

In addition to the applicable procedures and requirements of Chapter 7, the following shall apply to
the exercise of E-Mini S&P 500 options.

358A02.A. Exercise of Option by Buyer
358A02.A.1 Options Not in the “End-of-Month” Series

An option may be exercised by the buyer on any business day that the option is traded. Exercise of an
option is accomplished by the clearing member representing the buyer presenting an exercise notice
to the Clearing House by 7:00 p.m. on the day of exercise.

An option in the March quarterly cycle that is in the money and has not been liquidated or exercised
prior to the termination of trading shall, in the absence of contrary instructions delivered to the
Clearing House by 7:00 p.m. on the business day following the termination of trading by the clearing
member representing the option buyer, be exercised automatically.

In-the-money options that expire in months other than those in the March quarterly cycle and have
not been liquidated or exercised prior to the termination of trading shall, in the absence of contrary
instructions delivered to the Clearing House by 7:00 p.m. on the day of the expiration by the clearing
member representing the option buyer, be exercised automatically.

Corrections to option exercises may be accepted by the Clearing House after the 7:00 p.m. deadline
and up to the beginning of final option expiration processing provided that such corrections are
necessary due to; (1) a bona fide clerical error, (2) an unreconciled Exchange option transaction(s), or
(3) an extraordinary circumstance where the clearing firm and customer are unable to communicate
final option exercise instructions prior to the deadline. The decision whether a correction is
acceptable will be made by the President of the Clearing House, or the President’s designee, and such
decision will be final.

358A02.A.2 Options in the “End-of-Month” Series

Following the termination of trading of an option, all in-the-money options shall be automatically
exercised by the Clearing House_on the day of expiration for the option. All out-of-the-money



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358A03. EMERGENCIES, ACTS OF GOD, ACTS OF GOVERNMENT

If exercise or assignment or any precondition or requirement of either is prevented by a strike, fire,
accident, act of government or act of God, the seller or buyer shall immediately notify the Exchange
President. If the President determines that emergency action may be necessary, he shall call a special
meeting of the Board of Directors and arrange for the presentation of evidence respecting the
emergency condition. If the Board determines that an emergency exists, it shall take such action as it
deems necessary under the circumstances and its decision shall be binding upon all parties to the
contract.

INTERPRETATIONS AND SPECIAL NOTICES
RELATING TO CHAPTER 358A

Standard & Poor's, a division of the McGraw-Hill Companies, Inc. ("S&P"), licenses the Exchange to use various
S&P stock indices ("S&P Stock Indices") in connection with the trading of futures contracts and options on
futures contracts based upon such indices. S&P shall have no liability for damages, claims, losses or expenses
caused by any errors or delays in calculating or disseminating the S&P Stock Indices.

Standard & Poor's, a division of the McGraw-Hill Companies, Inc. ("S&P"), does not guarantee the accuracy
and/or completeness of the S&P Stock Indices or any data included therein. S&P makes no warranty, express or
implied, as to the results to be obtained by any person or any entity from the use of the S&P Stock Indices or any
data included therein in connection with the trading of futures contracts, options on futures contracts and any
other use. S&P makes no express or implied warranties, and expressly disclaims all warranties of merchantability
or fitness for a particular purpose or use with respect to the S&P Stock Indices or any data included therein.
Without limiting any of the foregoing, in no event shall S&P have any liability for any special, punitive, indirect
or consequential damages (including lost profits), even if notified of the possibility of such damages.

CLARIFICATION OF NEW NON-AGRICULTURAL OPTION SPECULATIVE
POSITION LIMIT RULE

(Special Executive Report S-1618, March 31, 1986)

Please note that the new non-agricultural option speculative position limit rule supersedes the speculative position
tule for the underlying futures contract. Therefore, for example, a trader may hold a gross futures position that
exceeds the futures position limit rule if that gross position is part of spread with options, such that the net
position across options and futures is less than the applicable limit set in the options rule.

CHAPTER 351A
Options on Standard and Poor's 500 Stock Price IndexTM Futures

351A00. SCOPE OF CHAPTER

This chapter is limited in application to trading in put and call options on the Standard and Poor's 500
Stock Price Index futures contract ("S&P options"). The procedures for trading, clearing, inspection,
delivery and settlement and any other matters not specifically covered herein shall be governed by the
tules of the Exchange.



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351A00.

351A01.

CHAPTER 351A
Options on Standard and Poor’s 500 Stock Price IndexTM Futures

SCOPE OF CHAPTER

This chapter is limited in application to trading in put and call options on the Standard and Poor’s 500
Stock Price Index futures contract (“S&P options”). The procedures for trading, clearing, inspection,
delivery and settlement and any other matters not specifically covered herein shall be governed by the
tules of the Exchange.

OPTION CHARACTERISTICS

351A01.A. Contract Months, Trading Hours, and Trading Halts

Options contracts shall be listed for such contract months and scheduled for trading during such
hours, except as indicated below, as may be determined by the Board of Directors.

There shall be no trading in any option contract when the S&P 500 Stock Price Index primary futures
contract is limit bid or offered at any price limit except at the total daily price limit on an option’s last
day of trading.

There shall be no trading in any option contract during a period when trading in the primary futures
contract is terminated pursuant to Rule 35102.1.

For purposes of this rule, the primary futures contract shall be defined as the futures contract trading
in the lead month configuration in the pit.

For purposes of this rule, Exchange staff shall have the responsibility of determining whether the
primary futures contract is trading at its limit during Regular Trading Hours (RTH). During
Electronic Trading Hours (ETH), the determination shall be made by the GLOBEX Control Center .

351A01.B. Trading Unit

The trading unit shall be an option to buy, in the case of the call, or to sell, in the case of the put, one
Standard and Poor’s 500 Stock Price Index futures contract as specified in Chapter 351.

351A01.C. Minimum Fluctuations

The price of an option shall be quoted in index points. Each .01 index point [G—basis-peint)] shall
represent $2.5. The minimum fluctuation shall be .10 index points ($25.00, also known as one tick).
Trades may also occur at a price of .05 index points ($12.50, also known as one-half tick), whether or
not such trades result in the liquidation of positions for both parties to the trade. A trade with a price
equal to or less than 3.00 index points may also occur at a price in multiples of .05 index points, e.g.
15 index points ($37.50, also known as one and one-half ticks), and 1.95 index points ($487.50 also
known as nineteen and one-half ticks).

351A01.D. Underlying Futures Contract
1. Options in the March Quarterly Cycle



cme @

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

www.cme.com,

May 9, 2006

Ms. Jean A. Webb

Office of the Secretariat i . ws
Commodity Futures Trading Commission a od
Three Lafayette Centre 5 a

1155 21st Street, NW
Washington, DC 20581

RE: Section 5c(c)(1), Part 40.6 - Amendment to the options on
S&P 500 and the E-Mini S&P 500 futures contracts.
CME Submission# 06-45.

Dear Ms. Webb:

Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) hereby notifies the Commission of
additional options listings on the S&P 500 and the E-Mini S&P 500 futures contracts.

The Exchange certifies that this amendment complies with the Act and rules thereunder.

On May 21, 2006, the Exchange will list an additional options series (“End of Month options” or
“EOM options”) on the S&P 500 and the E-Mini S&P 500 futures contracts. EOM options will expire
on the last business day of the month. The underlying futures contract will be the nearest quarterly
futures contract. For example, the underlying futures contract for the January and February EOM
options series will be the March futures contract. The underlying futures contract for the March EOM
options will be the June futures contract. Exercise prices for the EOM options series will be exactly the
same as the existing currently listed options contracts.

EOM options will be European style and will be available for trading until 3pm Chicago time on
the day of expiration. No contrarian instructions will be permitted. All in-the-money options will
automatically be exercised and all out-of-the-money options will automatically be abandoned. A 3pm
fixing price will be used in order to determine whether in the option is in- or out-of-the-money. Rule
amendments follow with additions underlined and deletions bracketed and struck out.


EOM Options

May 9, 2006

Page 12 of 24

351A02.

For options that expire in months other than those in the March quarterly cycle, options trading shall
terminate on the third Friday of the contract month. If that day is not a scheduled Exchange business
day, options trading shall terminate on the first preceding business day. In the event that the
underlying futures market does not open on the scheduled expiration day, the option expiration shall
be extended to the next day on which the underlying futures market is open for trading.

3. Options in the European style “End-Of-Month” Options Series-

For options in the European style “End-of-Month” Options Series, trading shall terminate at 3:00p.m.
Chicago Time on the last business day of the contract month. In the event that the underlying futures
market does not open on the scheduled options expiration day, the option expiration shall be extended

to the next day on which the underlying futures market is open for trading.

351A01.J. Contract Modification

Specifications shall be fixed as of the first day of trading of a contract except that all options must
conform to government regulations in force at the time of exercise. If the U.S. government, an
agency, or duly constituted body thereof issues an order, ruling, directive, or law inconsistent with
these rules, such order, ruling directive, or law shall be construed to become part of these rules and all
open new options contracts shall be subject to such governmental orders.

EXERCISE

In addition to the applicable procedures and requirements of Chapter 7, the following shall apply to
the exercise of S&P options.

351A02.A. Exercise of Option by Buyer
351A02.A.1 Options Not in the Euorpean Style “End-of-Month” Series

An option may be exercised by the buyer on any business day that the option is traded. Exercise of an
option is accomplished by the clearing member representing the buyer presenting an exercise notice
to the Clearing House by 7:00 p.m. on the day of exercise.

An option in the March quarterly cycle that is in the money and has not been liquidated or exercised
prior to the termination of trading shall, in the absence of contrary instructions delivered to the
Clearing House by 7:00 p.m. on the business day following the termination of trading by the clearing
member representing the option buyer, be exercised automatically.

In-the-money options that expire in months other than those in the March quarterly cycle and have
not been liquidated or exercised prior to the termination of trading shall, in the absence of contrary
instructions delivered to the Clearing House by 7:00 p.m. on the day of the expiration by the clearing
member representing the option buyer, be exercised automatically.

Corrections to option exercises may be accepted by the Clearing House after the 7:00 p.m. deadline
and up to the beginning of final option expiration processing provided that such corrections are
necessary due to; (1) a bona fide clerical error, (2) an unreconciled Exchange option transaction(s), or
(3) an extraordinary circumstance where the clearing firm and customer are unable to communicate
final option exercise instructions prior to the deadline. The decision whether a correction is
acceptable will be made by the President of the Clearing House, or the President’s designee, and such
decision will be final.


EOM Options

May 9, 2006

Page 11 of 24

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.

3.__Options in the European Style “End-of-Month” Options Series

Exercise prices for options in the European style “End-of-Month” Options Series 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 European style
“End-of-Month” option series shall be identical to those listed for the March Quarterly options series.

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

351A01.F. Position Limits

No person shall own or control a combination of options and underlying futures contract that exceeds
20,000 futures-equivalent contracts net on the same side of the market in all contract months
combined.

For the purpose of this rule, the futures equivalent of an option contract is | times the previous
business day’s IOM risk factor for the option series. Also for purposes of this rule, a long call option,
a short put option, and a long underlying futures contract are on the same side of the market;
similarly, a short call option, a long put option, and a short underlying futures contract are on the
same side of the market.

351A01.G. Accumulation of Positions

For the purposes of this rule, the positions of all accounts directly or indirectly owned or controlled
by a person or persons, and the positions of all accounts of a person or persons acting pursuant to an
expressed or implied agreement or understanding, and the positions of all accounts in which a person
or persons have a proprietary or beneficial interest, shall be cumulated.

351A01.H. Exemptions

The foregoing position limits shall not apply to commercially appropriate risk reducing option
positions defined in accordance with Regulation 1.3(z)(1) of the CFTC and meeting the requirements
of Rule 543 and shall not apply to other option positions exempted pursuant to Rule 543.

351A01.1. Termination of Trading

1. Options in the March Quarterly Cycle

For options that expire in the March quarterly cycle, options trading shall terminate at the same date
and time as the underlying futures contract.

2. Options Not in the March Quarterly Cycle


EOM Options
May 9, 2006
Page 8 of 24

All such futures positions shall be assigned at a price equal to the exercise price of the option and
shall be marked to market in accordance with Rule 814 on the trading day of acceptance by the
Clearing House of the exercise notice.

358A03. EMERGENCIES, ACTS OF GOD, ACTS OF GOVERNMENT

If exercise or assignment or any precondition or requirement of either is prevented by a strike, fire,
accident, act of government or act of God, the seller or buyer shall immediately notify the Exchange
President. If the President determines that emergency action may be necessary, he shall call a special
meeting of the Board of Directors and arrange for the presentation of evidence respecting the
emergency condition. If the Board determines that an emergency exists, it shall take such action as it
deems necessary under the circumstances and its decision shall be binding upon all parties to the
contract.

INTERPRETATIONS AND SPECIAL NOTICES
RELATING TO CHAPTER 358A

Standard & Poor’s, a division of the McGraw-Hill Companies, Inc. (“S&P”), licenses the Exchange to use
various S&P stock indices (“S&P Stock Indices”) in connection with the trading of futures contracts and options
on futures contracts based upon such indices. S&P shall have no liability for damages, claims, losses or expenses
caused by any errors or delays in calculating or disseminating the S&P Stock Indices.

Standard & Poor’s, a division of the McGraw-Hill Companies, Inc. (“S&P”), does not guarantee the accuracy
and/or completeness of the S&P Stock Indices or any data included therein. S&P makes no warranty, express or
implied, as to the results to be obtained by any person or any entity from the use of the S&P Stock Indices or any
data included therein in connection with the trading of futures contracts, options on futures contracts and any
other use. S&P makes no express or implied warranties, and expressly disclaims all warranties of merchantability
or fitness for a particular purpose or use with respect to the S&P Stock Indices or any data included therein.
Without limiting any of the foregoing, in no event shall S&P have any liability for any special, punitive, indirect
or consequential damages (including lost profits), even if notified of the possibility of such damages.

CLARIFICATION OF NEW NON-AGRICULTURAL OPTION SPECULATIVE
POSITION LIMIT RULE

(Special Executive Report S-1618, March 31, 1986)

Please note that the new non-agricultural option speculative position limit rule supersedes the speculative position
tule for the underlying futures contract. Therefore, for example, a trader may hold a gross futures position that
exceeds the futures position limit rule if that gross position is part of spread with options, such that the net
position across options and futures is less than the applicable limit set in the options rule.


EOM Options

May 9, 2006

Page 22 of 24

Exercise prices for options in the European style “End-of-Month” Options Series 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 European style
“End-of-Month” option series shall be identical to those listed for the March Quarterly options series.

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

351A01.F. Position Limits

No person shall own or control a combination of options and underlying futures contract that exceeds
20,000 futures-equivalent contracts net on the same side of the market in all contract months
combined.

For the purpose of this rule, the futures equivalent of an option contract is | times the previous
business day's IOM risk factor for the option series. Also for purposes of this rule, a long call option,
a short put option, and a long underlying futures contract are on the same side of the market;
similarly, a short call option, a long put option, and a short underlying futures contract are on the
same side of the market.

351A01.G. Accumulation of Positions

For the purposes of this rule, the positions of all accounts directly or indirectly owned or controlled
by a person or persons, and the positions of all accounts of a person or persons acting pursuant to an
expressed or implied agreement or understanding, and the positions of all accounts in which a person
or persons have a proprietary or beneficial interest, shall be cumulated.

351A01.H. Exemptions

The foregoing position limits shall not apply to commercially appropriate risk reducing option
positions defined in accordance with Regulation 1.3(z)(1) of the CFTC and meeting the requirements
of Rule 543 and shall not apply to other option positions exempted pursuant to Rule 543.

351A01.1. | Termination of Trading

1. Options in the March Quarterly Cycle

For options that expire in the March quarterly cycle, options trading shall terminate at the same date
and time as the underlying futures contract.

2. Options Not in the March Quarterly Cycle

For options that expire in months other than those in the March quarterly cycle, options trading shall
terminate on the third Friday of the contract month. If that day is not a scheduled Exchange business
day, options trading shall terminate on the first preceding business day. In the event that the
underlying futures market does not open on the scheduled expiration day, the option expiration shall
be extended to the next day on which the underlying futures market is open for trading.

3. Options in the European style “End-Of-Month” Options Series


EOM Options

May 9, 2006
Page 4 of 24

358A01.D. Underlying Futures Contract
1. Options in the March Quarterly Cycle

For options that expire in the March quarterly cycle (i.e., March, June, September, and December),
the underlying futures contract is the futures contract for the month in which the option expires. For
example, the underlying futures contract for an option that expires in March is the March futures
contract.

2. Options Not in the March Quarterly Cycle

For options that expire in months other than those in the March quarterly cycle (i.e., January,
February, April, May, July, August, October, and November), the underlying futures contract is the
next futures contract in the March quarterly cycle that is nearest the expiration of the option. For
example, the underlying futures contract for options that expire in January or February is the March
futures contract.

3. Options in the “End-of-Month” Option Series

For options in the “End-of-Month” options series, the underlying futures contract is the next futures
contract in the March quarterly cycle that is nearest the expiration of the option. For example, the
underlying futures contract for options in the January or February “End-of-Month” option series is the
March futures contract, while the underlying futures contract for options in the March “End-of-
Month” option series is the June futures contract.

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.

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.


EOM Options

May 9, 2006

Page 15 of 24

For options that expire in the March quarterly cycle (i.e, March, June, September, and December),
the underlying futures contract is the futures contract for the month in which the option expires. For
example, the underlying futures contract for an option that expires in March is the March futures
contract.

2. Options Not in the March Quarterly Cycle

For options that expire in months other than those in the March quarterly cycle (i.e., January,
February, April, May, July, August, October, and November), the underlying futures contract is the
next futures contract in the March quarterly cycle that is nearest the expiration of the option. For
example, the underlying futures contract for options that expire in January or February is the March
futures contract.

3. Options in the “End-of-Month” Option Series

For options in the “End-of-Month” options series, the underlying futures contract is the next futures
contract in the March quarterly cycle that is nearest the expiration of the option. For example, the
underlying futures contract for options in the January or February “End-of-Month” option series is the
March futures contract, while the underlying futures contract for options in the March “End-of-
Month” option series is the June futures contract.

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.

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.

3. Options in the “End-of-Month” Options Series


EOM Options

May 9, 2006

Page 17 of 24

358A02.

that the underlying futures market does not open on the scheduled options expiration day, the option
expiration shall be extended to the next day on which the underlying futures market is open for
trading.

358A01.J. Contract Modification

Specifications shall be fixed as of the first day of trading of a contract except that all options must
conform to government regulations in force at the time of exercise. If the US government, an agency,
or duly constituted body thereof issues an order, ruling, directive, or law inconsistent with these rules,
such order, ruling directive, or law shall be construed to become part of these rules and all open new
options contracts shall be subject to such governmental orders.

EXERCISE

In addition to the applicable procedures and requirements of Chapter 7, the following shall apply to
the exercise of E-Mini S&P 500 options.

358A02.A. Exercise of Option by Buyer
358A02.A.1 Options Not in the “End-of-Month” Series

An option may be exercised by the buyer on any business day that the option is traded. Exercise of an
option is accomplished by the clearing member representing the buyer presenting an exercise notice
to the Clearing House by 7:00 p.m. on the day of exercise.

An option in the March quarterly cycle that is in the money and has not been liquidated or exercised
prior to the termination of trading shall, in the absence of contrary instructions delivered to the
Clearing House by 7:00 p.m. on the business day following the termination of trading by the clearing
member representing the option buyer, be exercised automatically.

In-the-money options that expire in months other than those in the March quarterly cycle and have
not been liquidated or exercised prior to the termination of trading shall, in the absence of contrary
instructions delivered to the Clearing House by 7:00 p.m. on the day of the expiration by the clearing
member representing the option buyer, be exercised automatically.

Corrections to option exercises may be accepted by the Clearing House after the 7:00 p.m. deadline
and up to the beginning of final option expiration processing provided that such corrections are
necessary due to; (1) a bona fide clerical error, (2) an unreconciled Exchange option transaction(s), or
(3) an extraordinary circumstance where the clearing firm and customer are unable to communicate
final option exercise instructions prior to the deadline. The decision whether a correction is
acceptable will be made by the President of the Clearing House, or the President's designee, and such
decision will be final.

358A02.A.2 Options in the “End-of-Month” Series

Following the termination of trading of an option, all in-the-money options shall be automatically
exercised by the Clearing House on the day of expiration for the option. All out-of-the-money
options shall be abandoned by the Clearing House on the day of expiration for the option. Whether
an option is in or out of the money shall be determined based on the fixing price of the CME E-mini
S&P 500 stock index futures on the day of expiration as follows:


EOM Options

May 9, 2006
Page 3 of 24

358A00.

358A01.

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

CHAPTER 358A
Options on E-mini Standard and Poor's 500 Stock Price Index Futures

SCOPE OF CHAPTER

This chapter is limited in application to trading in put and call options on the E-Mini Standard and
Poor's 500 Stock Price Index futures contract ("E-Mini S&P options"). The procedures for trading,
clearing, inspection, delivery and settlement and any other matters not specifically covered herein
shall be governed by the rules of the Exchange.

OPTION CHARACTERISTICS

358A01.A. Contract Months, Trading Hours, and Trading Halts

Options contracts shall be listed for such contract months and scheduled for trading during such
hours, except as indicated below, as may be determined by the Board of Directors.

There shall be no trading in any option contract when the E-Mini S&P 500 Stock Price Index primary
futures contract is limit bid or offered at any price limit except at the total daily price limit on an
option's last day of trading.

There shall be no trading in any option contract during a period when trading in the primary futures
contract is terminated pursuant to Rule 35802.1.

For purposes of this rule, the primary E-Mini futures contract shall be defined as the nearest E-Mini
S&P 500 futures contract month.

For purposes of this rule, Exchange staff shall have the responsibility of determining whether the
primary E-Mini futures contract is trading at its limit during Regular Trading Hours (RTH). During
Electronic Trading Hours (ETH), the determination shall be made by the GLOBEX® Control Center .

358A01.B. Trading Unit
The trading unit shall be an option to buy, in the case of the call, or to sell, in the case of the put, one
E-Mini Standard and Poor's 500 Stock Price Index futures contract as specified in Chapter 358.

358A01.C. Minimum Fluctuations

The price of an option shall be quoted in index points. Each .01 index point [G—basis-peint)] shall
represent $0.50.

The minimum fluctuation shall be .25 index points (also known as one tick). Trades may also occur
at a price of .05 index points $2.50, whether or not such trades result in the liquidation of positions for
both parties to the trade. A trade with a price equal to or less than 3.00 index points may also occur at
a price in multiples of .05 index points, $2.50.


EOM Options
May 9, 2006
Page 2 of 24

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. Please reference our CME Submission
#06-45 on all future correspondence regarding this notification.

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


EOM Options

May 9, 2006

Page 13 of 24

351A03.

351A01.A.2 Options in the European Style “End-of-Month” Series

Following the termination of trading of an option, all in-the-money options shall be automatically
exercised by the Clearing House. All out-of-the-money options shall be abandoned by the Clearing
House on the day of expiration for the option. Whether an option is in or out of the money shall be
determined based on the fixing price of the CME E-mini S&P 500 stock index futures on the day of
expiration, determined pursuant to Rule 358.A02.A.2.

An option is deemed in the money if the fixing price of the underlying futures contract lies strictly
above the exercise price in the case of a call, or lies strictly below the exercise price in the case of a

put. For example, if the fixing price were 1250.01 or higher, then 1250 Calls shall be exercised. If
the fixing price were 1250.00 or lower, then 1250 Calls shall be abandoned. Similarly, if the fixing

price were 1249.99 or lower, then 1250 Puts shall be exercised. If the fixing price were 1250.00 or
higher, then 1250 Puts shall be abandoned.

Options in the “End-of-Month” options series may not be exercise prior to the expiration of the

options. At the expiration, in-the-money options may not be abandoned _and_out-of-the-money
options may not be exercised.

351A02.B. Assignment

Exercise notices accepted by the Clearing House shall be assigned through a process of random
selection to clearing members with open short positions in the same series. A clearing member to
which an exercise notice is assigned shall be notified thereof as soon as practicable after such notice
is assigned by the Clearing House, but not later than 45 minutes prior to the opening of trading in the
underlying futures contract on the following business day.

The clearing member assigned an exercise notice shall be assigned a short position in the underlying
futures contract if a call was exercised or a long position if a put was exercised. The clearing member
representing the option buyer shall be assigned a long position in the underlying futures contract if a
call was exercised and a short position if a put was exercised.

All such futures positions shall be assigned at a price equal to the exercise price of the option and
shall be marked to market in accordance with Rule 814 on the trading day of acceptance by the
Clearing House of the exercise notice.

EMERGENCIES, ACTS OF GOD, ACTS OF GOVERNMENT

If exercise or assignment or any precondition or requirement of either is prevented by a strike, fire,
accident, act of government or act of God, the seller or buyer shall immediately notify the Exchange
President. If the President determines that emergency action may be necessary, he shall call a special
meeting of the Board of Directors and arrange for the presentation of evidence respecting the
emergency condition. If the Board determines that an emergency exists, it shall take such action as it
deems necessary under the circumstances and its decision shall be binding upon all parties to the
contract.

(The remainder of Chapter 351A remains unchanged)


EOM Options

May 9, 2006

Page 16 of 24

Exercise prices for options in the “End-of-Month” Options Series 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 “End-of-Month” option series shall be
identical to those listed for the March Quarterly options series.

358A01.F. Position Limits

No person shall own or control a combination of options and underlying futures contract that exceeds
20,000 S&P 500 Stock Price Index futures-equivalent contracts net on the same side of the market in
all contract months combined. For the purpose of this rule, each E-Mini S&P 500 futures-equivalent
contract shall be deemed equal to one-fifth (0.20) of an S&P 500 Stock Price Index futures-equivalent
contract.

For the purpose of this rule, the futures equivalent of an option contract is | times the previous
business day's IOM risk factor for the option series. Also for purposes of this rule, a long call option,
a short put option, and a long underlying futures contract are on the same side of the market;
similarly, a short call option, a long put option, and a short underlying futures contract are on the
same side of the market.

358A01.G. Accumulation of Positions

For the purposes of this rule, the positions of all accounts directly or indirectly owned or controlled
by a person or persons, and the positions of all accounts of a person or persons acting pursuant to an
expressed or implied agreement or understanding, and the positions of all accounts in which a person
or persons have a proprietary or beneficial interest, shall be cumulated.

358A01.H. Exemptions

The foregoing position limits shall not apply to commercially appropriate risk reducing option
positions defined in accordance with Regulation 1.3(z)(1) of the CFTC and meeting the requirements
of Rule 543 and shall not apply to other option positions exempted pursuant to Rule 543.

358A01.1. Termination of Trading

1. Options in the March Quarterly Cycle

For options that expire in the March quarterly cycle, options trading shall terminate at the same date
and time as the underlying futures contract.

2. Options Not in the March Quarterly Cycle

For options that expire in months other than those in the March quarterly cycle, options trading shall
terminate on the third Friday of the contract month. If that day is not a scheduled Exchange business
day, options trading shall terminate on the first preceding business day. In the event that the
underlying futures market does not open on the scheduled expiration day, the option expiration shall
be extended to the next day on which the underlying futures market is open for trading.

3. Options in the “End-Of-Month” Options Series

For options in the “End-of-Month” Options Series, electronic trading on GLOBEX of the options
shall terminate at 3:00p.m. Chicago Time on the last business day of the contract month. In the event