SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 24-008

Organization: Chicago Mercantile Exchange Inc. (“CME”)

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date: 01/11/24 Filing Description: Initial Listing of the Options on S&P 500 Annual 

Dividend Index Futures Contract

SPECIFY FILING TYPE 

Please note only ONE choice allowed per Submission.

Organization Rules and Rule Amendments

Certification § 40.6(a)

Approval § 40.5(a)

Notification § 40.6(d)

Advance Notice of SIDCO Rule Change § 40.10(a)

SIDCO Emergency Rule Change § 40.10(h)

Rule Numbers: 

New Product Please note only ONE product per Submission.

Certification § 40.2(a) 

Certification Security Futures § 41.23(a)

Certification Swap Class § 40.2(d)

Approval § 40.3(a)

Approval Security Futures § 41.23(b)

Novel Derivative Product Notification § 40.12(a)

Swap Submission § 39.5

Official Product Name: See filing.

Product Terms and Conditions (product related Rules and Rule Amendments)

Certification § 40.6(a) 

Certification Made Available to Trade Determination § 40.6(a)

Certification Security Futures § 41.24(a)

Delisting (No Open Interest) § 40.6(a) 

Approval § 40.5(a)

Approval Made Available to Trade Determination § 40.5(a)

Approval Security Futures § 41.24(c)

Approval Amendments to enumerated agricultural products § 40.4(a), § 40.5(a)

“Non-Material Agricultural Rule Change” § 40.4(b)(5)

Notification § 40.6(d)

Official Name(s) of Product(s) Affected: 

Rule Numbers: 
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

1

Timothy Elliott 

Managing Director and Chief Regulatory Counsel

Legal Department

January 11, 2024

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: CFTC Regulation 40.2(a) Certification. Initial Listing of the Options on S&P 500 

Annual Dividend Index Futures Contract.

CME Submission No. 24-008

Dear Mr. Kirkpatrick:

Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) is certifying to the Commodity Futures Trading 

Commission (“CFTC” or “Commission”) the initial listing of Options on the S&P 500® Annual Dividend Index 

Futures Contract (the “Contract”) for trading on the CME Globex electronic trading platform (“CME Globex”) 

and for submission for clearing via CME ClearPort effective on Sunday, January 28, 2024, for trade date 

Monday, January 29, 2024, as set forth below. 

Section 1 – Contract Specifications 

Contract Title Options on S&P 500® Annual Dividend Index Futures

CME Globex and

CME ClearPort Code SDA

Rulebook Chapter 365A

Underlying Futures 

Contract / Commodity 

Code / Rulebook Chapter

S&P 500® Annual Dividend Index Futures / SDA / 365

Contract Unit One (1) S&P 500 Annual Dividend Index Futures

Trading and Clearing 

Hours

CME Globex Pre-open: Sunday 5:00 p.m. - 6:00 p.m. Eastern Time (ET) 

Monday – Thursday 5:45 p.m. - 6:00 p.m. ET

CME Globex: Sunday 6:00 p.m. - Friday - 5:00 p.m. ET with a daily maintenance period 

from 5:00 p.m. - 6:00 p.m. ET

CME ClearPort: Sunday 6:00 p.m. - Friday 6:45 p.m. ET with no reporting Monday –

Thursday 6:45 p.m. - 7:00 p.m. ET

Settlement Procedure Deliverable

Listing Schedule Annual contracts listed for 5 consecutive December contracts

Initial Listing December 2024, December 2025, December 2026, December 2027, and December 

2028

Price Quotation U.S. dollars and cents per index point

Minimum Price Increment / 

Financial Equivalent

Premium > 5.00 index points, trading in increments of 0.05 index points ($12.50)

Premium <= 5.00 index points, trading in increments of 0.025 index points ($6.25)

Termination of Trading Trading of expiring options terminates at 9:30 a.m. ET on the 3rd Friday of the contract 

month.
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

2

Exercise Procedure European Style. Exercisable only on expiration day. Contrarian instructions are 

prohibited.

Strike Price Listing 

Schedule

When Listed: 2-points strikes -40% to +25% around at-the-money (ATM)

< 366 DTE (Days To Expiry): 1-point strikes -20% to +10% around ATM

< 96 DTE: 0.50 strikes -15% to +5% around ATM

< 35 DTE: 0.25 strikes -6% to +3% around ATM

Dynamic strikes at 0.25

Settlement at Expiration

Option exercise results in a position in the underlying futures contract priced at the strike 

price. Options which are in-the-money on the last day of trading are automatically 

exercised into the underlying futures contract, which also expire the same day. The final 

settlement price of the underlying futures will be used to determine which options are inthe-money.

Block Trade Minimum 

Threshold 100 contracts – subject to a 15-minute reporting window

CME Globex Matching 

Algorithm F-FIFO 100%

Section 2 – Index Definition, Administration and Governance

As noted, the Contract is an option on CME’s S&P 500® Annual Dividend Futures Contract, where open 

positions that are in-the-money on the last trading day settle into the underlying expiring futures contract. For 

completeness, CME provides the following explanation of the S&P 500® Annual Dividend Index (the “Index”)

underlying the S&P 500® Annual Dividend Futures Contract, 

Index Definition

The S&P 500® Annual Dividend Index (the “Index”), administered, calculated, and published by S&P Dow 

Jones Indices LLC (“S&P DJI”), is designed to track the running total accumulation of dividends paid by S&P 

500® index constituents during the respective Index reference period.

1

The reference period for the Index is one year, spanning from day following the 3rd Friday of the preceding

December to the 3rd Friday of the current December. The Index resets to zero at the beginning of each 

reference period. 

At any point within a given reference period, the Index signifies all ordinary gross dividends paid to date on 

S&P 500® constituent stocks that have gone ex-dividend since the start of the reference period. Index inputs 

are confined to ordinary gross dividends because these “are most likely to be recurring and thus potentially 

forecastable...”.

Dividends are added on the ex-date, which is consistent with the total return version of the underlying index. 

Since stock prices are adjusted for dividends on the ex-date, this method is much more straightforward than 

adding dividends on the pay date.

On each business day within a given Index reference period, the dividends of all S&P 500 index portfolio 

stocks “going ex-“ that day are summed up and the total is divided by S&P 500 index’s prevailing index divisor, 

which converts the index in USD amount (e.g., US$) into index points. Where applicable, dividend payments 

in another currency are translated into the index currency at the same exchange rate used for the total return 

version of the underlying index. Except for the reset day where applicable, these index points are added to the 

cumulative total for the respective period to derive the value of the Index for that day.

1 The following paragraphs on index methodology are adapted from S&P U.S. Indices Methodology, S&P Dow Jones Indices, 

December 2023 at: https://www.spglobal.com/spdji/en/documents/methodologies/methodology-sp-us-indices.pdf.
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

3

On any given day within a given Index reference period, S&P DJI calculates the Index using the formula:

Index(t) = ∑r=0...t ID(r) 

Where:

ID (r) = the index dividend of the underlying index on day r.

r is the running variable that marks passage of time, by business day, within the current 

Index reference period. 

r takes values between 0 and T, such that r = 0 at close of business on the third Friday of the first calendar 

month in the Index reference period (December) and r = T at close of business on the third Friday of the last 

calendar month in the Index reference period, the following December for the Index. 

The index dividend (ID) of the underlying index is calculated on any given day as the total dividend value for 

all constituents of the index divided by the index divisor. The total dividend value is calculated as the sum of 

dividends per share multiplied by index shares outstanding for all constituents of the index which have a 

dividend going ex on the date in question. In the definitional equation above, ID(r) is the S&P 500® index 

dividend on day r: 

ID(r) = [ ∑k=1...K Dividend(k) * Shares(k) ] / Divisor(r). 

k indexes S&P 500® index constituents (1, 2, ... , K) for which dividends go ex on day r. 

Dividend(k) is the dividend per share that goes ex on day r for S&P 500® constituent k. 

Shares(k) is the number of shares outstanding on day r for S&P 500® constituent k. 

Divisor(r) is the S&P 500® index divisor value for day r.

Dividend Types

This list2 which follows outlines S&P DJI treatment on dividends. The determination of ongoing eligibility and 

qualifying for the index is at the discretion of S&P DJI’s Index Committee (“Index Committee”).

Ordinary Dividend - An ordinary dividend is a distribution of a portion of a company's earnings to its 

shareholders. Ordinary dividends typically follow a quarterly, semi-annual, or annual cycle and are most often 

quoted in terms of the payment amount each share receives (dividends per share). 

Variable Dividend - To be considered a variable dividend, a company must pay a base dividend and pay an 

additional variable dividend amount that fluctuates based on company earnings or another metric explicitly 

stated in the dividend policy. Variable dividends differ from special dividends in that variable dividends are part 

of the normal dividend policy of the company.

Special or extraordinary dividends are not included in most situations. Special dividends are defined as 

those dividends that are outside of the normal payment pattern established historically by the corporation. 

Whether a dividend is funded from operating earnings or from other sources of cash does not affect the 

determination of whether it is a special dividend. Special dividends are typically larger than ordinary dividends 

and are quoted in terms of the payment amount each share receives (dividends per share). Generally, there 

are no patterns for these events, and they may be one-time payments. Special dividends are treated as 

corporate actions with price and divisor adjustments. For index calculation purposes, a special dividend results 

in a stock’s price being adjusted (reduced) by the payment amount at the opening of the effective date. 

2 The following paragraphs on Dividends are adapted from, 

https://www.spglobal.com/spdji/en/documents/methodologies/methodology-sp-equity-indices-policies-practices.pdf.
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

4

S&P DJI generally considers the third consecutive instance of a non-ordinary dividend (in terms of timing [i.e., 

ex-date], not amount) to be ordinary for index purposes as the third consecutive payment is generally 

considered to be part of the normal payment pattern established by the company. 

Special dividends usually have the following characteristics: The company describes it as a “special,” “extra,” 

“irregular,” “return of capital” “distribution from reserves,” or some other similar term in the dividend 

announcement. Dividend payments not subject to a withholding tax are usually an indication that the dividend 

should be treated as special; however, large and out-of- pattern payments are still considered as “special” 

even if they are subject to a withholding tax. 

When an ordinary dividend is increased or decreased, it is still ordinary, not special. When a return of capital 

is declared in lieu of an ordinary cash dividend and fits the historical pattern of an ordinary dividend in amount 

and frequency, it is treated as an ordinary cash dividend. 

A special dividend is usually defined as not fitting a regular payment out of operating earnings and does not 

have an impact on future dividend payments. S&P DJI define special dividends as those dividends that are 

outside of the normal payment pattern established historically by the issuing corporation. These may be 

described by the company as ‘special’, ‘extra’, ‘year-end’, or ‘return of capital’.” An exception to this exclusion 

occurs where a S&P 500® constituent company issues recurrent dividends that it terms as ‘special.’ S&P DJI 

include such recurrent ‘special’ dividends in their calculation of the Indexes.

Return of Capital - A return of capital is a cash distribution of a portion of a company’s share capital or capital 

surplus. As it is not paid out of net income or retained earnings, it is generally not subject to withholding tax. 

For index calculation purposes, a return of capital is considered a special dividend. However, when a return 

of capital is declared in lieu of an ordinary cash dividend and fits the historical pattern of an ordinary dividend 

in amount and frequency, it is treated as an ordinary cash dividend.

Hybrid Dividends - Hybrid dividends, payable in cash & stock, can be considered as regular or special 

dividends by S&P DJI.

In certain instances, S&P DJI may decide to add a temporary placeholder security to represent the stock 

portion of the hybrid dividend when deemed necessary to enhance the replicability of the index and to reduce 

unnecessary turnover. In such cases, S&P DJI will announce the treatment details with one to five business 

days’ notice.

Index Administration and Governance

S&P DJI was formed in June 2012 as a joint venture between S&P Indices and Dow Jones Indexes. 

Headquartered in New York, S&P DJI employs over 400 persons operating out of 20 offices worldwide.

In July 2019, S&P DJI issued its latest Statement of Adherence to the recommendations made by the 

International Organization of Securities Commissions (“IOSCO”) in its Principles for Financial Benchmarks 

Final Report (“IOSCO Principles”). In this connection, S&P DJI engaged Ernst & Young LLP “to perform a 

reasonable assurance examination of S&P DJI’s assertion of their continued support of and adherence with 

the IOSCO Principles.” S&P DJI’s overall governance and control framework incorporates multiple 

components that, together, protect the integrity and quality of its Benchmarks. These include: 3

a) A corporate structure that isolates the S&P DJI Benchmark business into a single corporate entity.

b) An organizational/operating structure that separates commercial functions from operational and 

analytical functions into distinct reporting lines.

3 Management Statement of Adherence with the IOSCO Principles for Financial Benchmarks for the period June 1, 2018, through May

31, 2019, Section 1, pg 2, S&P Dow Jones Indices, available at https://www.spglobal.com/spdji/en/governance/methodologies/, 

https://www.spglobal.com/spdji/en/documents/legal/spdji-iosco-report-2023.pdf
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

5

c) An independent Benchmark governance body (including Index Committees) with documented policies 

and procedures.

d) A control framework to ensure a sound process for developing, calculating and distributing 

Benchmarks.

e) An oversight function that monitors and enforces, among other things, S&P DJI’s compliance with its 

various conflicts of interest policies.

f) Processes with designated roles and teams to work with and oversee the various third parties involved 

in the Benchmark determination process.

S&P 500 Annual Dividend Futures Evaluation

CME’s S&P 500 Annual Dividend Index Futures contract averaged approximately 4,000 contracts on a daily 

average volume basis in 2023. Exhibit 3 depicts the monthly S&P 500 Annual Dividend Futures contract’s

average daily volume and average open interest. 

Exhibit 3 - S&P 500 Annual Dividend Futures Monthly Average Daily Volume and Average Open Interest 

Source: CME

As a comparison, Exhibit 4 depicts the 20-day rolling correlation of the index returns of the S&P 500 Annual 

Dividend Index and Russell 2000 Annual Dividend Index. The average 20-day rolling correlation was positive 

and 57% for the period between January 29, 2020, and November 30, 2023.
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

6

Exhibit 4 - S&P 500 Annual Dividend Index vs Russell 2000 Annual Dividend Index 20 Day Rolling Correlation

Source: CME, Bloomberg (SPXDIVAN Index vs R2000DIV Index)
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

7

Section 4 - Compliance with Core Principles

The Exchange reviewed the designated contract market core principles (“Core Principles”) as set forth in the 

Act and identified that the Contract may bear upon the following Core Principles:

Core Principle 2 – Compliance with Rules

The Contract will be subject to CME Rulebook Chapter 4, which includes prohibitions against fraudulent, 

noncompetitive, unfair, and abusive practices. Additionally, trading in the Contract shall be subject to the 

Exchange’s trade practice rules, the majority of which are contained in Chapter 5 and Chapter 8 of the CME 

Rulebook. Trading in the Contract shall be subject to monitoring and surveillance by CME Group’s Market 

Regulation Department, which has the authority to exercise its investigatory and enforcement power where 

potential rule violations are identified. 

Core Principle 3 – Contracts Not Readily Subject to Manipulation 4

These Contracts are not readily subject to manipulation as: 

(1) There is no underlying market in which to trade the Annual Index nor their respective component 

dividends per se. 

(2) Although it is possible that a single actor could attempt to manipulate the dividend policy of a S&P 

500® index constituent corporation, the possibility is remote because such dividend policy is 

implemented as an action by the board of directors of such corporation, not as an action of such single 

actor. Since any dividend so affected would issue from only one of the 400 to 450 S&P 500® index 

constituents that regularly issue dividends, moreover, the impact of such affected dividend upon the 

Annual Index would likely not be material.

5

To reduce any susceptibility of the Contracts to price manipulation, the Exchange shall implement the following 

three prudential measures:

(a) Targeted trading prohibitions shall apply to “any person who is a director or officer...of a 

corporation that is a constituent of the S&P 500® index” and to “any person who is in possession 

of material non-public information relating to ordinary cash dividends of a constituent corporation 

of the S&P 500® index...” (See CME Rules 365A01.J. as certified herein, and as set forth in 

Appendix A.) 

(b) A large trader reporting threshold of one (1) contract shall apply to SDA futures, in addition to a 

Single-Month Position Limit of 60,000 contracts for SDA futures. Option positions are blended into 

the futures on a delta equivalent basis. (See the Position Limit, Position Accountability, and

Reportable Level Table in CME Rulebook Chapter 5, for which amendments are certified herein, 

as set forth in Appendix C.) 

(c) The Exchange shall maintain a market surveillance program to identify potential illegal insider 

trading in either SDA futures or SDA options.

Core Principle 4 – Prevention of Market Disruption

The Contract will be subject to CME Rulebook Chapter 4 and 7, which includes prohibitions on manipulation, 

price distortion, and disruption to the expiration and assignment process. As with any new product listed for 

trading on a CME Group designated contract market, trading activity in the contracts for which terms and 

4 The analysis of compliance with Core Principle 3 herein tracks closely the Commission’s treatment, found on pp 4-5 of Order Approving 

the Listing of the Chicago Mercantile Exchange’s S&P 500 Dividend Index Futures Contract, Commodity Futures Trading Commission, 

Washington, DC, 22 July 2015

5 As of November 22, 2023, the S&P 500 index, the underlying index for the S&P 500 Annual Dividend index, comprises 500 constituent 

firms, with an aggregate market capitalization of $38.19 trillion, of which around 403 constituent companies currently pay dividends. 

Statistics referenced below are sourced from SPICE with data as of November 22, 2023

https://www.spglobal.com/spdji/en/corporate-news/article/sp-dow-jones-indices-reports-us-common-indicated-dividend-paymentsincrease-13-7-billion-in-q4-2023-and-36-5-billion-in-2023

https://www.spglobal.com/spdji/en/documents/additional-material/sp-500-indicated-rate-change.xlsx
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

8

conditions, or amendments to terms and conditions, are certified herein shall be subject to monitoring and 

surveillance by the Exchange’s Market Regulation Department.

In addition, S&P indices are addressed in the Exchange’s agreement with Standard & Poor’s Financial 

Services LLC, which imposes the following obligations on S&P:

S&P OBLIGATIONS. (a) Regulatory Approvals or Investigations. S&P shall reasonably assist CME in 

connection with the preparation of factual materials for presentation to the CFTC, or any other 

governmental entity, in connection with any application by CME for approval to trade any of the 

Indexed Contracts licensed hereunder, or any investigations or hearings regarding any such Indexed 

Contracts.

Core Principle 5 – Position Limits or Accountability

The Contract will aggregate into the Exchange’s underlying futures contract, S&P 500® Annual Dividend Index 

Futures. and shall be subject to a Position Reporting Level of one (1) contract and to an All-Month Position 

Limit of 60,000 contracts.

Accordingly, as of market close on November 24, 2023, a hypothetical 60,000-contract position in the S&P 

500 Annual Dividend Index Futures (70.1 Index points, settle) would have signified notional Index exposure of 

approximately $1.05 B (equal to (70.1 Index points) x ($250 per Index point per contract) x (60,000 contracts)),

representing less than 0.03% of Index market capitalization of index parent is S&P 500 ($38.19 T). 

Correspondingly, the notional value will be subject to the delta of the newly-listed option Contract.

Core Principle 7 – Availability of General Information

The Exchange shall disseminate a Special Executive Report (“SER”) that sets forth information in regard to 

specifications, terms, and conditions of the Contract. The SER will also be published on the Exchange’s 

website.

Core Principle 8 – Daily Publication of Trading Information

The Exchange shall publish trading volumes, open interest levels, and price information daily of the Contract 

on the CME Group website and through quote vendors. 

Core Principle 9 – Execution of Transactions

The Contract will be listed for trading on the CME Globex electronic trading and for clearing through CME 

ClearPort. The CME Globex electronic trading venue provides for competitive and open execution of 

transactions. CME Globex affords the benefits of reliability and global connectivity.

Core Principle 10 – Trade Information

All requisite trade information shall be included in the audit trail and will suffice for the Market Regulation 

Department to monitor for market abuse.

Core Principle 11 – Financial Integrity of Transactions

The Contract will be cleared by CME Clearing, which is registered with the Commission as a derivative clearing 

organization, and which is subject to all CFTC regulations related thereto. 

Core Principle 12 – Protection of Markets and Market Participants

Chapters 4 and 5 in the CME Rulebook set forth multiple strictures that preclude intermediaries from 

disadvantaging their customers. These Rules apply to trading in the Exchange’s competitive trading venues 

and will apply to transactions in the Contract. 

Core Principle 13 – Disciplinary Procedures

Chapter 4 of the CME Rulebook provides for the Exchange to discipline, suspend, or expel members or market 

participants who violate the rules of the Exchange. The Contract shall be subject to these provisions. The 

Exchange’s Market Regulation Department has the authority to exercise its powers of enforcement, in the 

event that rule violations in connection with the Contract are identified. 
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

9

Core Principle 14 – Dispute Resolution

Disputes in respect of the Contract shall be subject to the arbitration provisions set forth in Chapter 6 of both 

the CME Rulebook, which allow all nonmembers to submit to arbitration claims for financial loss resulting from 

transactions on the Exchange. Pursuant to these provisions, any member named as a respondent in any such 

claim submitted by a nonmember is required to participate in arbitration proceedings. Additionally, the 

Exchange requires members to resolve via arbitration all disputes concerning transactions on the Exchange. 

Appendix A provides CME Rulebook Chapter 365A - Options on S&P 500 Annual Dividend Index Futures. 

Appendix B provides the Position Limit, Position Accountability, and Reportable Level Table in Chapter 5 of 

the CME Rulebook. Appendix C provides CME Rule 588.H. – (“Globex Non-Reviewable Trading Ranges”) 

Table. Appendix D provides CME Rule 589. – Special Price Fluctuation Limits and Daily Price Limits Table.

Appendix E provides the Exchange Fees. Appendix F provides the Strike Price Listing and Exercise Procedure 

Table.

Pursuant to Section 5c(c) of the Act and CFTC Regulation 40.2(a), the Exchange certifies that the Contract

complies with the Act including all regulations thereunder. There were no substantive opposing views to this 

proposal. 

The Exchange certifies that this submission has been concurrently posted on the CME Group website at 

http://www.cmegroup.com/market-regulation/rule-filings.html. 

Should you have any questions concerning the above, please contact the undersigned (312) 466-7478 or via 

e-mail at CMEGSubmissionInquiry@cmegroup.com. 

Sincerely, 

/s/ Timothy Elliott

Managing Director and Chief Regulatory Counsel

Attachments: Appendix A CME Rulebook Chapter 365A - Options on S&P 500 Annual Dividend Index

 Futures 

Appendix B Position Limit, Position Accountability, and Reportable Level Table in 

 Chapter 5 of the CME Rulebook (attached under separate cover) 

Appendix C CME Rule 588.H. – (“Globex Non-Reviewable Trading Ranges”) Table 

Appendix D CME Rule 589. – Special Price Fluctuation Limits and Daily Price Limits

 Table 

Appendix E Exchange Fees 

Appendix F Strike Price Listing and Exercise Procedure Table
10

Appendix A

CME Rulebook

Chapter 365A

Options on S&P 500® Annual Dividend Index Futures

365A00. SCOPE OF CHAPTER

This chapter is limited in application to options on S&P 500® Annual Dividend Index futures (“S&P 500®

Annual Dividend Index futures” or “futures”). In addition to this chapter, options on futures shall be subject 

to the general rules and regulations of the Exchange as applicable.

Unless otherwise specified, times referenced herein shall refer to and indicate Chicago time.

365A00.A. Primary Listing Exchange

For the purposes of this chapter a Primary Listing Exchange shall be as defined in the “Plan to Address 

Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant to Rule 

608 of Regulation NMS Under the Securities Exchange Act of 1934” approved 31 May 2012 by the U.S. 

Securities and Exchange Commission (“SEC”), as amended from time to time (SEC, SRO Rulemaking, 

National Market System Plans, File 4-631).

365A00.B. Regulatory Halt

For the purposes of this chapter a Regulatory Halt shall be as defined in the “Plan to Address Extraordinary 

Market Volatility Submitted to the Securities and Exchange Commission Pursuant to Rule 608 of 

Regulation NMS Under the Securities Exchange Act of 1934” approved 31 May 2012 by the SEC, as 

amended from time to time (SEC, SRO Rulemaking, National Market System Plans, File 4- 631) and as 

implemented under New York Stock Exchange Rule 7.12 for Trading Halts Due to Extraordinary Volatility 

or under Nasdaq Stock Market Rule 4121 for Trading Halts Due to Extraordinary Volatility.

365A01. OPTIONS CHARACTERISTICS

365A01.A. Contract Months, Trading Hours, and Trading Halts

Options shall be listed for expiration on such dates and shall be scheduled for trading during such hours 

as may be determined by the Exchange, provided that there shall be no trading in options when trading is 

halted in the Primary Futures Contract Month for S&P 500® Annual Dividend Index futures pursuant to 

Rule 36502.I.

In accordance with Rule 36502.I. the Exchange shall determine, in its sole discretion, the futures delivery 

month that represents such Primary Futures Contract.

365A01.B. Trading Unit

The trading unit shall be an option to buy in the case of a call, or to sell in the case of a put, one S&P 500®

Annual Dividend Index futures contract (Chapter 365).

365A01.C. Minimum Fluctuations

Option prices shall be quoted in Index points. Each Index point shall represent $250.00 per option contract.

The minimum price fluctuation shall be 0.05 Index points (equal to $12.50 per option contract).

Premium > 5.00 index points, trading in increments of 0.05 index points ($12.50)

Premium <= 5.00 index points, trading in increments of 0.025 index points ($6.25)

365A01.D. Underlying Futures Contract

The Underlying Futures Contract shall be for delivery on the December S&P 500® Annual Dividend Index 

Futures contract of the same year.

365A01.E. Exercise Prices

Transactions and exercise of options shall be conducted for options contracts as set forth in the Strike 

Price Listing and Exercise Procedures Table.

The Exchange may modify the provisions governing the establishment of exercise prices as it deems 

appropriate.

365A01.F. Position Limits, Exemptions, Position Accountability and Reportable Levels

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth 
11

in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special 

Notices Section of Chapter 5.

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation 

Department may grant qualified exemptions in its sole discretion.

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions 

from the specified position limits.

365A01.G. Nature of Options

Upon exercise of a put option by the buyer of such option, the seller of such option shall incur the obligation 

to assume a long position in one Underlying Futures Contract (Rule 365A01.D.) at such option’s exercise 

price (Rule 365A01.E.). Upon exercise of a call option by the buyer of such option, the seller of such 

option shall incur the obligation to assume a short position in one Underlying Futures Contract at such 

option’s exercise price. The options may only be exercised at their expiration.

365A01.H. [Reserved]

365A01.I. Termination of Trading

Trading shall terminate at the same time of the termination of trading in the underlying futures.

365A01.J. Trading Prohibition

The following persons are prohibited from trading in futures (each, a “Prohibited Person”): 

1. Any person who is a director or officer, subject to Section 16 of the Securities Exchange Act of 1934 as 

amended from time to time, of a corporation that is a constituent of the S&P 500® index. 

2. Any person who is in possession of material non-public information relating to ordinary cash dividends 

of a constituent corporation of the S&P 500® index, including (but not limited to) information concerning 

the timing or amount of any ordinary cash dividend.

365A02. EXERCISE AND ASSIGNMENT

In addition to the applicable procedures and requirements of Chapter 7, the following shall apply to the 

exercise of options.

365A02.A. Exercise

Any European Style (Rule 365A01.D.1.) option may be exercised only at, and not before, the expiration 

of such option. Following termination of trading in expiring options, any such option that is in the money 

shall be automatically exercised by the Clearing House, and any such option that is out of the money shall 

be abandoned by the Clearing House. For the avoidance of doubt, no such option that expires in the 

money may be abandoned, and no such option that expires out of the money may be exercised.

Whether an option expires in the money or out of the money shall be determined by the Exchange, in its 

sole discretion, by reference to the Final Settlement Price of such option’s Underlying Futures Contract 

(Rule 365A01.D.). 

An expiring call option shall be in the money if the corresponding Final Settlement Price is at or above 

such option’s exercise price and shall be out of the money if the corresponding Final Settlement Price is 

strictly below such option’s exercise price.

An expiring put option shall be in the money if the corresponding Final Settlement Price is strictly below 

such option’s exercise price and shall be out of the money if the corresponding Final Settlement Price is 

at or above such option’s exercise price.

365A02.B. Assignment

For a given option contract, an exercise notice accepted by the Clearing House in accordance with Rules 

365A02.A. shall be assigned by the Clearing House through a process of random selection to clearing 

members carrying open short positions in such option contract. A clearing member to whom such exercise 

notice has been assigned shall be notified thereof as soon as practicable following such assignment.

The clearing member to whom such exercise notice has been assigned shall be assigned a short position 

in such option’s Underlying Futures Contract (Rules 365A01.D.) if such option is a call, or a long position 

in such option’s Underlying Futures Contract if such option is a put. The clearing member representing 

the option buyer making exercise shall be assigned a long position in such option’s Underlying Futures 

Contract if such option is a call, or a short position in such option’s Underlying Futures Contract if such 

option is a put.

All such futures positions shall be assigned at a price equal to the exercise price of such option contract 

and shall be marked to market (in accordance with Rule 814) on the Business Day on which the Clearing 
12

House accepts such exercise notice.

365A03. [RESERVED]

365A04. [RESERVED]

365A05.-29. [RESERVED]

(End Chapter 365A)

INTERPRETATIONS AND SPECIAL NOTICES 

RELATING TO CHAPTER 365A

S&P Dow Jones Indices LLC directly or through one or more affiliates (collectively, "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 any damages, claims, losses or expenses caused by any errors or delays in calculating or 

disseminating the S&P Stock Indices.

S&P Dow Jones Indices LLC and its affiliates (collectively, "S&P") do 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 or 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.
13

Appendix B

CME Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability, and Reportable Level Table

(attached under separate cover)

Appendix C

CME Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

CME Rule 588.H. – (“Globex Non-Reviewable Trading Ranges”) Table

Equity Index Outrights Spreads

Globex 

Symbol

Globex NonReviewable 

Ranges (NRR)

NRR: 

Globex 

Format

NRR: 

Minimum 

Ticks

NRR: 

Globex 

Format

NRR: 

Outright 

Minimum 

Ticks

Options on 

S&P 500® 

Annual 

Dividend Index 

Futures

SDA The greater of the following:

•Delta multiplied by the underlying futures non-reviewable 

range

•20% of premium up to 1⁄4 of the underlying futures nonreviewable range

•5 ticks
14

Appendix D

CME Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

CME Rule 589. – Special Price Fluctuation Limits and Daily Price Limits Table

Product Rulebook 

Chapter

Commodity 

Code

Primary/Ass

ociated

Associated 

With

Daily Price 

Limit

Dynamically 

Calculated 

Variant 

(Excluding 

Regular 

Trading 

Hours)

Options on 

S&P 500® 

Annual 

Dividend 

Index Futures

365A SDA Associated ES Daily Price Limit Table
15

Appendix E

Exchange Fees

Membership Type

Venue/Transaction 

Type Fee

Individual Members

Clearing Members

Rule 106.J Equity Member Firms & Rule 106.J Qualified Subsidiaries

Rule 106.I Members & Rule 106.I Qualified Affiliates

Rule 106.S Member Approved Funds

CME Globex $0.47 

EFP $2.28 

EFR $2.28

Block $2.28

Delivery $0.09 

Exe|Asn|Future From $0.14 

Rule 106.D Lessees

Rule 106.F Employees 

CME Globex $0.61

EFP $2.42 

EFR $2.42 

Block $2.42

Delivery $0.21

Exe|Asn|Future From $0.26 

Rule 106.R Electronic Corporate Members 

(For other than CME Globex - Non-Member rates apply) CME Globex $0.65 

Rule 106.H and 106.N Firms 

CME Globex $0.77

EFP $2.45

EFR $2.45

Block $2.45

Delivery $0.39

Exe|Asn|Future From $0.44 

International Incentive Program (IIP) Participants

International Volume Incentive Program (IVIP) Participants 

(For other than CME Globex - Non-Member rates apply)

CME Globex $1.50

Latin American Fund Manager Incentive Program (FMIP) Participants 

(For other than CME Globex - Non-Member rates apply) CME Globex $1.50 

CBOE Members

(For S&P products only; for all other products - Non-Member rates apply)

CME Globex $1.45

EFP $2.49 

EFR $2.49

Block $2.49

Delivery $0.34

Exe|Asn|Future From $0.39

Members Trading Outside of Division 

(For other than CME Globex During ETH - Non-Member rates apply)

CME Globex

During ETH Only $0.97

Non-Members

CME Globex $1.50

EFP $2.54

EFR $2.54 

Block $2.54

Delivery $0.40

Exe|Asn|Future From $0.45
16

Appendix F

Strike Price Listing and Exercise Procedures Table

Processing Fees Fee

Position Adjustment/Position Transfer $0.10 

Give-Up Surcharge $0.05 

Facilitation Fee $0.40