The Morgan Stanley Consumer Index Option Specifications

Description of Index The Morgan Stanley Consumer Index (CMR) is an equal dollar weighted index designed to measure the performance of consumer-oriented, stable growth industries through price changes in 30 component stocks representing 20 industries. Major industries include beverages, food, pharmaceuticals, tobacco and personal products. The CMR Index was established with a benchmark value of 200.00 on December 31, 1991. To ensure that each component stock continues to represent approximately equal weight in the Index, adjustments are made annually, based on closing prices on the third Friday in December.
Components For Index components click here.
Trading Unit The minimum trade size is one option contract. The notional value underlying each contract equals $100 multiplied by the Index value.
Expiration Cycle Three consecutive near-term expiration months plus two successive months from the January cycle.
Expiration The Saturday following the third Friday of the expiration month.
Last Trading Day Two business days prior to expiration (normally a Thursday).
Exercising Options European style. Options may be exercised only on the last business day prior to expiration (normally a Friday). Writers are subject to assignment only at expiration. Check with your broker to ascertain cut-off times for exercise and provisions for automatic exercise.
Delivery Method if Exercised Cash settlement based on the dollar difference between the final settlement value of the Index and strike price of the contract multiplied by $100.
Exercise Price Intervals Exercise (strike) prices are set at $5.00 intervals, bracketing the current value of the Index, when the Index is above 200. If the Index is below 200, the interval will be $2.50.
Option Premium Quotations Stated in dollars and cents. Minimum price variant $0.05 (nickel) for series trading under $3.00 and $0.10 (dime) for series trading $3.00 and above.
Index Settlement Value Determined on the last business day prior to expiration, based on the first (opening) reported sale price for each component stock.
Settlement of Exercise Next business day following expiration.
Position Limits 25,000 contracts on the same side of the market, provided no more than 15,000 of such contracts are in the nearest expiration month series.
Minimum Customer Margin
for Uncovered Writers
100% of the market value of the option plus 15% of the aggregate Index value less any out-of-the-money amount, subject to a minimum of 100% of the market value of the option plus 10% of the value of the aggregate Index value.
Trading Hours 9:30 a.m. to 4:15 p.m., New York time.
Trading System Specialist/Registered Options Trader.
Trading Symbol CMR
Final Settlement Value Symbol CSO
Morgan Stanley Index options are not sponsored by Morgan Stanley and Morgan Stanley does not guarantee the accuracy or completeness of the Index or make any warranty, express or implied, as to results to be obtained by anyone in connection with the use of the Index and further disclaims all warranties of merchantability or fitness for a particular purpose with respect to the Index. Morgan Stanley also assumes no liability or obligation in connection with the trading of the Morgan Stanley Index options.