• Exercise triggers
• ITM/ATM/OTM data
• Corporate actions on underlyings.
Exchanges publish data on the contracts listed by them including
maturity and expiry dates, notice days and last trading days (see
Appendix: IPE Expiry Dates). The deliverable baskets and various
delivery options are also provided by the exchange. These will include
whether the contract is physical, cash, EFP or EFS and what delivery
processes there may be.
When it comes to a corporate action on an underlying, the exchange
will also publish what action it proposes to take. This may be a change
to the contract specification and therefore has great importance.
To illustrate this we can loom at the following notice related to a cor-
porate action issued by the CBOE and also one issued by Euronext.liffe
144 Clearing and settlement of derivatives
Research Circular #RS04-559
October 26, 2004
Devon Energy Corporation (DVN/YQ/VVH) 2-for-1 Stock Split
Ex-Distribution Date: November 16, 2004
Devon Energy Corporation (‘DVN/YQ/VVH’) has announced a
2-;for-;1 common stock split, with a payable date of November 15,
2004, to shareholders of record October 29, 2004. The ex-date for
the stock split is Tuesday, November 16, 2004.
Contract Adjustment
Pursuant to OCC rules (Article VI, Section 11), all outstanding
DVN/YQ/VVH option series will be adjusted to reflect this 2-;for-1
stock split on Tuesday, November 16, 2004, at 8:30 A.M. Chicago
time. The OCC will issue one additional contract for each open
contract on the ex-date. Also on the ex-date, each DVN/YQ/VVH
series will have an adjusted exercise price equal to one-half of the
exercise price rounded to the nearest 1/8 of a point for each DVN/
YQ/VVH series existing on the business day immediately prior to
the ex-date. The option symbols will remain the same. Adjusted
exercise prices are shown below. [Any FLEX series that may exist
will be adjusted in a similar manner to the standardized option.]
The option adjustment will appear in the Daily Position Report of
the clearing member firms on the ex-date. After 8:30 A.M. Tuesday,
November 16, 2004, all trades, corrections, and exercises must be
submitted to the CBOE and OCC on an adjusted basis.