CBOE S&P 500 BuyWrite Index (BXM^SM)

CONTRACT NAME:
CBOE S&P 500 BuyWrite Index Futures

LISTING DATE:
October 2, 2006

DESCRIPTION:
The CBOE S&P 500 BuyWrite Index (BXM Index) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the Standard & Poor's 500 Composite Stock Index (S&P 500 Index). The BXM Index measures the total rate of return of a "covered call" strategy that consists of a "long" position indexed to the S&P 500 Index on which are deemed sold a succession of one-month, at-the-money call options on the S&P 500 Index. The BXM Index covered call strategy requires that each S&P 500 call option be held to its date of maturity, generally the third Friday of the month. Soon after the settlement of the expiring call option, a new at-the-money call option expiring in the next month is then written (a transaction commonly referred to as a "roll"). The strike price of the new call is the closest listed strike price equal to or greater than the last value of the S&P 500 Index reported before 10:00 a.m. Chicago time.

CONTRACT SIZE:
The contract multiplier for BXM Index futures is $100.00. For example, at a BXM Index level of 735.59, the contract size of one BXM Index future would be $73,559.00 (735.59 x $100.00).

TRADING HOURS:
8:30 a.m. - 3:15 p.m. (Chicago time).

TRADING PLATFORM:
CBOEdirect

CONTRACT MONTHS:
Up to three near-term serial contract months and three contract months on the March quarterly cycle (March, June, September and December) may be listed for the BXM Index futures contract.

TICKER SYMBOLS:
Futures - BZ
Cash Index - BXMFT

PRICING CONVENTIONS:
The BXM Index futures contract is quoted in terms of the underlying BXM Index. Both futures prices and cash index levels are stated in decimal format.

MINIMUM PRICE INTERVALS:
0.05 index points (equal to $5.00 per contract).

DOLLAR VALUE PER TICK:
$5.00 per contract

TERMINATION OF TRADING:
The close of trading on the day before the Final Settlement Date. When the last trading day is moved because of a CFE holiday, the last trading day for expiring BX futures contracts will be the day immediately preceding the last regularly-scheduled trading day.

FINAL SETTLEMENT DATE:
The third Friday of the expiring month (Final Settlement Date)

FINAL SETTLEMENT VALUE:
The final settlement price for the BXM Index futures contract shall be a Special Opening Quotation ("SOQ") of the BXM Index, which is calculated by multiplying the value of the BXM Index as of the close of trading on the day before the Final Settlement Date by the rate of return of the BXM Index portfolio measured from the close of trading on the day before the Final Settlement Date to the open of the S&P 500 Index the following business day as follows:

BXM_t-1 is the closing value of BXM Index on the business day immediately prior to the Final Settlement Date, and

S^SOQ - S&P 500 Open Settlement Value
Div_t - Aggregate value of dividends deemed "ex-distribution" on the Final Settlement Date, expressed in S&P 500 Index points
C_Settle - Settlement price of expiring SPX call option in the hypothetical BXM portfolio
S_t-1 - Closing value of S&P 500 on the business day immediately prior to the Final Settlement Date
C_t-1 - The average of the bid and ask quotations of the expiring SPX call option in the BXM Index portfolio at 3:00 p.m. Chicago time on the business day immediately prior to the Final Settlement Date.

If the final settlement value is not available or the normal settlement procedure cannot be utilized due to a trading disruption or other unusual circumstance, the settlement value will be determined in accordance with the rules and bylaws of the Options Clearing Corporation.

DELIVERY:
Settlement of CBOE S&P 500 BuyWrite Index (BXM) Futures contracts will result in the delivery of a cash settlement amount on the business day immediately following the settlement date. The cash settlement amount on the final settlement date shall be the final mark to market amount against the final settlement price of the BXM futures multiplied by $100.00.

POSITION ACCOUNTABILITY:
A person may not own or control more than 5,000 contracts net long or net short in all BXM Index futures contract months combined. The foregoing position limit shall not apply to positions that are subject to a position limit exemption meeting the requirements of Commission Regulations and CFE Rules.

MINIMUM REPORTABLE LEVEL:
25 or more contracts.