XSP Index Options

Index scale and multiplier

XSP uses one tenth of the S&P 500 level. The cash multiplier is $100 per index point. The scale of the underlying index and the multiplier are separate quantities; a smaller index level does not mean a different dollar multiplier.

These are cash-settled, European-style index options. They do not deliver a basket of stocks or ETF shares. Start with the market overview for the benchmark’s economic exposure.

The example trade

Assume the underlying starts at 500 index points. One option has a strike of 500, a premium of 4 and a multiplier of 100. The total premium is USD 400. Prices and premiums are hypothetical; the call and put use equal premiums to make the comparison easy.

The following results are at expiration, before fees. If exercise creates another position, the calculations assume that position is immediately closed at the stated value.

Buying XSP Index calls

You buy the call because you expect the underlying price to rise. At 508 index points, the right at the strike is worth (508 − 500) × 100 = USD 800. After the premium, your profit is USD 400.

At 500 or below, the call expires without intrinsic value and loses its USD 400 premium. Its expiration breakeven is 504 index points. At 502, the price has risen but the trade still loses USD 200.

Buying XSP Index puts

If you expect a fall instead, the put costs USD 400 in this example. At 492 index points, it is worth (500 − 492) × 100 = USD 800. Your profit is USD 400 after the premium.

At 500 or above, the put loses its entire premium. Its expiration breakeven is 496 index points. A smaller fall to 498 still leaves a loss of USD 200.

Before expiration

You can sell an option to close when a market is available. Its resale value also depends on time remaining and implied volatility, so the expiration breakevens do not determine every earlier trading result.

The purchased option can lose its full premium. Exercise may create a separate position or funding obligation. Selling an uncovered option can produce losses larger than the premium received.

The official settlement value matters

Exercise is restricted to expiry, but a holder can sell to close before then when a market is available. The applicable official settlement value determines the expiry payment.

This smaller index product uses closing settlement. Consult its official specification for the expiry calendar, calculation and last trading time.

Do not replace the official settlement value with the last number visible on a chart. An opening calculation can differ from the prior close or an intraday index reading.

Index options versus ETF options

A related ETF has its own share price, expenses and option contracts. ETF-option exercise generally delivers shares; these index options settle in cash. Identical-looking strikes on different products do not represent identical exposure.

See Index Options vs ETF Options. Choosing a smaller contract can reduce dollar exposure per lot, but fees and spreads still matter.

Sizing and expiration risk

Every point is worth $100 per contract, so modest point movements can have a substantial dollar effect. A long option can lose all its premium. An uncovered short option can create a much larger payment obligation.

A portfolio hedge can still be imperfect because the portfolio does not track the index exactly. Near expiry, price sensitivity can change quickly; cash settlement removes share delivery, not market risk.

Explore index options