Cookbook of CBOE Credit Event Binary Options (CEBO) - CBOE.com

Cookbook of CBOE Credit
Event Binary Options (CEBO)
Siinglle-Name and Basket Optiions
Copyright © 2007 Chicago Board Options Exchange, Incorporated. All rights reserved.

Options involve risk and are not suitable for all investors. Prior to buying or
selling an option, a person must receive a copy of Characteristics and Risks of
Standardized Options (ODD). Copies of the ODD are available from your broker,
by calling 1-888-OPTIONS, or from The Options Clearing Corporation, One North
Wacker Drive, Suite 500, Chicago, Illinois 60606 and at
http://www.optionsclearing.com/. This manual has been developed by CBOE to
serve as a guide to all users of Credit Event Binary Options. The requirements
explained here are based on publication date rules and regulations, and
therefore, subject to change. This manual should be used as a reference
document and is not intended to be an all-encompassing restatement of CBOE
rules. No statement within this manual should be construed as a
recommendation to buy or sell a security or to provide investment advice.
2

1. Introduction
Table of Contents
2. Description of CEBO Contracts
a. Contract Design
b. Credit Events
c. Succession and Redemption Events
d. Time Schedule of CEBOs
e. Summary Table
3. Price Quotation and Theoretical Pricing
a. Quotation of CEBO Prices
b. Theoretical Pricing
c. Where to Find Probabilities of Default
d. Where to Find Market Quotes for CEBOs
4. Nuts and Bolts of Trading
a. Capital Requirements
b. Trading Fees
c. Exercise and Settlement
d. Symbology
e. Membership Requirements
f. Regulatory Status
g. CEBO Systems Settings
h. Position Limits
5. Trading Applications
6. Contact Information
3

1. Introduction
This guide seeks to provide the ingredients and recipes needed to trade Credit
Event Binary Options (CEBO) on a daily basis. It includes a detailed description
of the products, pricing indicators, “nuts and bolts” facts useful for trading, trading
applications, and background information on the credit market. For more
detailed information, please refer to Chapter XXIX of the CBOE Rules.
Before proceeding, what are CEBOs? Briefly, they are binary options that provide
a hedge against Credit Events such as a bankruptcy or a failure to pay debt
obligations. In dollar terms, a CEBO pays a specified amount if a Credit Event is
confirmed, and nothing otherwise.
In a space of fifteen years or so, the notional exposure of the credit derivatives
market has reached almost $34 trillion. This vibrant market has supplanted the
traditional corporate bond market as the place to trade credit. The most active
contracts are credit default swaps (CDS) and CDS indexes. CEBOs are CBOE’s
translation of CDS and CDS indexes to an exchange environment that offer
familiar advantages to investors:
• A streamlined market place with easy access through securities accounts,
transparent pricing, and anonymous trading on the CBOE Hybrid Trading
System.
• The operational efficiency brought by standardization of contract terms,
minimal documentation, immediate and unambiguous resolution of Credit
Events, and automated settlement.
• Negligible counter-party risk.
• Clearing by the "AAA" Rated Options Clearing Corporation (OCC).
There is another unique and significant advantage to trading credit options on
CBOE. CBOE is also home to stocks, stock and index options, and volatility
derivatives, including VIX options. These financial instruments all correlate well
to credit, and their trading proximity and common clearing should simplify and
reduce the costs of implementing hedging and arbitrage strategies based on
these correlations.
2. Description of CEBO Contracts
CEBOs are binary options that pay a fixed dollar amount when CBOE confirms a
Credit Event in the debt securities issued or guaranteed by some entity
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(“Reference Entity”). A Credit Event typically means that the issuer or guarantor
has ceased to service its debt obligations and/or has filed for bankruptcy. Hence
a CEBO can protect against the losses incurred by investors following a default.
CBOE currently lists CEBOs referenced to single Reference Entities and
launched Basket CEBOs, referenced to baskets of Reference Entities, on August
28, 2007.
a. Contract Design
Single-Name CEBOs
A single-name CEBO is referenced to the debt securities ("Reference
Obligations" and “Other Relevant Obligations") issued or guaranteed by a
Reference Entity. Its payoff is binary. The option is automatically exercised and
pays $100,000 if CBOE confirms that the Reference Entity had a Credit Event
between the listing date and the scheduled last day of trading of the option. It
pays $0 if no Credit Event is confirmed to have happened during this period.
Multiple-Payout Basket CEBOs
A Multiple-Payout Basket CEBO is referenced to the debt securities of multiple
Reference Entities. Examples are baskets referenced to the debt securities of
corporations in the same economic sector, or broad-based baskets referenced to
the debt securities of corporations of the same credit quality. On the listing date,
CBOE specifies the notional value of the basket, the components of the basket,
their basket weights and their estimated recovery rates. For example, a basket
could have a notional value of $100,000, 10 equally weighted components, each
with a specified recovery rate of 40%.
A Multiple-Payout Basket CEBO automatically pays a specified dollar amount
each time that CBOE confirms a Credit Event in a component of the basket. The
basket component is then removed from the basket and is not replaced. The
Credit Event payout is equal to the notional value of the basket times the weight
of the component that has the Credit event times one minus its recovery rate.
Using the same parameters as in the example above, the option would pay
$6,000 (=$100,000 * .10 *(1-.4)) after each confirmed Credit Event. The sum of
payout(s) would range from $0 to $60,000 depending on how many Credit
Events are confirmed by CBOE over the life of the Multiple-Payout CEBO.
First-to-Default Basket CEBO
A First-to-Default Basket CEBO, also called “Single-Payout” CEBO basket, is
similar to a Multiple-Payout Basket CEBO. The only difference is that the option
5

can only be automatically exercised once, after the confirmation of the first Credit
Event in any basket component. After this exercise, the option expires.
Full contract specifications are posted at:
http://www.cboe.com/Products/indexopts/credit_spec.aspx
b. Credit Events
What is a Credit Event?
CBOE can recognize bankruptcy, failure to pay 1 , debt restructuring and any other
event of default specified in the terms of the relevant indenture as possible Credit
Events. CBOE specifies which of these Credit Events apply to a particular CEBO
on its listing date and this information is posted at :
http://www.cboe.org/legal/crclReg_CREDIT.aspx
Who Confirms Credit Events?
CBOE confirms the occurrence of Credit Events.
When and How Can Credit Events be Confirmed?
Credit Events are determined based on at least two information sources. These
sources can be public news services, regulatory agencies, other exchanges, the
OCC or the courts. (The news services currently used by the Exchange are
Bloomberg, Dow Jones News Services, the Wall Street Journal, the Financial
Times or the New York Times). To be confirmed, a Credit Event must have
occurred in the period extending from the listing time up to 10:59 pm Chicago
time on the last day of trading (Credit Event confirmation period). CBOE has up
to four business days after the scheduled last day of trading to determine and
announce whether a Credit Event has occurred. Information announcing Credit
Events will be posted on CBOE's website under CBOE's Contract Adjustments
link: http://www.cboe.com/tradtool/contractscebo.aspx
c. Succession and Redemption Events
Succession and Redemption Events are two other types of events that can
impact the trading and settlement of CEBOs. CBOE confirms the occurrence of
1 Failure to pay is defined as failure to pay the specified threshold amounts of interest and/or face value of
debt obligations after applicable grace periods have elapsed. The threshold amounts are described in
contract specifications. This definition also applies to debt obligations whose payment has been
accelerated by a material violation of the covenants governing the obligations .
6

Succession and Redemption Events. Information announcing these events will
be posted on CBOE's website under CBOE's Contract Adjustments link:
http://www.cboe.com/tradtool/contractscebo.aspx
A Redemption Event occurs when all the debt securities of the CEBO Reference
Entity are redeemed or mature. Since zero debt leaves little room for a Credit
Event, the expiration of a single-name CEBO is accelerated and it expires
worthless.
Redemptions of the debt of a component of a CEBO Single-Payout or Multiple-
Payout basket only result in the removal of that component from the basket,
however. The expiration of a CEBO Multiple-Payout basket is only accelerated
after CBOE has confirmed a Redemption Event in every one of its components.
In a Succession Event, part of or all the debt of the Reference Entity of a CEBO
is transferred to other entities. This can occur following mergers, consolidations,
spin-offs and similar corporate actions. CBOE will look to the terms of the
Reference Obligation(s) to determine what percentages of the debt if any have
been transferred to other entities. These terms may be discussed in indentures,
supplemental indentures as well as 8-K and other SEC filings of the Reference
Entity that discuss material changes to the company. If, based on these terms,
CBOE determines that a company has acquired more than 25% of the original
debt, it is deemed to be a “Successor Reference Entity.” The original company
can be one of the successors, but it does not have to be.
In the case where a Reference Entity is taken private, the private company may
become the Successor Reference Entity if it guarantees the debt. However, new
Credit Default Option series listings referenced to the private Successor
Reference Entity would not be listed.
If CBOE confirms a Succession Event for an entity referenced by a Single-Name
CEBO, CBOE will generally list a new Single-Name CEBO for each Successor
Reference Entity. If CBOE were to confirm a Credit Event in any Successor, the
corresponding option would automatically pay an appropriate fraction of
$100,000, e.g. $100,000 for a single successor, $50,000 for two successors, and
$33,333 for three.
If a Succession Event is confirmed for a component of a Multiple-Payout or
Single-Payout CEBO basket, CBOE will determine Successor Reference Entities
to replace that component in the CEBO basket. It will also specify weights and
recovery rates for the Successor Reference Entities. These weights will add up to
the weight of the original component. The recovery rates of the Successor
Reference Entities can differ from the recovery rate of the basket component
they replace. Hence the payouts may change.
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Example: Suppose that a Reference Entity referenced by a CEBO basket has a
Succession Event and is replaced by two Successor Reference Entities. Also
suppose that the notional amount of the basket is $100,000, that the weight of
the original Reference Entity is 10% and its recovery rate is 40%. Based on the
terms of the succession, CBOE assigns a weight of 5% to each of the Successor
Reference Entities and recovery rates of 40% and 45% to the first and second. If
CBOE subsequently confirms a Credit Event in the first Successor Reference
Entity, the option payout will be $3000 ($100,000 * .05 *(1 -.4)). And if a Credit
Event is confirmed in the second Successor Reference Entity, the payout will be
$3,250. Had CBOE confirmed a Credit Event in the original Basket component,
the option payout would have been $6,000 ($100,000 * .1 * (1-.4)).
Note that after a Succession Event, a Single-Payout CEBO basket still expires
after the first Credit Event in any of the basket components, which now include
the Successor Reference Entities.
d. Time Schedule of CEBOs
CEBOs will be listed periodically with maturities ranging from one to 10.25 years.
Expiration takes place four business days after the third Friday of the contract
month when the options cease to trade. CBOE will continue to monitor Credit
Events until 3:00 p.m. CT of the fourth business following the last day of trading.
Recall that a Credit Event must occur between the listing date and 10:59 p.m. CT
of the last day of trading.
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e. Summary Table of Different CEBOs
Credit Option Single-Name CEBOs Multiple-Payout
Basket CEBOs
First-to-Default Basket CEBOs
Underliers Debt securities of
Reference Entity
Debt securities of multiple Reference Entities
Notional Value $100,000 • Total basket notional value and component weights are
specified at listing date.
• Component notional value = basket notional * component
weight.
Recovery rates •
Example: with 10 equally weighted components and $100,000 total
basket notional, each component has a $10,000 notional value.
Recovery rates are estimates of what can be recovered per dollar of debt after a Credit
Event. The credit option pays the residual, i.e. the loss per dollar.
• The recovery rate of a single-name CEBO is always assumed to be 0.
• Recovery rates of CEBO basket components are specified at listing date of option.
When does After a Credit Event. After any Credit Event After first Credit Event in any basket
the option pay?
in a basket
component.
component. After this, the option expires.
What does it pay? $100,000
After each Credit
Event:
After first Credit Event only:
Option Price
Quotation and
Effective Price
Component notional value * (1-recovery rate).
Example: If recovery rate is .4 and component notional is $10,000,
option pays $6,000= $10,000 * (1-.4)
• Option price is quoted per $100 of total notional.
• It is quoted in dollars and nickels, e.g. $35.25.
• Effective price = quoted price * contract notional /100.
Example: For single name CEBO, $35.25 quoted price corresponds to an effective price of
$35,250.
Credit Event • Will include failure-to-pay, and may also include bankruptcy, debt restructuring, or any
other event of default specified by the CBOE.
• CBOE specifies qualifying Credit Events at listing time.
• CBOE confirms Credit Events based on at least two sources drawn from a list of
specified newswire or information services, and/or information submitted to or filed with
the courts, the SEC , an exchange or association, the Options Clearing corporation, or
another regulatory agency or similar authority. The news services used by the Exchange
are Bloomberg, Dow Jones News Services, the Wall Street Journal, the Financial Times
and the New York Times.
• CBOE can confirm Credit Events up to four business days after last day of trading.
Successions Successor weights are
specified to determine
payout after
confirmation of Credit
Events.
Contract
Maturities
Last Day of
Trading
• Successor weights and recovery rates are specified.
• Successor weights add up to weight of the original Reference
Entity. Successor Recovery rates can differ from the recovery
rate of the original Reference Entity.
Contracts expire from 1 to 10 ¼ years from listing date.
The earlier of 3 rd Friday
of contract month or
date of Credit or
Redemption Event.
The earlier of 3 rd Friday
of contract month or
date on which Credit or
Redemption Events in
all basket components
have been confirmed.
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The earlier of 3 rd Friday of contract
month or date of 1st Credit Event or
date on which Redemption Events in all
basket components have been
confirmed.
Expiration 4th business day after scheduled last day of trading or 2 business days after early last day of
trading.

3. Price Quotation and Theoretical Pricing
a. Option Price Quotation
A Single-Name CEBO pays $100,000 after a Credit Event is confirmed, but its
price is quoted based on a $100 payout. Since the quoted price reflects the
probability that a Credit Event will be confirmed times $100, it varies between $0
and $100. CEBO prices are quoted in dollars and nickels, e.g. $34.05, $34.10.
The effective price paid for the option is 1000 times the quoted price, based on a
notional contract value of $100,000= 1000* $100. Thus if the quoted price is
$34.05, the effective price is $34,050.
The estimated quoted price of a CEBO based on Dana Corp. a company that
went bankrupt in February 2006 is shown below next to the CDS spread of
DANA Corp. quoted by Bloomberg. As the bankruptcy approached, the DANA
CDS spread rose to 3422 basis points, suggesting an estimated recovery rate of
approximately 65%. At this point, the price of a CEBO referenced to DANA
should have theoretically reached $100, based on the assumed recovery rate of
0%.
Credit Spread Basis Points
3300
2800
2300
1800
1300
800
300
Sources: Bloomberg and CBOE
Market Prices DANA CORP as of close 2/28/06
CDS 5 Year Spread
Estimated 5-Year
CEDO Price
9/1/2005
9/13/2005
9/21/2005
9/29/2005
10/11/2005
10/19/2005
10/27/2005
11/8/2005
11/17/2005
11/29/2005
12/7/2005
12/15/2005
12/23/2005
1/4/2006
1/12/2006
1/23/2006
1/31/2006
2/8/2006
2/16/2006
2/27/2006
10
$100
$90
$80
$70
$60
$50
$40
$30
$20
$10
$-
CEBO Estimated Price

. Theoretical Pricing
The theoretical price of a single name CEBO is equal to the expected 2 value of
its payout discounted to the present by prevailing rates of interest. To illustrate,
suppose that a Reference Entity can only have a Credit Event at a single date,
e.g. five years from the current date. Also suppose that the risk-neutral
probability of this event is 39.7%, and that the five- year discount factor is .7990.
The theoretical price of the corresponding CEBO is equal to $31.72 = 100 * .397
*.799.
Generalizing to the case where a Credit Event can occur at any time until the last
day of trading, theoretical price of the option is equal to 100 times the sum of
probabilities of default adjusted by the appropriate discount factors
To simplify the calculation, the probability of default is assumed to be constant in
sub-periods. Here is an illustration of this calculation for a 5-year CEBO :
Term Structure of Default
Probabilities
Period
11
Period Default
Probability p
Discount
Factor D
100* p * D
6 m 0.0156 0- 6m 0.0158 0.9758 1.5417
1 yr 0.0311 6 m -1yr 0.0155 0.9530 1.4772
2 yr 0.1034 1 - 2 yr 0.0723 0.9121 6.5942
3 yr 0.2041 2 -3 yr 0.1007 0.8733 8.7940
4 yr 0.3062 3 - 4 yr 0.1021 0.8352 8.5274
5 yr 0.3970 4 - 5 yr 0.0908 0.7990 7.2550
CEBO Price $ 34.19
Source :CBOE
c. Where to Find Probabilities of Default
Different services estimate probabilities of default. Some of the most popular are
Bloomberg, Moody’s KMV, Reuters, and RiskMetrics Group. Probabilities of
default can be estimated from:
• CDS prices
• bond prices using Hull and White’s approach
• equity prices using the Merton structural model or its variants
• put option prices using either a structural model or a non-parametric
algorithms
• historical data
2 The expectation is taken under the risk-neutral probability distribution.

• rating transition matrices calculated by rating agencies such as Moody’s KMV
and Fitch, or
• fundamental analysis of the reference entity.
d. Where to Find Market Quotes for CEBOs
Market quotes are available from data vendors and at CBOE's website. For
delayed quotes from CBOE's website see:
http://www.cboe.com/DelayedQuote/QuoteTable.aspx
To get quotes, type the class, a space then the month/strike indicators, (e.g.,
FDW IZ for the 2012 Ford 5-year Credit Default Option quotes).
4. Nuts and Bolts of Trading
a. Capital Requirements
Single-Name CEBO Customer Margin Requirements
Long customers: 100% of option price
Qualified long customers: 20% of option price
Short customers: Cash settlement amount
Qualified short customers: Minimum (cash settlement amount, 20%
of cash settlement amount plus option price)
Basket CEBO Customer Margin Requirements
Long customers: 100% of option price
Qualified long customers: 15% of option price
Short customers: Maximum possible cash settlement amount
Qualified short customers: Minimum (maximum possible cash settlement
amount, 15% of maximum cash settlement
amount plus option price)
• Margin deposits may consist of cash or marginable securities .
• For additional information, refer to CBOE Rule 12.3(I).
• Note that OCC does accept money market funds and treasury securities from
clearing members to meet margin requirements. Please see OCC Rule 604 -
Forms of Margin for more information on this:
(http://theocc.com/publications/rules_bylaws_pdf/occ_rules.pdf)
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Market Maker Haircuts
Haircuts for market makers will be determined by their clearing firms.
For more details on the Margins and Net Capital Requirements for Credit Default
Options please see http://www.cboe.org/legal/crclReg_CREDIT.aspx.
b. Trading Fees
See http://www.cboe.com/publish/feeschedule/CBOEFeeSchedule.pdf
c. Exercise and Settlement
If a Credit Event is confirmed prior to the scheduled expiration date, CEBOs will
be automatically exercised two business days after the Credit Event confirmation
date. If no Credit Event is confirmed prior to the last trading day, expiration will
occur four business days after the last trading day. This lag provides a cushion of
time during which CBOE can continue to monitor for Credit Events. Recall that, to
be confirmed, the credit event has to occur in the period extending from the
listing time to 10:59 p.m. (CT) on the last trading day.
d. Symbology
Quote and trade information will be disseminated by CBOE through the Options
Price Reporting Authority (OPRA), just like other options. Like other options,
each CEBO product will have a unique class symbol, month and strike indicator.
As illustrated below, CEBOS with the same underlying but different maturities will
have unique class symbols.
Equity
Symbols/ Exp.
Ticker Company Name
Dates
Sep-08 Sep-12
GM General Motors Corp GCB GCY
F Ford Motor Co FDE FDW
HOV Hovnanian Enterprises Inc CKA CKJ
SPF Standard-Pacific Corp JSV JSW
For current lists of single name CEBOs and Basket CEBOs components see:
http://www.cboe.com/publish/OPIndexCompCreditBasket/BasketCEBOs.xls
For the list of tickers used by different data vendors see:
http://www.cboe.com/micro/credit/CEBOSymbols.pdf
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e. Membership Requirements
For market making purposes, the seat costs assigned to each CEBO class will
be determined by the formula applied to other options traded on CBOE.
f. Regulatory Status
CEBOs are SEC-regulated products. Rules can be found in Chapter XXIX of
CBOE’s rulebook at
http://cchwallstreet.com/CBOEtools/PlatformViewer.asp?SelectedNode=chp_1_1
&manual=/CBOE/rules/cboe-rules/
g. CEBO Systems Settings
For market making firms and firms that have written to the CBOEdirect API and
wish to place orders and/or stream quotes please see the following CBOE Reg
Circular:
http://www.cboe.org/legal/crclReg_CREDIT.aspx
h. Position Limits
5,000 contracts for a Single-Name CEBO class.
50,000 contracts for Basket CEBOs
5. Trading Applications
Several possible trading applications of CEBOs and Basket CEBOs are outlined
below purely for illustrative purposes. The Exchange is not recommending or
endorsing a particular investment strategy or providing investment advice, and
encourages investors to consult with their broker.
Single-Name CEBOs can be used for various investment strategies, including but
not limited to:
14

• Hedge or take a position on the credit risk of U.S. corporate debt. Since
single-name CEBOs pay a fixed dollar amount following a Credit Event,
investors can buy CEBOs to convert corporate debt to Treasury quality
without having to sell this debt in a highly illiquid market. Conversely, CEBO
sellers can take on credit risk without having to buy corporate bonds and also
without having to make an investment at the risk-free rate. This is a useful
feature which can be implemented by overlaying CEBOs over fixed income
portfolios or for capital structure arbitrage or convertible bond arbitrage.
• Hedge assets with correlated prices. As illustrated below for Dana Corp.
when credit quality deteriorates and the credit spread widens, the share price
usually falls to zero and the volatility of put options tends to increase.
Temporary dislocations between credit, volatility and equity markets can arise
due to market specific imbalances or other “technical factors.”
Implied Volatility
350
300
250
200
150
100
50
0
09/01/05
09/15/05
09/29/05
Sources: Bloomberg and CBOE
DANA CORP up to close 2/28/06
1 Month ATM Implied Volatility
Estimated CEBO Price
Share Price
10/13/05
10/27/05
11/10/05
11/24/05
12/08/05
o Fixed-recovery CDS spreads should have a close relation to CEBO
prices because the differences between the two are primarily limited to
the amortization of the option premium and suspension of the coupon
payment after a Credit Event.
o A generic CDS is a little different. It is generally a double play on
default and the recovery rate. This difference will generally mostly
15
12/22/05
01/05/06
01/19/06
02/02/06
02/16/06
$100
$90
$80
$70
$60
$50
$40
$30
$20
$10
$-
CEBO Price and Share Price

matter close to a Credit Event because recovery rates typically do not
drive CDS spreads before then.
o Credit traders can arbitrage the basis between the implied spreads in
CEBO prices and the spreads of credit asset swaps in the same way
that they arbitrage the basis between CDS and credit asset swaps.
• Adjust the composition of a long or short exposure to a CDS index or
synthetic CDO.
Basket CEBOs can be used for various investment strategies, including but not
limited to:
• Hedge credit exposures to economic sectors, credit quality sectors or a crosssection
of the market.
• Adjust the sector or quality profile of a broad-based CDS index.
• Hedge the sector or market component of the credit risk in a single name
credit exposure.
• Hedge volatility exposures. The correlations between credit spreads, stock
prices, and volatility typically rise during a financial crisis. This indicates that
a long position in a broad-based CEBO basket provides a hedge against the
extreme volatilities that prevail when worst-case scenarios materialize. Even
at low to moderate volatilities, VIX tracks speculative grade credit spreads.
Credit Spreads
1000
800
600
400
200
0
VIX vs Credit Spreads since 2003
1/10/03 1/10/04 1/10/05 1/10/06 1/10/07
Sources: Standard and Poor’s and CBOE
S&P Speculative Grade Credit Spread
S&P Investment Grade Credit Spread
VIX
16
40
35
30
25
20
15
10
5
0
VIX

7. Contact Information
John Angelos D Dangelos@cboe.com
CBOE®, Chicago Board Options Exchange®, CFE®, CBOE Volatility Index® and VIX® are
registered trademarks of CBOE. CEBO and CEBO Baskets are trademarks or servicemarks of
CBOE. Other names, logos, designs, titles, words or phrases in this publication may constitute
trademarks, service marks, or trade names of Chicago Board Options Exchange, Incorporated or
other entities and which may be registered in certain jurisdictions.
Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a
person must receive a copy of Characteristics and Risks of Standardized Options (ODD). Copies
of the ODD are available from your broker, by calling 1-888-OPTIONS, or from The Options
Clearing Corporation, One North Wacker Drive, Suite 500, Chicago, Illinois 60606 and at
http://www.optionsclearing.com/. This manual has been developed by CBOE to serve as a guide
to all users of Credit Event Binary Options. The requirements explained here are based on
publication date rules and regulations, and therefore, subject to change. This manual should be
used as a reference document and is not intended to be an all-encompassing restatement of
CBOE rules. No statement within this manual should be construed as a recommendation to buy
or sell a security or to provide investment advice.
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