The computer industry returns market liquidates on the first Monday following the third Friday of any given month. Contract liquidation values are determined by rates of return measured from the third Friday of one month to the third Friday of the next month.
The liquidation values for these contracts are determined solely by the dividend adjusted rates of return of Apple Computer, Inc. Common Stock (AAPL, listed on NASDAQ), International Business Machines Corporation Common Stock (IBM, listed on the NYSE) and Microsoft Corporation Common Stock (MSFT, listed on NASDAQ); and the capital gains rate of return on the Standard and Poor's 500 Index. The computer industry stock which holds the highest rate of return as specified below will pay off $1.00 per contract. All other contracts will pay off zero.
CLOSING PRICE SOURCES
The Midwest Edition of the Wall Street Journal will be the official source of closing prices. If one of the companies is de-listed, the last available closing price will be used as the closing price for determining liquidation values. If one of the companies undergoes a stock split during the trading period, the closing price of its stock used to calculate payoffs will be adjusted to take account of this split. Specifically if each existing share is split into M shares, then the closing price used to calculate payoffs will be multiplied by M since this represents the value of one pre-split share in the company. Stock dividends will be treated in the same manner.
For AAPLm, IBMm and MSFTm, we will compute the dividend adjusted rate of return based on closing stock prices of the underlying listed firm between the third Friday in the liquidation month and the third Friday in the previous month. For these purposes, we will use closing prices as reported in the Midwest edition of the Wall Street Journal.
The Dividend Adjusted Rate of Return is calculated as follows: First, we compute the raw return on the underlying stock (the closing price on the third Friday of the liquidation month, minus the closing price from the third Friday of the previous month, plus any dividends on ex-dividend dates). Then, we divide the raw return by the closing stock price from the previous month to arrive at the dividend adjusted rate of return.
For the SP500 contract, we compute the capital gains rate of return by subtracting the closing index value on the third Friday of the previous month from the closing index value on the third Friday of the liquidation month and then divide by the previous month's closing index value.
|Date of Liquidation||Computer Industry Stock With Highest Dividend Adjusted Monthly Return|
|November 2001||MSFT||October 2001||MSFT||September 2001||AAPL||August 2001||IBM||July 2001||MSFT|