S&P 500 9% Buffered Accelerated Index October Series

The S&P 500^® Accelerated 9% Buffered Index October Series combines a long position in a zero-strike call option with four PM-settled S&P 500 (SPX) option positions of a one-year term, i.e., a long at-the-money (ATM) call option, a long ATM put option, a short out-of-the-money (OTM) put option and a short OTM call option. The option positions are initiated once a year on the last business day of September and are held to maturity. The variable OTM call option offsets the net cost of the remaining option positions. The index measures the performance of a strategy that offers 9% downside protection and leveraged upside participation up to a variable level on an annual basis. The index calculation uses theoretically priced options in order to achieve the desired payoff.