S&P 500 Accelerated Index Quarterly Series

The S&P 500^® Accelerated Index Quarterly Series combines a long position in a zero-strike call option with two PM-settled S&P 500 (SPX) option positions of a three-month term, i.e., a long at-the-money (ATM) call option and a short on-the-money (OTM) call option. The option positions are initiated on the last business day of each quarter 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 leveraged upside participation up to a variable level on a quarterly basis. The index calculation uses theoretically priced options in order to achieve the desired payoff.