The document replaces paragraphs 12 through 14 under the section 'Special Risks of Index Options' in the Booklet with new content. It discusses the complexities and risks associated with strategies involving variability index options, strategy-based index options, and relative performance index options. It emphasizes the need for investors to understand the calculation methods of these indexes and the potential discrepancies between predicted and actual volatility. It also addresses the settlement process for exercises based on erroneous index levels.
documents/vol00010-efta01353527-pdf.pdf
{"document_date":"December 2009","document_type":"legal","document_subtype":"Supplement to Booklet","key_organizations":["OCC"],"reference_numbers":["SDNY_GM_00184126","EFTA01353527"]}