EFTA Document EFTA01353495

The following paragraphs are inserted following the cany-over paragraph at the top of page 10 of the Booklet: In the case of a binary option, the cash settlement amount is determined by the relevant listing options mar- ket and, whether or not established through use of a multiplier, is fixed and does not vary (except in the case of certain adjustments described below) regardless of the amount by which the exercise settlement value exceeds (in the case of a binary_call option) or is less than (in the case of a binary put option) the exercise price. EXAMPLE: An investor holds a binary call option on XYZ security that has an exercise price of $80 and a fixed cash settlement amount of $100. If the exercise settlement value of XYZ is $81 at expiration, the investor will receive $100. If the exercise settlement value is $90, the investor will still receive $100. It on the other hand, the exercise settlement value of XYZ at expiration is below $80. the investor will receive nothing, and the option will expire worthless. It is very important to note that the conditions under which a binary option returns a cash settlement amount may vary depending upon the rules of the listing options market. Specifically, the listing options market may list binary options that return a cash settlement amount if: (1) the exercise settlement value of the underlying is above the exercise price (a binary call); or (2) the exer- cise settlement value of the underlying is below the exer- cise price (a binary put). In addition, certain binary call options return a cash settlement amount if the exercise settlement value of the underlying is exactly equal to the exercise price. EXAMPLE: Assume XYZ stock is the underlying security for a binary stock option with an exercise price of $80, and the exercise settlement value of XYZ at expira- tion is exactly $80. If the listing options market specified that the option would return a cash settlement amount if the exercise settlement value was above the exercise price, the option will expire unexercised. If. however. the listing options market specified that the option would return a cash settlement amount if the exercise settle- ment value was at or above the exercise price, the option would be automatically exercised at expiration. In the case of a range option, the cash settlement amount varies depending on where the exercise settle- ment value of the underlying index falls within the range length at expiration. At the time a series of range options is opened for trading, the listing options market will spec- ify the range length as well as the range Interval. which is a value equal to a certain number of index points that is 126 CONFIDENTIAL - PURSUANT TOEFEESERMI$08f.887 P. 6(e) CONFIDENTIAL SDNY_GM_00184071 EFTA01353495