EFTA01353497.pdf

realizing profit or loss on a delayed start option before its exercise price has been set, or on a European-style or capped option when the option is not exercisable, is by selling the option in a dosing transaction. The first full paragraph through the sixth paragraph on page 14 of the Booklet are replaced with the following: AT THE MONEY This term means that the cur- rent market value of the underlying interest is the same as the exercise price of the option. A range option, which is of a single type rather than being categorized as a call or a put, is said to be at the money if the current level of the underlying index is at the top or bottom of the range length. IN THE MONEY — A call option Is said to be in the money it the current market value of the underlying inter- est is above the exercise price of the option. A put option is said to be in the money if the current market value of the underlying interest is below the exercise price of the option. A range option, which is of a single type rather than being categorized as a call or a put, is said to be in the money if the current level of the underlying index falls within its range length. EXAMPLE: If the current market price of XYZ stock is S43, an XYZ 40 call would be in the money by $3. EXAMPLE: Assume a series of XYZ range options has a maximum cash settlement amount of $1,000, a low range from 1000 to 1010, a middle range from 1010 to 1090 and a high range from 1090 to 1100. If the current level of XYZ index is 1003, the option would be in the money by $300. If the current level of XYZ index is from 1010 to 1090. the option would be in the money by 51.000. the maximum cash settlement amount. II the current level of XYZ index is 1093, the option would be in the money by $700. OUT OF THE MONEY If the exercise price of a call is above the current market value of the underlying interest. or if the exercise price of a put is below the current market value of the underlying interest, the call or put is said to be out of the money. A range option, which is of single type rather than being categorized as a call or a put. Is said to be out of the money if the current level of the underlying index falls outside of its range length. EXAMPLE: With the current market price of XYZ stock at $40, a call with an exercise price of $45 would be out of the money by $5 — as would a put with an exercise price of $35. 128 CONFIDENTIAL - PURSUANT TOIXESERLYO08/7.889 P. 6(e) CONFIDENTIAL SDNY_GM_00184073 EFTA01353497