Gtpter 32: Structured Products 
MULTIPLE EXPIRATION DATES 
613 
In some cases, more than one expiration date is involved when the structured prod­
uct is issued. These products are very similar to the simple ones first discussed in this 
chapter. However, rather than maturing on a specific date, the final index value -
which is used to determine the final cash value of the structured product - is the 
average of the underlying index price on two or three different dates. 
For example, one such listed product was issued in 1996 and used the S&P 500 
index ($SPX) as the underlying index. The strike price was the price of $SPX on the 
day of issuance, as usual. However, there were three maturity dates: one each in April 
2001, August 2002, and December 2003. The final index value used to determine the 
cash settlement value was specified as the average of the $SPX closings on the three 
maturity dates. 
In effect, this structured product was really the sum of three separate struc­
tured products, each maturing on a different date. Hence, the values of the imbed­
ded calls could each be calculated separately, using the methods presented earlier. 
Then those three values could be averaged to determine the overall value of the 
imbedded call in this structured product. 
OPTION STRATEGIES INVOLVING STRUCTURED PRODUCTS 
Since the structured products described previously are similar to well-known option 
strategies (long call, bull spread, etc.), it is possible to use listed options in conjunc­
tion with the structured products to produce other strategies. These strategies are 
actually quite simple and would follow the same lines as adjustment strategies dis­
cussed in the earlier chapters of this book. 
Example: Assume that an investor purchased 15,000 shares of a structured product 
some time ago. It is essentially a call option on the S&P 500 index ($SPX). The prod­
uct was issued at a price of 10, and that is the guarantee price as well. The striking 
price is 700, which is where $SPX was trading at the time. However, now $SPX is 
trading at 1,200, well above the striking price. The cash value of the product is: 
)ox (1,2001100) = 11.14 
Furthermore, assume that there are still two years remaining until maturity of 
the structured product, and the investor is getting a little nervous about the market. 
He is thinking of selling or hedging his holding in the structured product. However, 
the structured product itself is trading at 16.50, a discount of 64 cents from its theo-