Options on Small Cap Index | B3
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Small Cap Index

Options on Small Cap Index

  • The Small Cap Index (SMLL B3) aims to be the indicator of the average performance of the prices of the assets in a portfolio composed of companies with smaller market capitalization. It consists of shares and units exclusively from companies listed on B3, excluding BDRs and assets of companies undergoing judicial or extrajudicial recovery, under special temporary administration, intervention, or assets traded under any other special listing situation.

    The Small Cap Index (SMLL B3) is composed of shares selected based on liquidity criteria and weighted by the market value of the free float, thus reflecting the variations of the assets throughout its validity. The index was constructed to be used as a performance benchmark for the market, investors, and portfolio managers.

    Options on the Small Cap Index are derivative instruments created to mitigate market price risks for institutions with assets/liabilities referenced to this index, in order to offer a protection mechanism to the market against possible losses. Additionally, they serve to create speculative strategies regarding price trajectory and to increase the exposure and potential return of an investor, as the initial capital invested to buy an option is relatively small.

  • UnderlyingSmall Cap Index
    TickerSMLL
    Option styleEuropean
    Contract sizeSmall Cap multiplied by the index point value in Brazilian Reals, each point BRL0.10
    QuotationOption premium, expressed in Small Cap index points.
    Tick size0.10 Index point
    Round-lot1 contract
    Last trading dayLast trading day preceding the expiration date.
    Expiration dateClosest Wednesday to the 15th calendar day of the contract month. If this day is a holiday or a non-trading day at B3, the last trading day will be on the following business day.
    Contract monthsAll months
    Option exerciseOn the expiration date, the option exercise is performed automatically by B3, according to the following conditions:
    Call option (call):
    a) If the result of the difference between the settlement price of the contract object and the exercise price for the principal owner, is positive; and
    b) the principal holder does not register on the trading system its intention not to exercise its call on the expiration date.

    Put option (put):
    a) If the result of the difference between the exercise price and the settlement price of the contract subject to the principal owner, is positive; and
    b) the principal holder does not register on the trading system its intention not to exercise its put on the expiration date.
    • Instrument for hedging strategy against exposure in variable income.
    • Possibility to replicate the behavior of the index without the initial financial outlay.
    • No need for margin deposit for holder positions.
    • After the premium payment, there is no cash flow for the parties regarding daily adjustments.