DDB - DJIA VIX based on DJX option bid prices; DDA - DJIA VIX based on DJX option ask prices

At settlement, DJIA Volatility Index futures are based on the trade price of the DJX options used to calculate the VXD index on the settlement date ("Constituent Options") established during the ROS opening. If there is no opening price for a Constituent Option, the average of that option's bid price and ask price as determined at the opening of trading is used. On the other hand, the indicative values of the VXD index are based on the mid-point of the bid and offer of the appropriate DJX options series. Inherent in these calculations is the possibility that there may be a substantial disparity between the final settlement value for expiring VXD futures and the reported indicative values. Such a disparity will occur if there are substantial order imbalances significantly weighted on the same side of the market in the Constituent Options that trade during the ROS opening on the settlement date

As a result, investors should be prepared in case a substantial disparity occurs, and should consider closing out the VXD futures position prior to settlement, rolling the VXD futures position into another contract month (see the link for current Roll Market information) or hedging their VXD futures position.

The CFE disseminates two indicative values on a real-time basis four times per minute throughout the trading day (08:30 - 15:15 CT) - a VXD value based largely on the bid prices of the Constituent Options (ticker symbol: DDB) and a VXD value based largely on the offer prices of those options (ticker symbol: DDA). These two values will provide market participants with more information on the possible range of settlement prices that may occur for VXD futures. Market participants should be aware, however, that the final settlement price may be outside of this range.