CBOE Mini-VIX Futures
CONTRACT NAME: |
CBOE Mini-VIX Futures |
LISTING DATE: |
March 2, 2009 |
DESCRIPTION: |
The CBOE Volatility Index (VIX) is based on real-time S&P 500 Index (SPX) option prices, listed on the Chicago Board Options Exchange ("CBOE"), and is designed to reflect investors' consensus view of future (30-day) expected market volatility of the S&P 500 Index.
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Contract Size: |
VIX times $100 |
TRADING HOURS: |
8:30 a.m. - 3:15 p.m. Central Standard Time (Chicago Time). |
TRADING PLATFORM: |
CBOEdirect |
CONTRACT MONTHS: |
Up to three near-term serial months may be listed for the Mini-VIX futures contract.
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TICKER SYMBOL: |
Futures - VM
Cash Index - VIX
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PRICING CONVENTIONS: |
Both futures prices and Cash Index levels stated in decimal format. |
MINIMUM PRICE INTERVALS: |
0.05 of one CBOE Volatility Index point (equal to $5.00 per contract).
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DOLLAR VALUE PER TICK: |
$5.00 per contract |
TERMINATION OF TRADING: |
The close of trading on the day before the Final Settlement Date. When the last trading day is moved because of a CFE holiday, the last trading day for expiring Mini-VIX futures contracts will be the day immediately preceding the last regularly scheduled trading day.
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FINAL SETTLEMENT DATE: |
Thirty days prior to the expiration of the nearby SPX options with at least 8 days left to expiration. This date is generally the Wednesday that is thirty days prior to the third Friday of the calendar month immediately following the month in which the Mini-VIX contract expires. If the third Friday of the month subsequent to expiration of the applicable Mini-VIX futures contract is a CBOE holiday, the Final Settlement Date for the contract shall be thirty days prior to the CBOE business day immediately preceding that Friday. |
FINAL SETTLEMENT PRICE: |
The final settlement price for Mini-VIX futures shall be a Special Opening Quotation ("SOQ") of VIX calculated from the sequence of opening prices - as reported by CBOE - of the options used to calculate the index on the settlement date. The opening price for any series in which there is no trade shall be the average of that option's bid price and ask price - as reported by CBOE - at the opening of trading. The final settlement value will be rounded to the nearest $0.01. If the final settlement value is not available or the normal settlement procedure cannot be utilized due to a trading disruption or other unusual circumstance, the final settlement value will be determined in accordance with the rules and bylaws of The Options Clearing Corporation.
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DELIVERY: |
Settlement of Mini-VIX futures contracts will result in the delivery of a cash settlement amount on the business day immediately following the settlement date. The cash settlement amount on the final settlement date shall be the final mark to market amount against the final settlement price of the Mini-VIX futures multiplied by $100.00. |
BLOCK TRADES: |
Not permitted.
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POSITION ACCOUNTABILITY: |
CFE Rule 1402 (d) -Mini VIX futures are subject to position accountability under Rule 412A. A person is subject to the position accountability requirements set forth in Rule 412A if the person (i) owns or controls at any time more than the number of contracts net long or net short in all VIX futures and Mini VIX futures contract months and in all Weekly Options on VIX Futures expirations combined that in the aggregate would exceed the equivalent of 25,000 VIX futures contracts or (ii) the person owns or controls more than the number of contracts net long or net short in the expiring VIX futures and Mini VIX futures contract months and all Weekly Options on expiring VIX futures combined that in the aggregate would exceed the equivalent of 15,000 VIX futures contracts, commencing on the Friday prior to the final settlement date of the expiring VIX futures. Under this Rule, one Weekly Option on VIX Futures shall be deemed to be equivalent to one (1.0) VIX futures contract and one Mini VIX futures contract shall be deemed to be equivalent to one-tenth (0.10) of one VIX futures contract.
For the purposes of this rule, the positions of all accounts directly or indirectly owned or controlled by a person or persons, and the positions of all accounts of a person or persons acting pursuant to an expressed or implied agreement or understanding shall be cumulated
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REPORTABLE POSITION LEVEL: |
200 or more contracts. |
UNDERLYING CASH INDEX INFORMATION: |
VIX is calculated in real-time by the Chicago Board Options Exchange (CBOE) and is disseminated every 15 seconds through the Options Price Reporting Authority (OPRA) from 8:30 a.m. to 3:15 p.m. (Chicago time) during each trading day.
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