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Product Specifications

CBOE Short-Term Volatility Index Futures

CONTRACT NAME:

CBOE Short-Term Volatility Index (VXST) futures

LISTING DATE:

February 13, 2014

DESCRIPTION:

The VXST is based on real-time prices of options on the S&P 500 Index that expire every week, listed on the Chicago Board Options Exchange, Incorporated (CBOE), and is designed to reflect investors' consensus view of nine day expected stock market volatility.

CONTRACT SIZE:

The contract multiplier for the VXST futures contract is $1,000.

TRADING HOURS:

8:30 a.m. - 3:15 p.m. Chicago time.

All Orders, quotes, cancellations and Order modifications for VXST futures during trading hours must be received by the Exchange by no later than 3:14:59 p.m. Chicago time and will be automatically rejected if received by the Exchange during trading hours after 3:14:59 p.m. Chicago time.

TRADING PLATFORM:

CBOE Command

CONTRACT EXPIRATIONS:

The Exchange may list for trading up to 12 near-term VXST futures expiration weeks.

TICKER SYMBOLS:

Futures Symbols – VSW1, VSW2, VSW3, VSW4 and VSW5 (embedded numbers denoting weeks of contract month)

Cash Index – VXST

PRICING CONVENTIONS:

Both futures prices and cash index levels are stated in decimal format.

MINIMUM PRICE INTERVALS:

0.05 points, equal to $50.00 per contract

The individual legs and net prices of spread trades in the VIX futures contract may be in increments of 0.01 index points, which has a value of $10.00.

DOLLAR VALUE PER TICK:

$50.00 per contract.

CROSSING TWO OR MORE ORIGINAL ORDERS:

The eligible size for an original Order that may be entered for a cross trade with one or more other original Orders pursuant to Rule 407 is one Contract. The Trading Privilege Holder or Authorized Trader, as applicable, must expose to the market for at least five seconds under Rule 407(a) at least one of the original Orders that it intends to cross.

PRE-EXECUTION DISCUSSIONS:

The Order Exposure Period under Policy and Procedure IV before an Order may be entered to take the other side of another Order with respect to which there has been pre-execution discussions is five seconds after the first Order was entered into the CBOE System.

EXCHANGE OF CONTRACT FOR RELATED POSITION TRANSACTIONS:

Exchange of Contract for Related Position (ECRP) transactions may be entered into with respect to VXST futures contracts. Any ECRP transaction must satisfy the requirements of CFE Rule 414.

The minimum price increment for an ECRP transaction involving the VXST futures contract is 0.01 index points.

BLOCK TRADES:

Pursuant to Rule 415(a)(i), the minimum Block Trade quantity for the VXST futures contract is 100 contracts if there is only one leg involved in the trade. If the Block Trade is executed as a spread order, one leg must meet the minimum Block Trade quantity for the VXST futures contract and the other leg(s) must have a contract size that is reasonably related to the leg meeting the minimum Block Trade quantity. If the Block Trade is executed as a transaction with legs in multiple expirations and all legs of the Block Trade are exclusively for the purchase or exclusively for the sale of VXST futures contracts (a "strip"), the minimum Block Trade quantity for the strip is 150 contracts and each leg of the strip is required to have a minimum size of 50 contracts.

The minimum price increment for a Block Trade in the VXST futures contract is 0.01 index points.

NO BUST RANGE:

Pursuant to Rule 416, the CFE error trade policy may only be invoked for a trade price that is greater than 10% on either side of the market price of the applicable VXST futures contract. In accordance with Policy and Procedure III, the Help Desk will determine what the true market price for the relevant Contract was immediately before the potential error trade occurred. In making that determination, the Help Desk may consider all relevant factors, including the last trade price for such Contract, a better bid or offer price, a more recent price in a different expiration and the prices of related contracts trading on the Exchange and other markets.

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 VXST futures contracts will be the day immediately preceding the last regularly scheduled trading day.

FINAL SETTLEMENT DATE:

The final settlement date for a VXST futures contract is on the Wednesday of the week of the month denoted in the ticker symbol of the contract ("Final Settlement Date"). If the Wednesday is a CBOE holiday or if the Friday in the business week following the Wednesday (i.e., nine days away) is a CBOE holiday, then the Final Settlement Date shall be the business day immediately preceding the Wednesday.

FINAL SETTLEMENT VALUE:

The final settlement value for VXST futures (Ticker: SVRO) shall be a Special Opening Quotation ("SOQ") of VXST calculated from the sequence of opening prices on CBOE of the options used to calculate the index on the Final 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 on CBOE as determined at the opening of trading. The "time to expiration" used to calculate the SOQ shall account for the actual number of days and minutes until expiration for the constituent option series. For example, if CBOE announces that the opening of trading in the constituent option series is delayed on CBOE, the amount of time until expiration for the constituent option series used to calculate the final settlement value of a VXST futures contract would be reduced to reflect the actual opening time of the constituent option series. Another example would be when CBOE is closed on a Wednesday due to a CBOE holiday, the amount of time until expiration for the constituent option series used to calculate the final settlement value of a VXST futures contract would be increased to reflect the extra day of trading in the constituent option series.

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.

DELIVERY:

Settlement of VXST futures contracts will result in the delivery of a cash settlement amount on the business day immediately following the Final 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 VXST futures contract multiplied by $1,000.00.

POSITION LIMITS:

VXST futures are subject to position limits under Rule 412.

A person: (1) may not own or control more than 5,000 contracts net long or net short in all VXST futures contract expirations combined; and (2) may not own or control more than 5,000 contracts net long or net short in the expiring VXST futures contract, commencing at the start of trading hours for the Business Day immediately preceding the final settlement date of the expiring VXST 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.

The foregoing position limit shall not apply to positions that are subject to a position limit exemption meeting the requirements of Commission Regulations and CFE Rules.

MINIMUM REPORTABLE LEVEL:

200 or more contracts.