Cboe Russell 2000® Volatility Index (RVX) Futures
Cboe Russell 2000 Volatility Index (VU) Futures
November 18, 2013
The RVX is based on real-time prices of options on the Russell 2000 Index, listed on Cboe Exchange, Inc. ("Cboe Options") (Symbol: RUT), and is designed to reflect investors’ consensus view of future (30-day) expected market volatility of the Russell 2000 Index.
The contract multiplier for the VU futures contract is $1,000.
7:30 a.m. - 3:15 p.m. Chicago time. The time period from 8:30 a.m. Chicago time until 3:15 p.m. Chicago time is considered regular trading hours for VU futures, and the time period from 7:30 a.m. Chicago time until the commencement of regular trading hours for the VU futures contract is considered extended trading hours for the VU futures contract.
Market Orders for VU futures will be accepted by the Exchange during regular trading hours for VU futures following the completion of the opening process for a VU futures contract when that contract is in an open state for trading. Market Order for VU futures will not be accepted during extended trading hours for VU futures or during any other time period outside of regular trading hours for VU futures. Any Market Orders for VU futures received by the Exchange during a time period in which the Exchange is not accepting Market Orders will be automatically rejected or canceled back to the sender. Stop Limit Orders are permitted during regular and extended trading hours for VU futures.
Up to nine near-term serial months and five months in the February quarterly cycle (February, May, August, November) may be listed for the VU futures contract.
Futures - VU
Cash Index - RVX
Both futures prices and cash index levels are stated in decimal format.
Minimum Price Intervals:
0.05 of one Cboe Russell 2000 Volatility Index point (equal to $50.00 per contract).
The individual legs and net prices of spread trades in the VU futures contract may be in increments of 0.01 Cboe Russell 2000 Volatility Index points, which has a value of $10.00.
Dollar Value Per Tick:
$50.00 per contract.
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.
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 CFE System.
Exchange Of Contract For Related Position Transactions:
Exchange of Contract for Related Position (ECRP) transactions may be entered into with respect to VU futures contracts. Any ECRP transaction must satisfy the requirements of CFE Rule 414.
The minimum price increment for an ECRP transaction involving the VU futures contract is 0.01 index points.
Pursuant to Rule 415(a)(i), the minimum Block Trade quantity for the VU futures contract is 100 contracts if there is only one leg involved in the trade. If the Block Trade is executed as a transaction with legs in multiple contract months and all legs of the Block Trade are exclusively for the purchase or exclusively for the sale of VU 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. If the Block Trade is executed as a spread transaction that is not a strip, one leg of the spread is required to have a minimum size of 100 contracts and the other leg(s) of the spread are each required to have a minimum size of 50 contracts.
The minimum price increment for a Block Trade in the VU 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 VU futures contract. In accordance with Policy and Procedure III, the Trade 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 Trade 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 contract month 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 VU futures contracts will be the day immediately preceding the last regularly scheduled trading day.
Final Settlement Date:
The Wednesday that is thirty days prior to the third Friday of the calendar month immediately following the month in which the contract expires ("final settlement date"). If the third Friday of the month subsequent to expiration of the applicable VU futures contract is a Cboe Options holiday, the final settlement date for the contract shall be thirty days prior to the Cboe Options business day immediately preceding that Friday.
Final Settlement Value:
The final settlement price for VU futures (Ticker: RSL) shall be a Special Opening Quotation ("SOQ") of RVX calculated from the sequence of opening prices on Cboe Options 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 on Cboe Options as determined 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.
Settlement of VU 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 VU futures contract multiplied by $1,000.00.
VU futures are subject to position limits under Rule 412.
A person may not own or control: (1) more than 5,000 contracts net long or net short in all VU futures contracts combined; and (2) more than 2,500 contracts net long or net short in the expiring VU futures contract, commencing at the start of trading hours for the Business Day immediately preceding the final settlement date of the expiring VU 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 limits 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.
VU futures are subject to price limits during extended trading hours pursuant to CFE Rule 2102(i).