Cboe Russell 2000® Volatility Index (RVX) Futures
Cboe Russell 2000 Volatility Index (RVX) Futures
November 18, 2013
The RVX is based on real-time prices of options on the Russell 2000 Index, listed on Cboe Options Exchange (“Cboe”) (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 RVX 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 RVX futures, and the time period from 7:30 a.m. Chicago time until the commencement of regular trading hours for the RVX futures contract is considered extended trading hours for the RVX futures contract.
The end of day submission cut-off time for all Orders, quotes, cancellations and Order modifications for RVX futures is 3:14:59 p.m. Chicago time. Any Orders, quotes, cancellations or Order modifications submitted after the end of day submission cut-off time will be automatically rejected by the Exchange.
Market Orders for RVX futures contracts will not be accepted by the Exchange during extended trading hours for the RVX futures contract or during any other time period outside of regular trading hours for the RVX futures contract. Any Market Orders for RVX futures contracts received by the Exchange outside of regular trading hours for the VX futures contract will be automatically rejected. Stop Limit Orders are permitted during regular and extended trading hours for the RVX futures contract.
Up to nine near-term serial months and five months in the February quarterly cycle (February, May, August, November) may be listed for the RVX 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 RVX 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 Cboe System.
Exchange Of Contract For Related Position Transactions:
Exchange of Contract for Related Position (ECRP) transactions may be entered into with respect to RVX futures contracts. Any ECRP transaction must satisfy the requirements of CFE Rule 414.
The minimum price increment for an ECRP transaction involving the RVX futures contract is 0.01 index points.
Pursuant to Rule 415(a)(i), the minimum Block Trade quantity for the RVX 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 RVX 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 order that is not a strip, one leg must meet the minimum Block Trade quantity for the RVX 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.
The minimum price increment for a Block Trade in the RVX 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 RVX 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 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 RVX 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 RVX 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 Value:
The final settlement price for RVX futures (Ticker: RSL) shall be a Special Opening Quotation ("SOQ") of RVX calculated from the sequence of opening prices on 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 on Cboe 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 RVX 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 RVX futures contract multiplied by $1,000.00.
RVX 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 RVX futures contracts combined; and (2) more than 2,500 contracts net long or net short in the expiring RVX futures contract, commencing at the start of trading hours for the Business Day immediately preceding the final settlement date of the expiring RVX 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.