Cboe Volatility Index® (VX) Futures
Cboe Volatility Index (VX) Futures
March 26, 2004
The Cboe Volatility Index - more commonly referred to as the "VIX Index" - is an up-to-the-minute market estimate of expected volatility that is calculated by using real-time prices of options on the S&P 500® Index listed on Cboe Exchange, Inc. ("Cboe Options") (Symbol: SPX). Only SPX options with Friday expirations are used to calculate the VIX Index. The VIX Index is calculated between 2:15 a.m. CT and 8:15 a.m. CT and between 8:30 a.m. CT and 3:15 p.m. CT. Only SPX options with more than 23 days and less than 37 days to the Friday SPX expiration are used to calculate the VIX Index. These SPX options are then weighted to yield a constant, 30-day measure of the expected volatility of the S&P 500 Index.
The contract multiplier for each VX futures contract is $1000.
Cash Index - VIX
VX Futures Symbols - VX* and VX01 through VX53**. Embedded numbers denote the specific week of a calendar year during which a contract is settled. For symbology purposes, the first week of a calendar year is the first week of that year with a Wednesday on which a weekly VX futures contract could expire.
*The final settlement value for a contract with the ticker symbol "VX" is calculated using A.M.-settled SPX options.
**The final settlement value for a contract with the ticker symbol "VX" followed by a number denoting the specific week of a calendar year is calculated using P.M.-settled SPX options.
The Exchange may list for trading up to six near-term expiration weeks, nine near-term serial months and five months on the February quarterly cycle for the VX futures contract. VX futures that have a "VX" ticker are not counted as part of the six near-term expiration weeks.
For example, if 4 near-term VX expiration weeks, 3 near-term serial VX months and 1 VX month on the February quarterly cycle were listed as of April 7, 2016, these expirations would have the following ticker symbols:
VX15 (expiring Wednesday, April 13, 2016)
VX (expiring Wednesday, April 20, 2016)
VX17 (expiring Wednesday, April 27, 2016)
VX18 (expiring Wednesday May 4, 2016)
VX19 (expiring Wednesday, May 11, 2016)
VX (expiring Wednesday, May 18, 2016)
VX (expiring Wednesday, June 15, 2016)
VX (expiring Wednesday, July 20, 2016)
Market Orders for VX futures will be accepted by the Exchange during regular trading hours for VX futures following the completion of the opening process for a VX futures contract when that contract is in an open state for trading. Market Orders for VX futures will not be accepted by the Exchange during extended trading hours for VX futures or during any other time period outside of regular trading hours for VX futures. Any Market Orders for VX futures received by the Exchange during a time period in which the Exchange is not accepting Market Orders for VX futures will be automatically rejected or canceled back to the sender. Stop Limit Orders are permitted during regular and extended trading hours for the VX futures contract.
Click here for domestic and international holiday session trading hours.
Minimum Price Intervals/Dollar Value Per Tick:
0.05 points, equal to $50.00 per contract
The individual legs and net prices of spread trades in the VX futures contract may be in increments of 0.01 index points, which has a value of $10.00.
Trade At Settlement Transactions:
Trade at Settlement ("TAS") transactions are permitted in VX futures and may be transacted on the CFE System, as spread transactions, as Block Trades (including as spread transactions) and as Exchange of Contract for Related Position transactions. The trading hours for all types of TAS transactions in VX futures are (i) during extended trading hours, except during the extended trading hours period from 3:30 p.m. Chicago time to 4:00 p.m. Chicago time on a normal Business Day; and (ii) during regular trading hours until two minutes prior to the close of regular trading hours at the end of a Business Day. TAS transactions in an expiring VX futures contract are not permitted during the Business Day of its final settlement date.
The permissible price range for all types of TAS transactions in VX futures is from 0.50 index points below the daily settlement price to 0.50 index points above the daily settlement price.
The permissible minimum increment for a TAS single leg transaction and a TAS spread transaction in VX futures that is not a Block Trade or an Exchange of Contract for Related Position transaction is 0.01 index points.
The permissible minimum increment for a TAS Block Trade (including as a spread transaction but not as a strip) and a TAS Exchange of Contract for Related Position transaction in VX futures is 0.005 index points. Any TAS transaction must satisfy the requirements of CFE Rule 404A.
All TAS orders are required to be Day Orders, Immediate or Cancel Orders, or Fill or Kill Orders. TAS Market Orders, TAS Stop Limit Orders, TAS Good-'til-Canceled Orders, and TAS Good-'til-Date Orders are not permitted. VXT is the ticker symbol for VX TAS transactions.
The VX TAS ticker symbol will map to the VX futures symbol for that expiration week. For example, if 4 near-term VX expiration weeks, 3 near-term serial VX months and 1 VX month on the February quarterly cycle were listed as of April 7, 2016, the TAS symbols would be the following:
CFE Rule 1202(h) - 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.
CFE Rule 1202(m) - 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 CFE System.
Exchange Of Contract For Related Position Transactions:
CFE Rule 1202(j). Exchange of Contract for Related Position (ECRP) transactions may be entered into with respect to VX futures contracts. Any ECRP transaction must satisfy the requirements of CFE Rule 414.
The minimum price increment for an ECRP transaction involving the VX futures contract is 0.005 index points.
CFE Rule 1202(k). The minimum Block Trade quantity for the VX futures contract is 200 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 expirations and all legs of the Block Trade are exclusively for the purchase or exclusively for the sale of VX futures contracts (a "strip"), the minimum Block Trade quantity for the strip is 300 contracts and each leg of the strip is required to have a minimum size of 100 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 200 contracts and the other leg(s) of the spread are each required to have a minimum size of 100 contracts. Any Block Trade must satisfy the requirements of CFE Rule 415.
The minimum price increment for a Block Trade in the VX futures contract is 0.005 index points.
CFE Rule 1202(l). 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 VX 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 expiration and the prices of related contracts trading on the Exchange or other markets.
Termination Of Trading:
Trading hours for expiring VX futures contracts end at 8:00 a.m. Chicago time on the final settlement date.
Final Settlement Date:
The final settlement date for a contract with the "VX" ticker symbol is on the Wednesday that is 30 days prior to the third Friday of the calendar month immediately following the month in which the contract expires. The final settlement date for a futures contract with the "VX" ticker symbol followed by a number denoting the specific week of a calendar year is on the Wednesday of the week specifically denoted in the ticker symbol.
If that Wednesday or the Friday that is 30 days following that Wednesday is a Cboe Options holiday, the final settlement date for the contract shall be on the business day immediately preceding that Wednesday.
Final Settlement Value:
The final settlement value for VX futures shall be a Special Opening Quotation (SOQ) of the VIX Index calculated from the sequence of opening prices for regular trading hours for the SPX 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 as determined at the opening of trading. Click here for Settlement Information for VX futures.
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 Options announces that the opening of trading in the constituent option series is delayed, the amount of time until expiration for the constituent option series used to calculate the final settlement value would be reduced to reflect the actual opening time of the constituent option series. Another example would be when Cboe Options is closed on a Wednesday due to an Exchange holiday, in which case the amount of time until expiration used to calculate the final settlement value would be increased to reflect the extra calendar day between the day that the final settlement value is calculated and the day on which the constituent option series expire.
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. Click here for more information about VX futures settlement.
Settlement of VX 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 value of the VX futures multiplied by $1000.
CFE Rule 1202 (d). VX futures are subject to position accountability under CFE 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 50,000 contracts net long or net short in all VX futures contracts combined, (ii) owns or controls more than 30,000 contracts net long or net short in the expiring VX futures contract, commencing at the start of trading hours for the Friday prior to the final settlement date of the expiring VX futures or (iii) owns or controls more than 10,000 contracts net long or net short in the expiring VX futures contract, commencing at the start of trading hours for the Business Day immediately preceding the final settlement date of the expiring VX futures.
For purposes of this Rule, the start of trading hours for the Friday prior to the final settlement date of expiring VX futures and the start of trading hours for the Business Day immediately preceding the final settlement date of expiring VX futures shall occur upon commencement of the first period of extended trading hours for the trading session for that Business Day. For a more comprehensive overview of the requirements applicable to position accountability for VX futures, including notice requirements, see CFE Regulatory Circular RG14-013.
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 margin requirements for VX futures are available at: http://cfe.cboe.com/margins/CurDoc/Default.aspx.
Reportable Position Level:
VX futures are subject to price limits during extended trading hours pursuant to CFE Rule 1202(i).