Cboe/CBOT 10-Year U.S. Treasury Note Volatility Index (VXTY®) Futures
Cboe/CBOT 10-Year U.S. Treasury Note Volatility Index ("VXTY") futures
November 13, 2014.
The VXTY future is based on real-time mid-quotes of options on 10-Year U.S. Treasury Note futures listed on the Chicago Board of Trade ("CBOT") (Symbol: OZN options), and is designed to reflect investors' consensus view of the expected volatility of CBOT 10-Year U.S. Treasury Note futures over the next 30 calendar days. A mid-quote is the midpoint between the bid and offer for an option series.
The contract multiplier for the VXTY futures contract is $1,000.
7:00 a.m. to 3:15 p.m. Chicago time, except that on the Final Settlement Date the trading hours for expiring VXTY future will terminate at 2:00 p.m. Chicago time. Non-expiring VXTY futures will continue to trade until 3:15 p.m. Chicago time on that date.
The end of day submission cut-off time for all Orders, quotes, cancellations and Order modifications for VXTY futures (other than for the expiring VXTY future on its Final Settlement Date) 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.
The Exchange may list for trading up to twelve contract months for the VXTY future contract.
Both futures prices and cash index levels are stated in decimal format.
Minimum Price Intervals:
0.01 index point for single and multiple leg trades and net prices of spread trades, equal to $10.00 per contract.
Dollar Value Per Tick:
$10.00 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.
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 VXTY futures contracts. Any ECRP transaction must satisfy the requirements of CFE Rule 414.
The minimum price increment for an ECRP transaction involving the VXTY futures contract is 0.01 index points.
Pursuant to Rule 415(a)(i), the minimum Block Trade quantity for the VXTY 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 expirations and all legs of the Block Trade are exclusively for the purchase or exclusively for the sale of VXTY 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 VXTY 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 VXTY futures contract is 0.01 index points.
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 VXTY 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 trading hours for expiring VXTY futures contracts terminate at 2:00 p.m. Chicago time on the Final Settlement Date.
The expiring VXTY future will be put in a closed state at 1:59:59 p.m. Chicago time on its Final Settlement Date. As a result, no Orders, quotes, or Order modifications in the expiring VXTY future will be accepted by the Cboe System at or after 1:59:59 p.m. Chicago time on its Final Settlement Date. The Cboe System will complete the processing of any trades in the expiring VXTY future on its Final Settlement Date that are matched by the Cboe System and that the Cboe System begins to process prior to 1:59:59 p.m. Chicago time. The Cboe System will not process any trades in the expiring VXTY future on its Final Settlement Date that the Cboe System does not match and begin to process prior to 1:59:59 p.m. Chicago time.
Final Settlement Date:
The Wednesday that is thirty days prior to the last Friday of the calendar month immediately following the month in which the VXTY contract expires that precedes the last business day of that month by at least two business days ("Final Settlement Date").
If the Wednesday is a CBOT holiday or if the Friday described above is a CBOT holiday, then the Final Settlement Date shall be the business day immediately preceding the Wednesday.
Final Settlement Value:
The final settlement value for VXTY futures (Ticker: VXTYS) shall be a Special Quotation ("SQ") of TYVIX calculated using the indicative daily settlement prices published by CBOT, as further described below, for the OZN options used to calculate the final settlement value for expiring VXTY futures on their Final Settlement Date.
OZN options expire in the calendar month that precedes their designated contract month (e.g., February OZN options expire in January). For example, a January VXTY futures contract would be calculated using March OZN options and a February VXTY futures contract would be calculated using April OZN options. CBOT publishes indicative daily settlement prices for OZN options at approximately 2:00 p.m. Chicago time ("IDS Prices") and may subsequently update the IDS Prices after 2:00 p.m. Chicago time. The prices for OZN options that will be used to calculate the final settlement value for expiring VXTY futures will be the most current IDS Prices received by Cboe Options Exchange ("Cboe") at the time when Cboe commences the final settlement value calculation process at approximately 3:45 p.m. Chicago time. Cboe could determine to commence this process earlier or as late as 4:20 p.m. Chicago time. These prices are the final and only prices that Cboe will use to calculate the final settlement value for expiring VXTY futures. The final settlement value used to settle expiring VXTY futures will not be adjusted in the event that CBOT updates the IDS Prices for OZN options after Cboe commences the final settlement value calculation process.
The OZN option series used to calculate the final settlement value for expiring VXTY futures shall include:
(i) all at- and out-of-the-money put options beginning with the highest-strike put option with an IDS Price equal to or greater than the minimum tick size for OZN options (1/64th of a point or $15.625) of one (1) tick and ending with the put option with a strike price equal to at-the-money strike K0; and
(ii) all at- and out-of-the-money call options beginning with the call option with a strike price equal to the at-the-money strike K0 and ending with the lowest-strike call option with an IDS Price equal to or greater than the minimum tick size for OZN options (1/64th of a point or $15.625);
provided that the IDS Prices of put series below the lowest strike put and of call series greater than the highest strike call are no greater than one tick.
For example, if the IDS Prices of at- and out-of-the-money OZN options are: 1, 1, 2, 3, 5, 8, 10, 7, 6, 3, 3, 1, 1, 1, the range of strikes would be truncated as 1, 2, 3, 5, 8, 10, 7, 6, 3, 3, 1. If the daily indicative settlement prices of at- and out-of-the-money OZN options are: 1, 1, 2, 1, 2, 3, 5, 8, 10, 7, 6, 3, 3, 1, 1, 2, 1, 1 the range of strikes would be truncated as 1, 2, 1, 2, 3, 5, 8, 10, 7, 6, 3, 3, 1, 1, 2, 1.
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 VXTY 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 VXTY futures contract multiplied by $1,000.00.
A person: (i) may not own or control more than 5,000 contracts net long or net short in all VXTY futures contract expirations combined; and (ii) may not own or control more than 5,000 contracts net long or net short in the expiring VXTY futures contract held during the last 5 trading days for the expiring VXTY futures contract.
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.