Contract Specifications

Summary Product Specifications Chart for Cboe Bitcoin (USD) Futures

Contract Name:
Cboe Bitcoin (USD) Futures

Listing Date:
December 10, 2017

Description:
Cboe Bitcoin (USD) futures are cash-settled futures contracts that are based on the Gemini auction price for bitcoin in U.S. dollars.

Contract Multiplier:
The contract multiplier for the XBT futures contract is 1 bitcoin.

Ticker Symbol:
Futures Symbol - XBT
Final Settlement Value Symbol – XBTS

Contract Expirations:
The Exchange may list for trading up to four near-term expiration weeks ("weekly" contracts), three near-term serial months ("serial" contracts), and three months on the March quarterly cycle ("quarterly" contracts).

Trading Hours:

Type of Trading Hours Monday-Friday
Extended 5:00 p.m. (previous day) to 8:30 a.m.
Regular 8:30 a.m. to 3:15 p.m.
Extended 3:30 p.m. to 4:00 p.m.

The trading hours for an expiring XBT futures contract end at 2:45 p.m. on its final settlement date.

Market Orders for XBT futures contracts will not be accepted. Any Market Orders for XBT futures contracts received by the Exchange will be automatically rejected or canceled back to the sender. Stop Limit Orders are permitted during regular and extended trading hours for the XBT futures contract.

All times referenced are Chicago time.

Trading Platform:
CFE System

Minimum Price Intervals:
5.00 points USD/XBT (equal to $5.00 per contract). The individual legs and net prices of spreads in XBT futures may be in increments of 0.01 points USD/XBT (equal to $0.01 per contract).

Pricing Conventions:
Prices are stated in decimal format.

Trade at Settlement Transactions:
Trade at Settlement ("TAS") transactions are not permitted in XBT futures.

Crossing:
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 CFE System.

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

For any ECRP transaction in which the related position is bitcoin, the related position portion of the transaction must be consummated through the facilities of Gemini.

The minimum price increment for an ECRP transaction involving the XBT futures contract is 0.005 points USD/XBT.

Block Trades:
Block Trades are permitted in XBT futures.

The minimum Block Trade quantity for the XBT futures contract is 50 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, each leg must meet the minimum Block Trade quantity for the XBT futures contract. Any Block Trade must satisfy the requirements of CFE Rule 415.

The minimum price increment for a Block Trade in the XBT futures contract is 0.005 points USD/XBT.

No-Bust Range:
The CFE error trade policy may only be invoked for a trade price that is greater than 5% on either side of the market price of the applicable XBT 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 XBT futures contracts end at 2:45 p.m. Chicago time on the final settlement date.

Final Settlement Date:
The final settlement date for "weekly" XBT futures is two business days prior to the Friday of the week denoted by the ticker symbol. The final settlement date for "serial" and "quarterly" XBT futures is two business days prior to the third Friday of the month denoted by the ticker symbol. These final settlement dates apply regardless of whether one of the above-referenced Fridays is a CFE holiday.

If the final settlement date is a CFE holiday, the final settlement date shall be the business day immediately preceding the holiday.

Final Settlement Value:
The final settlement value of an expiring XBT futures contract shall be the official auction price for bitcoin in U.S. dollars determined at 4:00 p.m. Eastern Time on the final settlement date by the Gemini Exchange (the "Gemini Exchange Auction"). If the Gemini Exchange Auction price is not within Gemini's parameters for a Gemini Exchange Auction price, the final settlement value is otherwise not available, or the normal settlement procedure cannot be utilized due to a trading disruption or other unusual circumstance, the process detailed in the Contingencies section below will be utilized.

The final settlement value will be rounded to the nearest $0.01.

Delivery:
Settlement of XBT 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 XBT futures contract.

Position Limits:
A person: (i) may not own or control more than 5,000 contracts net long or net short in all XBT futures contract expirations combined and (ii) may not own or control more than 1,000 contracts net long or net short in the expiring XBT futures contract, commencing at the start of trading hours 5 business days prior to the final settlement date of the expiring XBT futures contract.

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.

Reportable Position Level:
5 contracts.

Price Limits:

(i) XBT futures contracts are subject to price limits during regular and extended trading hours pursuant to CFE Rule 1302(i).

Price Limits.  Pursuant to Rule 413, XBT futures are subject to the following price limits during regular and extended trading hours to the extent set forth below:

  • (A)  Each single leg XBT futures Contract shall have price limits that are at 10% intervals above the XBT Reference Price for that XBT futures Contract (each an “Upper Price Limit”) and price limits that are at 10% intervals below the XBT Reference Price for that XBT futures Contract (each a “Lower Price Limit”). An Upper Price Limit and a Lower Price Limit may also be referred to as a “Price Limit.”
  • (B)  Price Limits shall be in effect during the following time frames on a Business Day:
    • (1)  For any single leg XBT futures Contract for which the most recent daily settlement price was established on the calendar day of the start of that Business Day, the price limit provisions of this Rule 1302(i)(i):
      • (aa)  shall be applicable during any opening process for that XBT futures Contract on that Business Day, and
      • (bb)  shall be applicable during the remainder of the Business Day,
      • (cc)  subject to Rule 1302(i)(i)(B)(3) below.
    • (2)  For any single leg XBT futures Contract for which the most recent daily settlement price was established on an earlier calendar day than the calendar day of the start of that Business Day and for any newly listed single leg XBT futures Contract, the price limit provisions of this Rule 1302(i)(i):
      • (aa)  shall not be applicable on that Business Day until the XBT Reference Price for that XBT futures Contract has been established by or following the initial opening process on that Business Day, and
      • (bb)  shall be applicable during the remainder of that Business Day,
      • (cc)  subject to Rule 1302(i)(i)(B)(3) below.
    • (3)  In the event that there is a previously designated suspension period within a holiday trading session on that Business Day, the price limit provisions of this Rule 1302(i)(i):
      • (aa)  shall not be applicable for any single leg XBT futures contract following the commencement of the previously designated suspension period until the XBT Reference Price for that XBT futures Contract has been established by or following the initial opening process after that suspension period, and
      • (bb)  shall then be applicable during the remainder of that Business Day.
  • (C)  The following describes the process for the adjustment of Price Limit levels during the time frames in which Price Limits are in effect on a Business Day:
    • (1)  If during Trading Hours outside of an opening process the best bid for a single leg XBT futures Contract is at the initial 10% Upper Price Limit or the best offer for a single leg XBT futures contract is at the initial 10% Lower Price Limit, the Trade Desk will retain the Price Limit at that Price Limit level for a minimum of two additional minutes.
    • (2)  The Trade Desk may then adjust the applicable Price Limit to the next 10% Upper Price Limit level in the case of this occurrence with an Upper Price Limit and may then adjust the applicable Price Limit to the next 10% Lower Price Limit level in the case of this occurrence with a Lower Price Limit.
    • (3)  If during Trading Hours outside of an opening process the best bid for a single leg XBT futures contract is then at the next 10% Upper Price Limit or the best offer for a single leg XBT futures Contract is then at the next 10% Lower Price Limit, the Trade Desk will retain the Price Limit at that Price Limit level for a minimum of five additional minutes.
    • (4)  The process described in Rule 1302(i)(i)(C)(2) and (3) will then continue for the remainder of the applicable Business Day.
  • (D)  When Price Limits are in effect during a Business Day:
    • (1)  The CFE System will reject or cancel back to the sender any Limit Order to buy with a limit price that is above the Upper Price Limit and any Limit Order to sell with a limit price that is below the Lower Price Limit.
    • (2)  The CFE System will not consummate the execution of any trade that is at a price that is more than the Upper Price Limit or that is less than the Lower Price Limit.
    • (3)   Upon the triggering of a Stop Limit Order, the CFE System will cancel the Stop Limit Order back to the sender if it is a Stop Limit Order to buy that is triggered to a limit price which is above the Upper Price Limit or is a Stop Limit Order to sell that is triggered to a limit price which is below the Lower Price Limit.
  • (E)  Price Limits will also apply to XBT Spread Orders in that each leg of an XBT Spread Order will be subject to the applicable Upper Price Limit and Lower Price Limit for that individual leg and may not be executed at a price that is more than the Upper Price Limit for that single leg XBT futures Contract or less than the Lower Price Limit for that single leg XBT futures Contract.
  • (F)  The XBT Reference Price for each single leg XBT futures Contract on a Business Day shall be determined in the following manner:
    • (1)  For any single leg XBT futures Contract for which the most recent daily settlement price was established on the calendar day of the start of that Business Day, the XBT Reference Price will be daily settlement price of that XBT futures Contract on the prior Business Day (subject to Rule 1302(i)(i)(F)(3) below).
    • (2)  For any single leg XBT futures Contract for which the most recent daily settlement price was established on an earlier calendar day than the calendar day of the start of that Business Day, the XBT Reference Price will be the first trade price of that XBT futures Contract established by or following the initial opening process on that Business Day (subject to Rule 1302(i)(i)(F)(3) below).
    • (3)  If a Business Day includes a previously designated suspension period within a holiday trading session on that Business Day, the XBT Reference Price following the designated suspension period will be the first trade price of that XBT futures Contract established by or following the initial opening process after that suspension period.
    • (4)  The first trade price of a single leg XBT futures Contract established by or following an opening process may be established by a trade between two single leg Orders, by a trade between a single leg Order and the leg of a Spread Order or by the leg print of a trade between two Spread Orders.
  • (G)  The XBT Reference Price for a single leg XBT futures Contract shall be determined in the following manner when it is initially listed for trading:
    • (1)  The XBT Reference Price that will be utilized for a single leg XBT futures Contract when it is initially listed for trading will be the XBT Reference Price of the single leg XBT futures Contract with the nearest expiration date in calendar days to the expiration date of the newly listed XBT futures Contract (subject to Rule 1302(i)(i)(G)(3) below).
    • (2)  If there is a single leg XBT futures Contract with an earlier expiration date and a single leg XBT futures Contract with a later expiration date that each meet the above criterion, the XBT Reference Price for the XBT futures Contract with the earlier expiration date will be utilized (subject to Rule 1302(i)(i)(G)(3) below).
    • (3)  If the most recent daily settlement prices for previously listed XBT futures Contracts were established on an earlier calendar day than the calendar day of the initial listing of the applicable single leg XBT futures Contract, the initial XBT Reference Price for that XBT futures Contract will be the first trade price of that XBT futures Contract established by or following the initial opening process for that XBT futures Contract.
  • (H)  In calculating a Price Limit, the calculation will be rounded to the nearest minimum increment in the XBT futures Contract, with the midpoint between two consecutive increments rounded up.
  • (I)  Notwithstanding any provisions of this Rule 1302(i)(i), the Trade Desk may, in its absolute and sole discretion, take any action it determines necessary to protect market integrity. For avoidance of doubt, this authority includes, but is not limited to, modifying or eliminating the Price Limit parameters in this Rule 1302(i)(i) at any time. Among others, one type of situation in which the Trade Desk may determine to modify or eliminate Price Limit parameters in this Rule 1302(i)(i) is during the last 15 minutes of trading on a Business Day. The senior person in charge of the Trade Desk may exercise the authority of the Trade Desk under Rule 1302(i)(i)(C) and this Rule 1302(i)(i)(I). The Trade Desk will promptly issue an alert with respect to actions taken pursuant to Rule 1302(i)(i)(C) or this Rule 1302(i)(i)(I).

(ii)        Consideration of Halts on the Gemini Exchange.  The Exchange shall take into consideration any trading halt in bitcoin in U.S. dollars traded on the Gemini Exchange in determining whether or not to halt trading in XBT futures under Rule 418(a)(x).

Contingencies:
If the final settlement value is not available or the normal settlement procedures cannot be utilized due to a trading disruption or other unusual circumstance, the final settlement value will be determined in accordance with the By-Laws and Rules of The Options Clearing Corporation ("OCC").

In that event, OCC would coordinate with CFE and CFE would coordinate with Gemini regarding the final settlement price. Under Article XII, Section 5(c)(2) of the OCC By-laws, OCC would fix the final settlement price based on its judgment of what is appropriate for the protection of investors and the public interest, taking into account such factors as fairness to buyers and sellers, the maintenance of a fair and orderly market, consistency of interpretation and practice, and consistency with actions taken in related futures or other markets. Without limiting the generality of the foregoing, OCC may fix the final settlement price using: (i) the reported price or value for the relevant underlying interest at the close of regular trading hours on the last preceding trading day for which such a price or value was reported; (ii) the reported price or value for the relevant underlying interest at the opening of regular trading hours on the next trading day for which such an opening price or value is reported; or (iii) a price or value for the relevant underlying interest at such other time, or representing a combination of average prices or values at such time or times, as OCC deems appropriate. The alternatives that OCC could consider using in this circumstance could include, among others:

  1. Using the Winklevoss Blended Bitcoin Index value at 4:00 p.m. Eastern time on the final settlement date.
  2. Using the bitcoin price on the Gemini Exchange continuous order book at 4:00 p.m. Eastern time on the final settlement date.
  3. Using a volume weighted average price ("VWAP") or time weighted average price ("TWAP") of bitcoin trade prices on the Gemini Exchange on the final settlement date.
  4. Using the following day Gemini Exchange Auction price as the final settlement value.

The form of bitcoin on which the XBT futures and their final settlement values will be based is the form of bitcoin in U.S. dollars traded on the Gemini Exchange. If the Gemini Exchange were to offer trading in multiple forms of bitcoin in U.S. dollars, CFE would designate the form of bitcoin traded on the Gemini Exchange on which XBT futures and their final settlement values would be based for all then currently listed XBT futures contracts and subsequent XBT futures contract listings.

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