CBOE S&P 500 3-month Variance Futures are based on the realized, or historical, variance of the S&P 500 Index. CBOE S&P 500 3-month Variance Futures are quoted in terms of variance points, which are defined as realized variance multiplied by 10,000. One variance point is worth $50. For example, a variance calculation of 0.06335 would have a corresponding price quotation in variance points of 633.50, and a contract size of $31,675.00 (633.50 x $50).

The Final Settlement Value for CBOE S&P 500 3-month Variance Futures is calculated using continuously compounded daily S&P 500 returns over a three-month period, assuming a mean daily price return of zero. A "continuously compounded" daily return (Ri) is calculated from two reference values, an initial value (Pi) and a final value (Pi+1), using the following formula:

R_i = ln(P_i+l/P_i)

Daily returns are accumulated over a three-month period, and then used in a standardized formula to calculate three-month variance. This three-month value is then annualized assuming 252 business days per year:

Where:

N_e = Number of expected S&P 500 values needed to calculate daily returns during the three-month period. The total number of daily returns expected during the three-month period is N_e - 1.

N_a = The actual number of S&P 500 values used to calculate daily returns during the three-month period. Generally, the actual number of S&P 500 values will equal the expected number of S&P 500 values. However, if one or more "market disruption events" occurs during the three-month period, the actual number of S&P 500 values will be less than the expected number of S&P 500 values by an amount equal to the number of market disruption events that occurred during the three-month period. The total number of actual daily returns during the three-month period is N_a - 1.