CBOE Volatility Index (VIX) Futures
CONTRACT NAME:
CBOE Volatility Index (VIX) Futures
LISTING DATE:
March 26, 2004
DESCRIPTION:
The CBOE Volatility Index is based on real-time prices of options on the S&P 500 Index, listed on the Chicago Board Options Exchange (Symbol: SPX), and is designed to reflect investors' consensus view of future (30-day) expected stock market volatility.
CONTRACT SIZE:
$1000 times the VIX
CONTRACT MONTHS:
The Exchange may list for trading up to six near-term serial months and five months on the February quarterly cycle for the VIX futures contract.
TRADING HOURS:
8:30 a.m. - 3:15 p.m. Central Time (Chicago Time)
TRADING PLATFORM:
CBOEdirect
TICKER SYMBOLS:
CBOE Volatility Index - VIX
VIX Futures - VX
*Note: Options Price Reporting Authority (OPRA) will publish VBI data as VXB for OPRA subscribers. Check with your quote vendor.
MINIMUM PRICE INTERVALS/DOLLAR VALUE PER TICK:
0.01 points, equal to $10.00 per contract
CROSSING:
CFE Rule 1202(h) - Crossing Two Original Orders. The eligible size for an original Order that may be entered for a cross trade with another original Order is one Contract. The request for quote response period for the request for quote required to be sent before the initiation of a cross trade is five seconds. Following the request for quote response period, the Trading Privilege Holder or Authorized Trader, as applicable, must expose to the market for at least five seconds at least one of the original Orders that it intends to cross.
BLOCK TRADING:
CFE Rule 1202(k) - Block Trades. The minimum Block Trade quantity for the VIX futures contract is 100 contracts. If the Block Trade is executed as a spread or a combination, one leg must meet the minimum Block Trade quantity for the VIX 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 seller is obligated to call the Help Desk no later than ten minutes after a Block Trade is negotiated, to notify the Exchange of the terms of the trade, including information identifying the relevant contract month, price, quantity, time of execution, counterparty Clearing Member for each Block Trade and, if applicable, the underlying commodity, whether the transaction involved a put or a call and the strike price and any other information that is required to be set forth in the prescribed Block Trade Reporting Form.
NO-BUST RANGE:
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 VIX 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 in 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 VIX 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 VIX 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 value for VIX futures shall be a Special Opening Quotation (SOQ) of VIX calculated from the sequence of opening prices 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 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. Click here for more information about VIX futures settlement.
DELIVERY:
Settlement of VIX 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 VIX futures multiplied by $1000.00.
MARGIN REQUIREMENTS
POSITION ACCOUNTABILITY:
CFE Rule 1202 (d) - VIX futures are subject to position accountability under 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 25,000 contracts net long or net short in all VIX futures contract months combined or (ii) the person owns or controls more than 15,000 contracts net long or net short in the expiring VIX futures contract month commencing on the Friday prior to the final settlement date of the expiring VIX futures contract month.
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.
REPORTABLE POSITION LEVEL:
200 contracts