CBOE VOLATILITY INDEX® (VIX®) OPTIONS
Symbol:
VIX
Underlying:
The CBOE Volatility Index - more commonly referred to as "VIX" - is an up-to-the-minute market estimate of expected volatility that is calculated by using real-time S&P 500® Index (SPX) option bid/ask quotes. VIX uses nearby and second nearby options with at least 8 days left to expiration and then weights them to yield a constant, 30-day measure of the expected volatility of the S&P 500 Index.
Multiplier:
$100.
Strike Price Intervals:
Minimum strike price intervals of not less than $1.00 are permissible, subject to certain conditions. (See CBOE Rule 24.9, Interpretations and Policies .01 for more complete information) Otherwise, strike price intervals shall not be less than $2.50.
Strike (Exercise) Prices:
In-, at- and out-of-the-money strike prices are initially listed. New strikes can be added as the index moves up or down.
Premium Quotation:
Stated in points and fractions, one point equals $100. Minimum tick for series trading below $3 is 0.05 ($5.00); above $3 is 0.10 ($10.00).
Expiration Date:
The Wednesday that is thirty days prior to the third Friday of the calendar month immediately following the expiring month.
Expiration Months:
Generally, up to three near-term months plus up to three additional months on the February quarterly cycle.
Exercise Style:
European - CBOE Volatility Index options generally may be exercised only on the Expiration Date.
Last Trading Day:
The Tuesday prior to the Expiration Date of each month.
Settlement of Option Exercise:
The exercise-settlement value for VIX options (Ticker: VRO) 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. Exercise will result in delivery of cash on the business day following expiration. The exercise-settlement amount is equal to the difference between the exercise-settlement value and the exercise price of the option, multiplied by $100.
Position and Exercise Limits:
No position and exercise limits are in effect. Each member (other than a market-maker) or member organization that maintains an end of day position in excess of 100,000 contracts in VIX for its proprietary account or for the account of a customer, shall report certain information to the Department of Market Regulation. The member must report information as to whether such position is hedged and, if so, a description of the hedge employed. A report must be filed when an account initially meets the aforementioned applicable threshold. Thereafter, a report must be filed for each incremental increase of 25,000 contracts. Reductions in an option position do not need to be reported. However, any significant change to the hedge must be reported.
Margin:
Purchases of puts or calls with 9 months or less until expiration must be paid for in full. Writers of uncovered puts or calls must deposit / maintain 100% of the option proceeds* plus 15% of the aggregate contract value (current index level x $100) minus the amount by which the option is out-of-the-money, if any, subject to a minimum for calls of option proceeds* plus 10% of the aggregate contract value and a minimum for puts of option proceeds* plus 10% of the aggregate exercise price amount. (*For calculating maintenance margin, use option current market value instead of option proceeds.) Additional margin may be required pursuant to Exchange Rule 12.10.
CUSIP:
12497K
Trading Hours:
8:30 a.m. to 3:15 p.m. Central Time (Chicago time). CBOE Volatility Index options will not open until the SPX opening rotation is completed.