Contract Specifications for CBOE Russell 2000 Volatility Index (RVX)
The CBOE Russell 2000 Volatility Index, more commonly referred to as "RVX," is an up-to-the-minute market estimate of expected volatility that is calculated by using real-time Russell 2000 Index (RUT) option bid/ask quotes. RVX uses nearby and second nearby options listed on CBOE 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 Russell 2000 Index. RVX is quoted in absolute numbers that represent the volatility in percentage points per annum.
Strike (Exercise) Prices:
Minimum strike price intervals of not less than $1 are permissible where the strike price is $200 or less and $5 or greater where the strike price is greater than $200.
Stated in points and decimals, one point equals $100. Minimum tick for series trading below $3 is 0.05 ($5.00); above $3 is 0.10 ($10.00).
The Wednesday that is thirty days prior to the third Friday of the calendar month immediately following the month in which the option expires. If the third Friday of the month subsequent to the expiration of the CBOE Russell 2000 Volatility Index option is a CBOE holiday, the Expiration date for the option shall be thirty days prior to the CBOE business day immediately preceding that Friday.
Generally, up to three near-term months plus up to three additional months on the February quarterly cycle.
European - CBOE Russell 2000 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. When the Expiration Date is moved because of a CBOE holiday, the Last Trading Day will be the day immediately preceding the Expiration Date.
Settlement of Option Exercise:
The exercise-settlement value for RVX options (Ticker: RSL) shall be a Special Opening Quotation (SOQ) of RVX calculated from the sequence of opening prices of the Russell 2000 options listed on CBOE 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 RVX 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 e.g. stock portfolio current market value, other stock index option positions, stock index futures positions, options on stock index futures; and for customer accounts, provide the account name, account number and tax ID or social security number. Thereafter, if the position is maintained at or above the reporting threshold, a subsequent report is required on Monday following expiration and when any change to the hedge results in the position being either unhedged or only partially hedged. Reductions below these thresholds do not need to be reported.
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.
8:30 a.m. to 3:15 p.m. Central Time (Chicago time).
Options involve risk and are not suitable for all investors. Prior to buying or selling options, a person must receive a copy of Characteristics and Risks of Standardized Options (ODD). Copies of the ODD are available from your broker, by calling 1-888-OPTIONS, or from The Options Clearing Corporation, One North Wacker Drive, Suite 500, Chicago, Illinois 60606. The information in these materials is provided solely for general education and information purposes and therefore should not be considered complete, precise, or current. Many of the matters discussed are subject to detailed rules, regulations, and statutory provisions which should be referred to for additional detail and are subject to changes that may not be reflected in these materials. No statement within these materials should be construed as a recommendation to buy or sell a security or to provide investment advice. Any strategies discussed, including examples, do not include commissions, dividends, margin, taxes, and other transaction costs. However, these costs will affect the outcome of transactions and should be considered. S&P 100 and S&P 500 are registered trademarks of the McGraw-Hill Companies, Inc., and are licensed for use by the Chicago Board Options Exchange, Inc. (CBOE). The "Russell 2000 Index is a registered trademark of Frank Russell Company. The Nasdaq 100 is a registered mark of The Nasdaq Stock Market, Inc. "Dow JonesSM", Dow Jones Industrial AverageSM", "Dow Jones Transportation AverageSM," and "Dow Jones Utility AverageSM" are service marks of Dow Jones & Company, Inc. and have been licensed for certain purposes by the CBOE. LEAPS, FLEX, FLexible EXchange, CBOE, Chicago Board Options Exchange and OEX are registered trademarks of CBOE, and Long-term Equity AnticiPation SecuritiesTM and SPXTM are trademarks of the CBOE.
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