CBOE VOLATILITY INDEX® (VIX®) OPTIONS CONTRACT SPECIFICATIONS
VIX (Monthly Expirations)
VIXW (Weekly Expirations)
The Cboe Volatility Index - more commonly referred to as the "VIX Index" - 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. Only SPX options with Friday expirations are used to calculate the VIX Index. The VIX Index is calculated between 2:15 a.m. CT and 8:15 a.m. CT and between 8:30 a.m. CT and 3:15 p.m. CT. Only SPX options with more than 23 days and less than 37 days to the Friday SPX expiration are used to calculate the VIX Index. These SPX options are then weighted to yield a constant, 30-day measure of the expected volatility of the S&P 500 Index.
Strike (Exercise) Prices:
Generally, minimum strike price intervals are as follows: (1) $0.50 where the strike price is less than $15, (2) $1 where the strike price is less than $200, and (3) $5 where the strike price is greater than $200.
VIX: 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).
VIXW: Stated in points and fractions, one point equals $100. Minimum tick for all series, regardless of price level, is 0.01 ($1.00).
The Expiration Date (usually a Wednesday) will be identified explicitly in the expiration date of the product. If that Wednesday or the Friday that is 30 days following that Wednesday is an Exchange holiday, the Expiration Date will be on the business day immediately preceding that Wednesday.
Up to six (6) expirations and up to 12 standard (monthly) expirations in VIX options may be listed. The six weekly expirations in VIXW options shall be for the nearest weekly expirations from the actual listing date and standard (monthly) expirations in VIX options are not counted as part of the maximum six weekly expirations permitted for VIXW options.
European - VIX/VIXW options generally may be exercised only on the Expiration Date.
Last Trading Day:
The business day prior to the Expiration Date of each contract expiration. When the Last Trading Day is moved because of a Cboe holiday, the Last Trading Day for an expiring VIX/VIXW option contract will be the day immediately preceding the last regularly scheduled trading day.
Settlement of Option Exercise:
The exercise-settlement value for VIX/VIXW options (Ticker: VRO) shall be a Special Opening Quotation (SOQ) of VIX calculated from the sequence of opening prices for regular trading hours for the SPX 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. Click here for Settlement Information for VIX/VIXW options.
The "time to expiration" used to calculate the SOQ shall account for the actual number of days and minutes until expiration for the constituent option series. For example, if the Exchange announces that the opening of trading in the constituent option series is delayed, the amount of time until expiration for the constituent option series used to calculate the exercise settlement value would be reduced to reflect the actual opening time of the constituent option series. Another example would be when the Exchange is closed on a Wednesday due to an Exchange holiday, the amount of time until expiration used to calculate the exercise settlement value would be increased to reflect the extra calendar day between the day that the exercise settlement value is calculated and the day on which the constituent option series expire.
The exercise-settlement value will be rounded to the nearest $0.01. 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.
Customer Strategy-Based 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 20% of the aggregate contract value (current (spot or cash) index value 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 Rules 12.3(h) and 12.10.
Customer Portfolio Margin:
VIX/VIXW options are eligible for a portfolio margin account. VIX/VIXW options are accommodated in the Broad-Based Index Volatility Indexes Product Group (500), with a 75% offset with the other classes contained in that Product Group. The magnitude of the valuation point range under Cboe Rule 12.4 (Portfolio Margin) for VIX/VIXW options held in a portfolio margin account is +/- 20%. The price of the VIX futures contract with a corresponding expiration will be used to calculate theoretical gains and losses for VIX/VIXW options. Additional margin may be required pursuant to Exchange Rule 12.10.
Global: 2:00 a.m. to 8:15 a.m. Central time (Chicago time). 1
Regular: 8:30 a.m. to 3:15 p.m. Central time (Chicago time).