CBOE RUSSELL 2000 VOLATILITY INDEX (RVX) OPTIONS
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 Price Intervals:
Minimum strike price intervals of not less than $1.00 for options and LEAPs are permissible, subject to certain conditions. (See Cboe Rule 24.9, Interpretations and Policies .01 for more complete information) Otherwise, strike price intervals for options and LEAPs 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.
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).
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.
Exercise Style: 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:
50,000 contracts on either side of the market, and no more than 30,000 contracts in the nearest expiration month.
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). Cboe Russell 2000 Volatility Index options will not open until the RUT opening rotation is completed.