MWCBs for Cboe Futures Exchange
Read frequently asked questions about market-wide circuit breakers for Cboe Futures Exchange.
How will Cboe Futures Exchange halt and re-open futures and related options on futures for a Level 1 or Level 2 MWCB?
The following table describes which Cboe Futures Exchange (CFE) products are subject to MWCB halts and the expected queuing and re-opening times for each product.
Note IBHY and IBIG futures will start queuing when the associated HYG or LQD ETP resumes trading on the primary listing exchange. A delay in the resumption of either ETP on the primary listing exchange will result in a delay in the queueing time and re-opening time for associated IBHY or IBIG futures.
Product Subject to MWCB Queueing Time Re-Opening Time VIX Futures, including VX, VXT, and Weekly VX Futures Yes MWCB + 5 minutes MWCB time + 10 minutes Cboe S&P 500 Variance Futures (VA) Yes MWCB + 5 minutes MWCB time + 10 minutes Options on VIX Futures (UX) Yes Immediately MWCB time + 10 minutes Cboe® iBoxx® iShares® Bond Index Futures (IBHY and IBIG) Yes MWCB + 15 minutes MWCB time + 16 minutes Options on IBIG and IBHY Futures (IBYO and IBGO) Yes Immediately When underlying future re-opens for trading Cboe® iBoxx $ Emerging Market Bond Index Futures (IEMD) Yes MWCB + 10 minutes MWCB time + 15 minutes Cboe FTSE Bitcoin Index Futures (XBTF) No N/A N/A Financially-settled Margin Futures on Bitcoin (FBT) and Ether (FET) No N/A N/A Cboe MAG-10 Futures (MGTN) Yes MWCB + 10 minutes MWCB time + 15 minutes Cboe Continuous Futures on Bitcoin (PBT) and Ether (PET) No N/A N/A How will CFE handle new orders, modifications, and cancels during a MWCB halt?
During the MWCB halt period, new orders and modifications to existing orders will not be accepted until the queuing period begins. Cancel order messages will be accepted at any time.
How will CFE handle a Level 3 MWCB trigger?
CFE will halt all CFE products subject to MWCB for the remainder of the trading day in the event of a Level 3 MWCB trigger.
CFE expects to re-open for ETH trading at the normally scheduled time for the next business date. For example, if a Level 3 MWCB is triggered on Tuesday, then CFE expects to open ETH trading on CFE at 5:00 p.m. CT on Tuesday evening with trading occurring for the Wednesday business date.
CFE retains the ability to halt or suspend trading in any CFE contract pursuant to any other CFE rule or policy other than the MWCB trading halt provisions at any time.
How will CFE handle daily settlement prices if a Level 3 MWCB trigger occurs?
For CFE futures products subject to MWCB, CFE expects to determine daily settlement prices by using the average of the bid and the offer from the last best two-sided market which simultaneously includes both a pending bid with a non-zero value and a pending offer with a non-zero value in the applicable contract during the business day prior to the early close of trading. If a two-sided market includes either no bid or no offer, the bid or offer is considered to have a zero value and that two-sided market would not be used for this purpose.
For CFE options on futures products subject to MWCB, CFE expects to determine daily settlement prices by using the theoretical option price for the applicable options on futures contract. Underlying price information in the theoretical price calculation will be as of the time of the unscheduled early close of trading since the underlying futures products will not be trading on that trading day after that time. Other inputs in the theoretical price calculation such as interest rate information may have updates to it following that time up until 3:00 p.m. CT which would be reflected in the calculation, and the time to expiration input in the calculation would be as of 3:00 p.m. CT consistent with the time with respect to which the daily settlement prices for options on futures are calculated each trading day. CFE also retains the ability to establish a different daily settlement price that it deems to be a fair and reasonable reflection of the market if CFE determines in its sole discretion that the daily settlement price determined by the parameters described above is not a fair and reasonable reflection of the market.
How does CFE anticipate that final settlement values and exercise settlement values will be handled in the event of a MWCB Level 3 trigger?
This will depend upon the applicable product and the facts and circumstances, including factors such as whether the MWCB halt occurs on a final settlement date and whether the product has a.m. or p.m. settlement. For example, VX and VXM futures have a.m. settlement and would not be impacted if an MWCB Level 3 halt occurs on the final settlement date of VX and VXM futures contracts and the final settlement value is determined before the MWCB Level 3 halt. The contract specifications and rule chapter for each CFE product include information about how a final settlement value or exercise settlement value is determined for that product if the value is not available or the normal settlement procedure cannot be utilized due to a trading disruption or other unusual circumstance.