VIX Options Product Specifications



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. The VIX Index is calculated using SPX quotes generated during regular trading hours for SPX options. The VIX Index uses SPX options with more than 23 days and less than 37 days to expiration and then weights them 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.

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 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.

Contract Expirations:
Up to six 6 weekly expirations** and up to 12 standard (monthly) expirations in VIX options may be listed. The six weekly expirations 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 VIX options.

** CBOE does not currently list weekly expirations in VIX options. CBOE plans to list weekly expiration in VIX options on Thursday, October 8, 2015.

Exercise Style:
European - VIX 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 option contract will be the day immediately preceding the last regularly scheduled trading day.

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 during regular trading hours for SPX 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.

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. Each Trading Permit Holder (other than a market-maker) or TPH 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 TPH 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.

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 options are eligible for a portfolio margin account. VIX 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 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 options. Additional margin may be required pursuant to Exchange Rule 12.10.


Trading Hours:

Extended: 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).

1 Expiring VIX options do not trade during extended trading hours on their Expiration Date.