CBOE BINARY OPTIONS ON THE CBOE VOLATILITY INDEX® (VIX®)
Cboe Binary Options are contracts that have an "all-or-nothing" payout depending on the settlement price of the underlying broad-based index relative to the strike price of the binary option.
Binary Call Options pay either 1) a fixed cash settlement amount, if the underlying index settles at or above the strike price at expiration; or 2) nothing at all, if the underlying index settles below the strike price at expiration. Binary Put Options pay either 1) a fixed cash settlement amount, if the underlying index settles below the strike price at expiration; or 2) nothing at all, if the underlying index settles at or above the strike price at expiration.
Cboe Volatility Index (VIX)
Strike Price Intervals:
Strike prices may be listed with a minimum interval of 1 point.
Strike (Exercise) Prices:
In-, at- and out-of-the-money strike prices are initially listed. New strikes may be added as the underlying index moves up or down and upon request.
Bids and offers will be expressed in pennies, and will range from 0.00 to 1.00. The total value of VIX Binary Options will be the bid/offer multiplied by the contract multiplier. The minimum tick for VIX Binary Options will be 0.01 points ($1.00).
The Wednesday that is thirty days prior to the third Friday of the calendar month immediately following the expiring month.
Initially, only three (3) consecutive near-term contract months will be listed.
European - VIX Binary Options may be exercised only on the Expiration Date. Writers are subject to assignment only at expiration. Automatic exercise for VIX Binary Call Options occurs if the exercise-settlement value of the Cboe Volatility Index equals or exceeds the VIX Binary Call Options strike price.
Last Trading Day:
The day prior to the Expiration Date of each month.
Settlement of Option Exercise:
The exercise-settlement value for VIX Binary Options will be the same as the exercise-settlement value ("VRO") for Cboe Volatility Index Options. VRO is a Special Opening Quotation (SOQ) of VIX calculated from the sequence of opening prices 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. Exercise will result in delivery of cash on the business day following expiration.
The exercise-settlement amount for VIX Binary Call Options will be 1) $100, if VRO is equal to or greater than the VIX Binary Call Option strike price; or 2) $0, if VRO is less than the VIX Binary Call Option strike price.
The position limit for VIX Binary Options is 1,500,000 contracts on the same side of the market.
Purchases of VIX Binary Options must be paid for in full. Customer margin for uncovered writers is the difference between the fixed cash settlement amount and the proceeds received from the sale of the VIX Binary Option.
8:30 a.m. to 3:15 p.m. Central Time (Chicago time)