Cboe Global Markets

VA-S&P 500 Variance Futures

S&P 500 Variance futures are exchange-traded futures contracts based on the realized variance of the S&P 500 Composite Stock Price Index (S&P 500). The final settlement value for the contract will be determined based on a standardized formula for calculating the realized variance of the S&P 500 measured from the time of initial listing until expiration of the contract. The standard formula inputs for discount factor and daily interest rate are determined by the Exchange.