Cboe Volatility Index Futures

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Cboe Volatility Index (VIX) Futures, one of 8 futures contracts based on variance and on volatility traded on Cboe Futures Exchange (CFE), was launched for trading on March 26, 2004. [1]

Cboe Volatility Index futures are the most actively traded futures contract on the Cboe Futures Exchange (CFE). Futures on the Cboe's VIX Index were introduced on the (CFE) in 2004, and are the most actively traded futures contract on the exchange. In 2013, trading volume in VIX futures totaled 39.9 million contracts for the year, a fourth straight annual volume record, surpassing the 23.8 million contracts traded in 2012 by 68 percent. Average daily volume in VIX futures for 2013 was 158,508 contracts, also a fourth consecutive annual record, and up 67 percent from 2012.

Contract Specifications[edit]

CONTRACT SIZE $1000 times the VIX
CONTRACT MONTHS The Exchange may list for trading up to nine near-term serial months and five months on the February quarterly cycle for the VIX futures contract.
TRADING HOURS 6 p.m. Sunday to 4:15 p.m. Friday Eastern time. On weekdays, trading will be continuous except for 15 minutes after 4:15 p.m.
MINIMUM PRICE INTERVALS/DOLLAR VALUE PER TICK 0.05 points, equal to $50.00 per contract

The individual legs and net prices of spread trades in the VIX futures contract may be in increments of 0.01 index points, which has a value of $10.00.

CROSSING CFE Rule 1202(h) - Crossing Two Original Orders. The eligible size for an original Order that may be entered for a cross trade with another original Order is one Contract. The request for quote response period for the request for quote required to be sent before the initiation of a cross trade is 5 seconds. Following the request for quote response period, the Trading Privilege Holder or Authorized Trader, as applicable, must expose to the market for at least 5 seconds at least one of the original Orders that it intends to cross.
BLOCK TRADING CFE Rule 1202(k) - Block Trades. The minimum Block Trade quantity for the VIX futures contract is 200 contracts if there is only one leg involved in the trade. If the Block Trade is executed as a spread order, one leg must meet the minimum Block Trade quantity for the VIX futures contract and the other leg(s) must have a contract size that is reasonably related to the leg meeting the minimum Block Trade quantity. If the Block Trade is executed as a transaction with legs in multiple contract months and all legs of the Block Trade are exclusively for the purchase or exclusively for the sale of VIX futures contracts (a "strip"), the minimum Block Trade quantity for the strip is 300 contracts and each leg of the strip is required to have a minimum size of 100 contracts. Any Block Trade must satisfy the requirements of CFE Rule 415.

The minimum price increment for a Block Trade in the VIX futures contract is 0.01 index points.

NO-BUST RANGE CFE Rule 1202(l). The CFE error trade policy may only be invoked for a trade price that is greater than 10% on either side of the market price of the applicable VIX futures contract. In accordance with Policy and Procedure III, the Help Desk will determine what the true market price for the relevant Contract was immediately before the potential error trade occurred. In making that determination, the Help Desk may consider all relevant factors, including the last trade price for such Contract, a better bid or offer price, a more recent price in a different contract month and the prices of related contracts trading in other markets.
TERMINATION OF TRADING The close of trading on the day before the Final Settlement Date. When the last trading day is moved because of a CFE holiday, the last trading day for expiring VIX futures contracts will be the day immediately preceding the last regularly-scheduled trading day.
FINAL SETTLEMENT DATE The Wednesday that is 30 days prior to the third Friday of the calendar month immediately following the month in which the contract expires ("Final Settlement Date"). If the third Friday of the month subsequent to expiration of the applicable VIX futures contract is a CBOE holiday, the Final Settlement Date for the contract shall be 30 days prior to the CBOE business day immediately preceding that Friday.
FINAL SETTLEMENT VALUE The final settlement value for VIX futures shall be 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. The final settlement value will be rounded to the nearest $0.01. If the final settlement value is not available or the normal settlement procedure cannot be utilized due to a trading disruption or other unusual circumstance, the final settlement value will be determined in accordance with the rules and bylaws of The Options Clearing Corporation.
DELIVERY Settlement of VIX futures contracts will result in the delivery of a cash settlement amount on the business day immediately following the Final Settlement Date. The cash settlement amount on the Final Settlement Date shall be the final mark to market amount against the final settlement value of the VIX futures multiplied by $1000.00.
POSITION LIMITS CFE Rule 1202 (d) - A person may not own or control at any time more than 25,000 contracts net long or net short in all VIX futures contract months combined. Commencing on the Friday prior to the final settlement date of the expiring VIX futures contract month, a person may not own or control more than 15,000 contracts net long or net short in the expiring VIX futures contract month.

For the purposes of this rule, the positions of all accounts directly or indirectly owned or controlled by a person or persons, and the positions of all accounts of a person or persons acting pursuant to an expressed or implied agreement or understanding shall be cumulated.

The foregoing position limit shall not apply to bona fide hedge positions meeting the requirements of Commission Regulation §1.3(z)(1) and the rules of the Exchange.



  1. CBOE Volatility Index (VIX) Futures. CBOE Futures Exchange.