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The CBOE Volatility Index® (VIX®) is a key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices. Since its introduction in 1993, VIX has been considered by many to be the world's premier barometer of investor sentiment and market volatility.
According to the CFE, "Futures on VIX, CBOE's trademark Market Volatility Index®, provide a pure play on implied volatility independent of the direction and level of stock prices. VIX futures may also provide an effective way to hedge equity returns, to diversify portfolios, and to spread implied against realized volatility.” Vision feels that the VIX and the VXD are great new product offerings that our clients should discuss with their brokers. These volatility futures only trade on the CFE and clear through the Options Clearing Corporation. Vision is a self-clearing member of both organizations.
The risk of loss in futures and options trading is substantial. Such trading is not suitable for all investors.
Product Specifications
CONTRACT NAME:
CBOE Volatility Index (VIX) Futures
LISTING DATE:
March 26, 2004
DESCRIPTION:
The CBOE Volatility Index is based on real-time prices of options on the S&P 500 Index, listed on the Chicago Board Options Exchange (Symbol: SPX), and is designed to reflect investors' consensus view of future (30-day) expected stock market volatility.
CONTRACT SIZE:
$1000 times the VIX
CONTRACT MONTHS:
The Exchange may list for trading up to six near-term serial months and five months on the February quarterly cycle for the VIX futures contract.
TRADING HOURS:
8:30 a.m. - 3:15 p.m. Central Time (Chicago Time)
TICKER SYMBOLS:
CBOE Volatility Index - VIX
VIX Futures - VX
MINIMUM PRICE INTERVALS/DOLLAR VALUE PER TICK:
0.01 points, equal to $10.00 per contract
Margin Requirements
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.
REPORTABLE POSITION LEVEL:
200 contracts
Minimum Margin Requirements
Futures
CBOE Volatility Index (VIX)
Effective March 15, 2005
Outright
|
Initial |
Maintenance |
| Speculative |
$10,000 |
$10,000 |
| Hedge / TPH Permit |
$10,000 |
$10,000 |
Inter-Commodity Spreads
| Commodity |
ContractRatio |
Spread Credit Rate
(Initial / Maintenance) |
CBOE Volatility Index (VX)
vs.
CBOE Russell 2000 Volatility Index (VR) |
1:1 |
70% / 70% |
CBOE Volatility Index (VX)
vs.
CBOE Nasdaq-100 Volatility Index (VN) |
1:1 |
70% / 70% |
CBOE Volatility Index (VX)
vs.
CBOE DJIA Volatility Index (DV) |
1:1 |
70% / 70% |
Inter-Exchange Spreads
None at this time
Information from the CBOE Futures Exchange
Further information about the CBOE Futures Exchange and its products can be found here.
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