CFE is a wholly owned subsidiary of the Chicago Board Options Exchange and will operate as an all-electronic exchange using CBOEdirect as the trading platform. The CBOEdirect system currently serves as the trade engine for securities futures trading on OneChicago and is the foundation for CBOE's Hybrid Trading System. CFE's market structure will be an open access model. Initially, Trading Privilege Holder permits will be made available to CBOE members and other eligible parties. The Options Clearing Corporation (OCC) will clear all CFE trades.
"For years, investors have recognized VIX as the benchmark for gauging market sentiment. And through the CBOE Futures Exchange, investors, for the first time, will have the opportunity to trade on this information," said William J. Brodsky, Chairman and CEO, Chicago Board Options Exchange. "Futures on VIX, combined with electronic trading on CBOEdirect and a broad group of market participants providing liquidity for CFE, will create an innovative, first-of-its-kind product."
VIX futures will be the first in a new family of volatility products to be offered by CBOE and CFE. Options on VIX will also soon be available, pending regulatory approval, and will be traded at CBOE.
VIX futures will trade from 8:30 a.m. to 3:15 p.m. (CST) under the ticker symbol VX. The underlying value for VIX futures will be ten times the index value and will be disseminated by CFE under the symbol "VXB." The contract size will be $100 times VXB; for example, with a VIX value of 16.5, the VXB would be 165 and the contract size would be $16,500. The minimum tick size will be 10 cents and therefore prices will be in $10 intervals. Contract months will consist of two near-term and two on the February quarterly cycle. The last trading date will be the Tuesday prior to the third Friday of the month, while the settlement date will be the Wednesday prior to the third Friday of the month.
The CBOE Volatility Index is based on real-time S&P 500 Index option prices, and is designed to reflect investors' consensus view of future (30-day) expected stock market volatility. CBOE calculates and disseminates the CBOE Volatility Index continuously throughout the trading day under ticker symbol "VIX." VIX quotes can generally be accessed wherever stock or futures quotes are available, and are easily accessed on the CBOE website at: http://www.cboe.com/quotes
More information on the new calculation, historical values, charts, and comparisons can be found at: http://www.cboe.com/VIX and http://www.standardandpoors.com/
