CFE To Implement "Trade At Settlement" Transactions For CBOE Volatility Index (VIX) Futures

CBOE Futures Exchange, LLC (CFE) announced today that CFE will accept "Trade at Settlement" (TAS) transactions in the CBOE Volatility Index (VIX) futures contract beginning on Friday, November 4.  
 
TAS transactions in VIX futures may be transacted on CFE's trading system as spread transactions, as block trades and as Exchange of Contract for Related Position transactions.  Market participants will be able to enter VIX futures orders in a TAS order book during the trading day at a price equal to that day's VIX futures settlement price, or at a specified differential above or below the daily settlement price, e.g., two minimum price increments higher or lower than the daily settlement price.  Completed TAS transactions are confirmed during the trading session, and the final price of the transaction is confirmed when the daily settlement price is established. 
 
TAS transactions are aimed at helping traders even out end-of-day price exposure in VIX futures. For example, issuers of exchange traded notes (ETNs) and exchange traded funds (ETFs) linked to VIX futures frequently hedge near the end of the VIX futures trading session to align ETN and ETF daily redemption values with VIX futures settlement prices. With TAS transactions, users can hedge VIX futures throughout the trading day and receive greater price certainty relative to the daily settlement price.
 
Nine consecutive VIX futures trading months will be eligible for TAS transactions, beginning with the November 2011 contract. For more Information, see Information Circular CFE IC11-063 at http://cfe.cboe.com/aboutcfe/infocirc.aspx.  CFE's implementation of TAS transactions remains subject to regulatory approval.
 
CFE currently offers five different contracts:  CBOE Volatility Index (VIX) futures, Mini VIX (VM) futures, CBOE Gold ETF Volatility Index futures (GVZ), CBOE S&P 500 3-Month Variance futures (VT) and Weekly Options on Mini VIX futures (VOW).