Realized volatility is a statistical measure of the variability of price returns relative to an average (mean) price return.Three-month realized volatility of the S&P 500 Index is the square root of three-month realized variance, which is calculated with a standardized formula that uses continuously compounded daily S&P 500 returns for a three-month period assuming a mean daily price return of zero, and is annualized assuming 252 business days per year.
"CBOE continues to define the volatility space by developing cutting-edge products to measure and trade volatility.We are pleased to further expand our suite of product offerings with the introduction of the CBOE S&P 500 Three-Month Realized Volatility options," said CBOE Chairman and CEO William J. Brodsky."RUH options will offer investors flexibility in trading and managing volatility risk by providing a convenient and accessible way to capture the differences between realized and implied volatilities through a listed product."
CBOE's RUH options will trade on the March expiration cycle, with introductory expirations in March 2009, June 2009 and September 2009. Strike price intervals for RUH options will be in one-point increments. The Designated Primary Market Maker (DPM) in RUH options will be Group One Trading, LLC.
The launch of RUH options expands CBOE's suite of volatility products.CBOE currently publishes data on 12 different Volatility-related benchmarks and strategies, including: the CBOE Volatility Index (VIX), which is based on the S&P 500 Index; CBOE DJIA Volatility Index (VXD); CBOE Nasdaq-100 Volatility Index (VXN); CBOE Russell-2000 Volatility Index (RVX); CBOE S&P 100 Volatility Index (VXO); CBOE S&P 500 3-Month Volatility Index (VXV); CBOE VIX Premium Strategy Index (VPD); CBOE Capped VIX Premium Strategy Index (VPN); and the CBOE S&P 500 VARB-X Strategy Benchmark (VTY).In addition, earlier this summer CBOE launched a trio of new volatility benchmarks that expanded the Exchange's volatility franchise into new asset classes, including exchange traded-funds (ETFs) that directly hold commodities - the CBOE Crude Oil Volatility Index (OVX), CBOE Gold Volatility Index (GVZ) and CBOE EuroCurrency Volatility Index (EVZ).
For a complete overview of the CBOE S&P 500 Three-Month Realized Volatility options, including methodology and contract specifications, visit www.cboe.com/RUH.
CBOE, the largest options marketplace in the U.S. and the creator of listed options, is regulated by the Securities and Exchange Commission (SEC).For additional information about the CBOE and its products, access the CBOE website at: www.cboe.com.
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CBOE S&P 500 Three-Month Realized Volatility Options Product Specifications |
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Underlying |
Three-Month Realized Volatility of the S&P 500 Index (RUH). |
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Strike Price Intervals |
Minimum of one-point increments. |
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Strike (Exercise) Prices |
In-, at- and out-of-the-money strike prices are initially listed.New series generally will be added as the underlying index moves up or down and upon request. |
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Expiration Date |
Generally the third Friday of the expiring month. |
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Expiration Months |
Generally, up to four contract months on the March quarterly cycle.(March, June, September and December) |
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Last Trading Day |
The close of trading on the day prior to the Expiration Date of each month. |
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Exercise Style |
European style - may be exercised only on the Expiration Date. |
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Settlement of Option Exercise |
The exercise settlement value for CBOE S&P 500 Three-Month Realized Volatility options is 100 times the three-month realized volatility of the S&P 500 Index, which is calculated using a standardized formula that uses continuously compounded daily returns for a three-month time period assuming a mean daily price of zero return. |
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Margin |
Purchases of puts or calls with 9 months or less until expiration must be paid for in full.Uncovered writers of puts and calls must deposit/maintain 100% of the options proceeds plus 15% of the aggregate contract value (current index level multiplied by $100) minus the amount by which the option is out-of-the-money, if any, plus 10% of the aggregate contract value and a minimum for puts of option proceeds plus 10% of the aggregate exercise price amount. |
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Trading Hours |
8:30 a.m. - 3:15 p.m. (Chicago time) |
