VIX Futures set to roll 3/26

Discussion in 'Financial Futures' started by ktm, Jan 28, 2004.

  1. ktm


    CFE is set to go. Highlights from the link below of the new futures contract:

    "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."
  2. ktm


    Personally, I'm a bit disappointed by the $100 per point size. $500 would have been better. No word on margins yet, but I certainly hope it's low for $100 per point. I also read that the "reportable position" is set at 25 contracts. I see that getting raised, else we will have a LOT of reporting.
  3. Personally I see low liquidity for that
    product ahead. Eurex once had such a product, they delisted it due to nearly zero trading.
  4. ktm


    The margin required will be key. I think liquidity will be very good. I know a lot of people who have been waiting for this and I'd be very surprised if it isn't pretty liquid.
  5. vega


    If nothing else this product should produce some internal trading at the CBOE. For example MMs that are long vol and unable to sell it out due to lack of trading may use the VIX future to hedge their long vol position. I know I've said it before, but it still cracks me up that now you'll be able to get long vol by selling premium (i.e selling puts on the VIX -- long delta and collecting theta !!) There are tons of opportunities to use this product -- and even more ways will be invented to manipulate it !!!

  6. Xenia


    On March 19, the CBOE Futures Exchange, LLC (CFE) announced that it plans to open for trading on Friday, March 26, 2004, pending final regulatory approval. CFE will begin trading futures contracts on the CBOE Volatility Index (VIX), offering an all-electronic, open access market model, with traders providing liquidity and making markets.

    Susquehanna Investment Group was named the Designated Primary Market Maker (DPM) for VIX Futures, while Timber Hill, LLC and Knight Financial Products, LLC were also approved to serve as DPMs on the CFE.

    "In keeping with our tradition of innovation and product development, CBOE is extremely proud to introduce the CFE and this new line of products based on volatility and variance. Futures on VIX will provide a powerful new risk management tool for money managers as well as new trading opportunities for investors," said CBOE Chairman and CEO William J. Brodsky. "CFE is opening the door to the future of risk management and a new financial landscape."

    VIX futures, ticker symbol VX, are based on the CBOE Volatility Index, which was first introduced in 1993 and quickly became the benchmark index of market sentiment. Derived from real-time S&P 500 Index option prices, VIX is designed to reflect investors' consensus view of expected stock market volatility over the next 30 days.

    Some market analysts consider VIX the "investor fear gauge" since during periods of financial stress, which are often accompanied by market declines, investors buy portfolio protection in the form of index options. A low VIX reading can be the result of a lack of demand for such insurance, thus indicating investor confidence or complacency.

    CFE received approval as a designated contract market from the Commodity Futures Trading Commission (CFTC) in August 2003, clearing the way for CFE to offer this new class of asset and a straightforward means to trade volatility.

    CFE, a wholly owned subsidiary of Chicago Board Options Exchange, Incorporated, is a new, all-electronic exchange, using CBOEdirect as the trading platform. CFE trades will be cleared by the triple-A rated Options Clearing Corporation (OCC).

    More information on CFE and VIX futures, including historical values and charts, can be found at or

    - CBOE Volatility Index (VIX) Futures ticker symbol: VX

    - Trading hours: 8:30 a.m. to 3:15 p.m. CST (Chicago Time)

    - Underlying value: ten times the index value, disseminated by CBOE, through OPRA, under the symbol "VXB," and through the CFE under the symbol "VBI"

    - Contract size: $100 times VXB. For example, with a VIX value of 16.50, the VXB would be 165 and the contract size would be $16,500

    - Minimum tick size: 10 cents. Therefore, minimum value change will be in $10 intervals

    - Contract months: initially, May, June, August and November. Thereafter, two near-term and two additional months on the February quarterly cycle

    - Last trading date: usually the Tuesday prior to the third Friday of the month

    - Settlement date: usually the Wednesday prior to the third Friday of the month

    - VIX Futures are settled in cash
  7. ktm


    Is anyone trading this today?

    I can get the VXB quotes on IB, but not the VX. Can anyone else see the tradeable VX contract through IB?
  8. bebe


    Try VBI
  9. huge spreads on the first. not totally unexpected, but awefully big still.
  10. ktm


    VBI works, thanks. 3.5 points in prem for the May contract? That's huge.
    #10     Mar 26, 2004