VIX futures...

Discussion in 'Financial Futures' started by xtraderx, Dec 28, 2003.

  1. xtraderx


    to roll out Q1 2004, anyone talking or see oppurtunity other than the usual ramblings, ala SSF's...
  2. Seems to me like it might open up some interesting possibilities with options.
  3. ktm


    It keeps getting pushed back. Those of us who deal in options very heavily, especially index opts/futs opts are really chomping at the bit to get these things rolling.
  4. I was initially looking forward to the opportunity to hedge my vega with VIX, but I'm certain the vol-skew will be radically diminished by the VIX futs, lowering my edge.

  5. Xenia


    CBOE Futures Exchange To Begin Trading On March 26, 2004;

    Futures On VIX Will Be Initial Product Offering

    CHICAGO, January 27, 2004 - The Chicago Board Options Exchange (CBOE) today announced that the CBOE Futures Exchange, LLC (CFE) will begin trading on Friday, March 26, 2004, pending final regulatory approval. The first product to be traded on CFE will be futures on the CBOE Volatility Index (VIX). CFE received formal approval as a designated contract market from the Commodity Futures Trading Commission (CFTC) in August 2003.

    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 More information on the new calculation, historical values, charts, and comparisons can be found at and