Options on Cboe Volatility Index® Futures
Pre-launch Resource Hub
The Pre-launch Resource Hub is designed to provide market participants with information regarding planned Cboe products, including information that may be useful in preparing to trade Cboe products on their day one launch.
If there is other information that you would like to see provided here, please contact us.
What are Options on Cboe Volatility Index Futures?
Options on Cboe Volatility Index Futures (VX Options) is a product that Cboe Futures Exchange, LLC (CFE) plans to offer for trading in the fourth quarter of 2024, subject to regulatory review. VX Options are options on VX futures. VX futures are cash-settled futures on the Cboe Volatility Index (VIX® Index) listed for trading on CFE.
The VIX Index is a financial benchmark designed to be an up-to-the-minute estimate of expected volatility of the S&P 500 Index that is calculated by using real-time prices of S&P 500 Index (SPX®) options listed on Cboe Exchange, Inc. (Cboe Options). Further information regarding the calculation of the VIX Index may be found in the Volatility Index Methodology: Cboe Volatility Index and in the Volatility Index Mathematics Methodology.
VX Options have European-style exercise, are physically settled, and have P.M. settlement. The VX futures contract that underlies a VX Options contract is the front month VX futures contract relative to the expiration date of the VX Options contract.
The symbology for a VX Options contract denotes the expiration date of the VX Options contract and which VX futures contract underlies that VX Options contract.
The exercise of a VX Options contract results in the delivery of one underlying VX futures contract.
CFE may list expirations of VX Options calls and puts on the front month VX futures contract relative to the expiration date of the applicable VX Options contract. The expirations may expire on any weekday or weekdays. The weekday of the expiration of a VX Options contract is specified in the symbology for the contract.
Expanding the Volatility Product Suite with Options on VIX Futures
Options On Cboe Volatility Index® Futures Use Cases
Client:
CTA (Commodity Trading Advisor) FundChallenge:
Accessing optionality for pure volatility positions related to the Cboe Volatility Index® (VIX® Index).Background:
CTAs run managed futures strategies, both systematic and discretionary, but are constrained to using futures-based instruments. This use case looks at a CTA fund that is looking to access optionality in the equity volatility space. Read the full case studyClient:
Market MakerChallenge:
In recent years, SPX options market makers have acted as liquidity providers for daily expiring SPX options. The trading activity in these SPX options reflects the appetite from market participants for more granular expiries within the options landscape, which, in turn, increases the demand from market makers for more granular expires in the VIX® suite of products. Read the full case studyClient:
Volatility Hedge Fund/Systematic Portfolio ManagerChallenge:
Periodically, event driven catalysts provide dislocations in the volatility term structure. Such dislocations can occur with respect to the front end of the term structure, such as if investors overreact to current events, which, in turn, may provide an opportunity to monetize a normalization in forward volatility. In situations in which the fund desires optionality, whether it be because the fund either wishes to lever its position or has a relatively low to moderate level of conviction, the fund currently may be limited to utilizing calendar spreads constructed using Cboe Volatility Index® (VIX®) options. Read the full case studyResources
| Document Name | Date |
|---|---|
| Options on VIX Futures Historical Simulation Data | Oct 11, 2024 |
| Cboe Futures Exchange to Launch Options on Cboe Volatility Index Futures | Oct 11, 2024 |
| Options on Cboe Volatility Index® Futures FAQ | Aug 27, 2024 |
| Contract Specifications | Sep 26, 2024 |
| Enhancing the VIX® Ecosystem with Options on Cboe Volatility Index® Futures | Sep 13, 2024 |
| Cboe Futures Exchange Risk Management Specification | Jul 18, 2023 |
| Quote Vendor Symbols | Oct 11, 2024 |
| Options on VIX Futures Fact Sheet | Oct 18, 2024 |
Cboe Futures Exchange (CFE®) Rules
The CFE Rulebook includes rules that govern trading on CFE. The Policies and Procedures section contains policies and procedures that supplement the rules in the CFE Rulebook. These documents will be updated to include rules relating to VX futures upon the launch of the product.
Contact Us
| Global Sales | CFE Market Data | CFE Trade Desk |
|---|---|---|
|
Natalie Reed Director of Global Derivatives Sales [email protected] |
Market Data Services [email protected] 212-378-8821 |
CFE Trade Desk [email protected] 312-786-8700 |
Disclaimers:
This information is a high-level overview of what is currently contemplated. The
information included is subject to change and to more detailed provisions that would be
put in place in connection with the planned launch of Options on Cboe Volatility
Index Futures (VX Options). Additionally, the planned launch of VX Options remains
subject to regulatory review.
There are important risks associated with transacting in any of the Cboe Company products or any digital assets discussed here. Before engaging in any transactions in those products or digital assets, it is important for market participants to carefully review the disclosures and disclaimers contained at: https://www.cboe.com/us_disclaimers.
These products and digital assets are complex and are suitable only for sophisticated market participants. In certain jurisdictions, including the United Kingdom, Cboe Digital products are only permitted for investment professionals, certified sophisticated investors, or high net worth corporations and associations.
These products involve the risk of loss, which can be substantial and, depending on the type of product, can exceed the amount of money deposited in establishing the position.
Market participants should put at risk only funds that they can afford to lose without affecting their lifestyle.
Hypothetical scenarios are provided for illustrative purposes only. The actual performance of financial products can differ significantly from the performance of a hypothetical scenario due to execution timing, market disruptions, lack of liquidity, brokerage expenses, transaction costs, tax consequences, and other considerations that may not be applicable to the hypothetical scenario.
S&P, S&P 500, US500, 500, THE 500, SPDR, SPX, and DSPX are trade names or trademarks of S&P Dow Jones Indices, LLC, or its affiliates ("S&P"). Any products that have an S&P index as their underlying interest are not sponsored, endorsed, sold, or promoted by S&P and S&P makes no representation regarding the advisability of investing in any investment product that is based on any such indices.
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