CBOE Russell 2000 Volatility Index Futures

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The CBOE Russell 2000 Volatility Index (RVX) futures contract was re-launched on November 18, 2013, after having originally launched on July 6, 2007 and later been de-listed. It is one of seven futures listed on the CBOE Futures Exchange (CFE) based on “variance” and on “volatility". The RVX is based on real-time prices of options on the Russell 2000 Index, listed on Chicago Board Options Exchange, (Symbol: RUT), and is designed to reflect investors’ consensus view of future (30-day) expected market volatility of the Russell 2000 Index. [1]

Small Cap Splash: Russell’s Pat Fay talks about CBOE’s latest volatility contract

The CBOE Volatility Index futures, or VIX, has been THE most successful futures contract in recent years. With the VIX posting record volumes this year, the exchange and Russell Indexes say now is the time to launch the Russell 2000 Volatility Index futures or RVX. John Lothian News sat down with Russell Investment’s Pat Fay to talk about RVX and its potential, especially versus other indexes like VIX and the European volatility index VSTOXX. Fay says the appetite for a small cap stock volatility futures is strong, especially among money managers looking to incorporate volatility hedges into their portfolios. "Clients are asking for volatility products," Fay says. "Folks have taken the opportunity to educate themselves on it, develop strategies, it's become very popular."[2] Published November 18, 2013. Read more

Contract Specifications

CONTRACT SIZE RVX times $1,000
TRADING HOURS 8:30 a.m. - 3:15 p.m. Central Standard Time (Chicago time).
TRADING PLATFORM CBOECommand
CONTRACT MONTHS Up to six near-term serial months and five months in the February quarterly cycle (February, May, August, November) may be listed for the RVX futures contract.
TICKER SYMBOLS VR, RVX
PRICING CONVENTIONS Both futures prices and cash index levels are stated in decimal format.
MINIMUM PRICE INTERVALS 0.05 of one CBOE Russell 2000 Volatility Index point (equal to $50.00 per contract).

The individual legs and net prices of spread trades in the RVX futures contract may be in increments of 0.01 CBOE Russell 2000 Volatility Index points, which has a value of $10.00.

DOLLAR VALUE PER TICK $50.00 per contract
TERMINATION OF TRADING The close of trading on the day before the Final Settlement Date. When the last trading day is moved because of a CFE holiday, the last trading day for expiring RVX futures contracts will be the day immediately preceding the last regularly scheduled trading day.
FINAL SETTLEMENT DATE The Wednesday that is 30 days prior to the third Friday of the calendar month immediately following the month in which the contract expires ("Final Settlement Date"). If the third Friday of the month subsequent to expiration of the applicable VIX futures contract is a CBOE holiday, the Final Settlement Date for the contract shall be 30 days prior to the CBOE business day immediately preceding that Friday.
FINAL SETTLEMENT PRICE The final settlement price for the CBOE Russell 2000 Volatility Index (RVX) futures shall be a Special Opening Quotation (SOQ) of RVX calculated from the sequence of CBOE opening prices of the options used to calculate the index on the settlement date. The opening price for any series in which there is no trade shall be the average of that option's bid price and ask price as determined at the opening of trading. The final settlement price will be rounded to the nearest $0.01.
DELIVERY Settlement of CBOE Russell 2000 Volatility Index (RVX) futures contracts will result in the delivery of a cash settlement amount on the business day immediately following the settlement date. The cash settlement amount on the final settlement date shall be the final mark to market amount against the final settlement price of the RVX futures multiplied by $1,000.
POSITION ACCOUNTABILITY 5,000 contracts
MINIMUM REPORTABLE LEVEL 25 or more contracts
UNDERLYING CASH INDEX INFORMATION RVX is calculated in real-time by the Chicago Board Options Exchange (CBOE) and is disseminated every 15 seconds through the Options Price Reporting Authority (OPRA) from 8:30 a.m. to 3:15 p.m. (Chicago time) during each trading day.

References

  1. CBOE Russell 2000 Volatility Index (RVX) Futures. CBOE Futures Exchange.
  2. Small Cap Splash: Russell’s Pat Fay talks about CBOE’s latest volatility contract. John Lothian News.