CBOE NASDAQ Volatility Index

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The CBOE Nasdaq-100 Volatility Index (VXN) futures contract - one of nine futures contracts based on “variance” and on “volatility” - listed on the CBOE Futures Exchange (CFE), was first launched in 2007 and re-launched in 2012. It is based on real-time NASDAQ-100 Index (NDX) option prices, and is designed to reflect investors' consensus view of future (30-day) expected market volatility of the NASDAQ-100 Index.

Contract Specifications[edit]

CONTRACT SIZE VXN times $1,000
TRADING HOURS 8:30 a.m. - 3:15 p.m. Central Standard Time (Chicago time).
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 VXN futures contract.
PRICING CONVENTIONS Both futures prices and Cash Index levels stated in decimal format.
MINIMUM PRICE INTERVALS 0.01 of one CBOE Nasdaq-100 Volatility Index point (equal to $10.00 per contract).
DOLLAR VALUE PER TICK $10.00 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 VIX 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 Nasdaq-100 Volatility Index (VXN) futures shall be a Special Opening Quotation (SOQ) of VXN 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 Nasdaq-100 Volatility Index (VXN) 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 VXN futures multiplied by $1,000.
MINIMUM REPORTABLE LEVEL 25 or more contracts
UNDERLYING CASH INDEX INFORMATION VXN 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.