SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-289

Organization: Chicago Mercantile Exchange Inc. ("CME")

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 07/12/23 Filing Description: Delisting of Previously-Listed 

Contract Months of the Nasdaq-100® VolatilitySM Index (VOLQSM) Futures Contract and 

Subsequent Permanent Delisting

SPECIFY FILING TYPE 

Please note only ONE choice allowed per Submission.

Organization Rules and Rule Amendments

Certification § 40.6(a)

Approval § 40.5(a)

Notification § 40.6(d)

Advance Notice of SIDCO Rule Change § 40.10(a)

SIDCO Emergency Rule Change § 40.10(h)

Rule Numbers: 

New Product Please note only ONE product per Submission.

Certification § 40.2(a) 

Certification Security Futures § 41.23(a)

Certification Swap Class § 40.2(d)

Approval § 40.3(a)

Approval Security Futures § 41.23(b)

Novel Derivative Product Notification § 40.12(a)

Swap Submission § 39.5

Product Terms and Conditions (product related Rules and Rule Amendments)

Certification § 40.6(a) 

Certification Made Available to Trade Determination § 40.6(a)

Certification Security Futures § 41.24(a)

Delisting (No Open Interest) § 40.6(a) 

Approval § 40.5(a)

Approval Made Available to Trade Determination § 40.5(a)

Approval Security Futures § 41.24(c)

Approval Amendments to enumerated agricultural products § 40.4(a), § 40.5(a)

“Non-Material Agricultural Rule Change” § 40.4(b)(5)

Notification § 40.6(d)

Official Name(s) of Product(s) Affected: See filing.

Rule Numbers: See filing.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

July 12, 2023

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, DC 20581

Re: CFTC Regulation 40.6(a) Certification. Delisting of Previously-Listed Contract 

Months of the Nasdaq-100® VolatilitySM Index (VOLQSM) Futures Contract and 

Subsequent Permanent Delisting.

CME Submission No. 23-289

Dear Mr. Kirkpatrick:

Pursuant to Commodity Futures Trading Commission (“CFTC” or “Commission”) Regulation 40.6(a), 

Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) is certifying to the Commission the delisting of 

certain previously-listed contract months of the Nasdaq-100® VolatilitySM Index (VOLQSM) Futures contract 

(the “Contract”) as noted in Table 1. below and the subsequent permanent delisting of the Contract on July 

19, 2023 (collectively, the “Rule Amendments”). There is no open interest in delisted contract months of 

the Contract. 

Table 1.

Contract 

Title

Rulebook 

Chapter

CME 

Globex

and

CME 

ClearPort 

Code

Contract Months 

Delisted on 

July 12, 2023

Contract Month 

Remaining 

Available for 

Trading and 

Clearing on 

July 12, 2023

Date of 

Permanent 

Delisting

Nasdaq100®

VolatilitySM

Index 

(VOLQSM) 

Futures

CME 379 VLQ

August 2023

and

September 2023

July 2023 July 19, 2023

The last listed month of the Contract is July 2023. The Contract will be permanently delisted on July 19, 

2023, the date the July 2023 contract shall expire. As a result of the permanent delisting, on July 19, 2023, 

information regarding the Contract will be deleted from the respective product rulebook chapter, related 

position limits in the Position Limit, Position Accountability and Reportable Level Tables located in the 

Interpretations and Special Notices Section of Chapter 5 (“Trading Qualifications and Practices”) of the 

CME Rulebook (the “Table”), the CME Globex non-reviewable ranges located in Rule 588.H. of the CME, 

and the list of block-eligible products located on the CME Group website. The Table is attached under 

separate cover, in blackline format, as Exhibit B.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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The Exchanges reviewed the designated contract market core principles (“Core Principles”) as set forth in 

the Commodity Exchange Act (“Act” or “CEA”) and identified that the following Core Principles may be 

impacted by this initiative as follows:

• Emergency Authority: There is no open interest in the impacted contract months of the 

Contract, and therefore there will be no market disruption related to their delisting.

• Daily Publication of Trading Information: CME will continue to publish contract trading 

volumes, open interest levels, and price information daily on its website until the permanent 

delisting of the Contract.

• Execution of Transactions: The Exchange will continue to provide a competitive, open, and 

efficient market and mechanism for executing transactions that protects the price discovery 

process of trading the Contract until the permanent delisting of the Contract.

• Availability of General Information: The Exchanges will make publicly available the details 

of the initiative by publishing a Special Executive Report (“SER”) to the marketplace. The SER 

will be available on CME Group’s website.

Pursuant to Section 5c(c) of the Act and CFTC Regulations 40.6(a), the Exchange certifies that the delisting 

of the previously-listed contract months and subsequent permanent delisting of the Contract complies with 

the Act, including regulations under the Act. There were no substantive opposing views to the proposal.

The Exchange certifies that this submission has been concurrently posted on the CME Group website at 

http://www.cmegroup.com/market-regulation/rule-filings.html. 

Should you have any questions concerning the above, please contact the undersigned at (212) 299-2200 

or via e-mail at CMEGSubmissionInquiry@cmegroup.com. 

Sincerely,

/s/ Christopher Bowen 

Managing Director and Chief Regulatory Counsel 

Attachments: Exhibit A: CME Rulebook Chapter 379 (blackline format) [Effective July 19, 2023]

Exhibit B: Position Limits, Position Accountability and Reportable Level Table in 

Chapter 5 of the CME and CBOT Rulebooks (blackline format) (attached 

under separate cover) [Effective July 19, 2023]
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Exhibit A

CME Rulebook

(deletions struck through)

[Effective July 19, 2023]

Chapter 379

Nasdaq-100® Volatility IndexSM (VOLQSM) Futures

37900. SCOPE OF CHAPTER

This chapter is limited in application to Nasdaq-100® Volatility Indexsm (VOLQsm) futures (“futures”). In 

addition to this chapter, futures shall be subject to the general rules and regulations of the Exchange as 

applicable.

Unless otherwise specified, times referred to herein shall refer to and indicate Chicago Time.

37900.A. Market Decline 

For the purposes of this chapter a Market Decline shall be as defined in New York Stock Exchange Rule 

7.12 for Trading Halts Due to Extraordinary Volatility or in Nasdaq Stock Market Rule 4121 for Trading 

Halts Due to Extraordinary Volatility. 

37900.B. Primary Listing Exchange 

For the purposes of this chapter a Primary Listing Exchange shall be as defined in the “Plan to Address 

Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant to Rule 

608 of Regulation NMS Under the Securities Exchange Act of 1934” approved 31 May 2012 by the U.S. 

Securities and Exchange Commission (“SEC”), as amended from time to time (SEC, SRO Rulemaking, 

National Market System Plans, File 4-631). 

37900.C. Regulatory Halt 

For the purposes of this chapter a Regulatory Halt shall be as defined in the “Plan to Address 

Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant to Rule 

608 of Regulation NMS Under the Securities Exchange Act of 1934” approved 31 May 2012 by the SEC, 

as amended from time to time (SEC, SRO Rulemaking, National Market System Plans, File 4-631) and 

as implemented under New York Stock Exchange Rule 7.12 for Trading Halts Due to Extraordinary 

Volatility or under Nasdaq Stock Market Rule 4121 for Trading Halts Due to Extraordinary Volatility.

37901. CONTRACT SPECIFICATIONS

Each futures contract shall be valued at $100.00 times the Nasdaq-100 Volatility Index

(“Index”).

37902. TRADING SPECIFICATIONS

37902.A. Trading Schedule

Futures contracts shall be scheduled for trading during such hours and for delivery in such months as 

may be determined by the Exchange.

37902.B. Trading Unit

The unit of trade shall be $100.00 times the Index.

37902.C. Price Increments

Bids and offers shall be quoted in Index points. Subject to Rule 37906.C., the minimum price increment 

shall be 0.05 Index points, equal to $5.00 per contract, except for intermonth spreads executed pursuant 

to Rule 542.A., for which the minimum price increment shall be 0.01 Index points, equal to $1.00 per 

intermonth spread.
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37902.D. Position Limits, Exemptions, Position Accountability and Reportable Levels

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth 

in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special 

Notices Section of Chapter 5.

A person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation 

Department may grant qualified exemptions in its sole discretion.

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions 

from the specified position limits.

37902.E. [Reserved]

37902.F. [Reserved]

37902.G. Termination of Trading

Trading in expiring futures shall terminate at the regularly scheduled start of trading on the Nasdaq 

Exchanges on the Business Day scheduled for determination of the Final Settlement Price (Rule 

37903.A.) for such futures.

37902.H. [Reserved]

37902.I. Price Limits and Trading Halts

Futures shall be listed for expiration on such dates and shall be scheduled for trading during such hours 

as may be determined by the Exchange, provided that there shall be no trading in futures when trading 

is halted in the E-mini Nasdaq 100 futures Primary Futures Contract Month pursuant to Rule 35902.I. 

In accordance with Rule 35902.I. the Exchange shall determine, in its sole discretion, the futures delivery 

month that represents such Primary Futures Contract Month. 

37903. SETTLEMENT PROCEDURES

Delivery shall be by cash settlement.

37903.A. Final Settlement Price 

For a futures contract for a given delivery month, the Final Settlement Price shall be a special settlement 

quotation of the Index published by Nasdaq under the ticker “VolS”. 

VolS is generally calculated as a VWAP of the component Nasdaq-100 Index options during a 300 second 

period of time commencing at 9:32:000 on the settlement day (or 2.00.001 minutes after the open of 

trading in the event trading does not commence at 9:30:00 a.m. ET). 

VolS shall be determined thirty (30) days prior to the third Friday of the month immediately following such 

delivery month

If the cash settled Nasdaq-100 Index options are not scheduled to be traded on the third Friday of the

month immediately following such delivery month, then such special settlement quotation shall be 

scheduled for determination thirty (30) days prior to the first preceding Business Day on which cash settled 

Nasdaq-100 Index options are scheduled to be traded.

If the Index is not scheduled to be published thirty (30) days prior to the third Friday of the month 

immediately following such delivery month, then such special settlement quotation shall be scheduled for 

determination on the first preceding Business Day on which the Index is scheduled to be published.

If an unscheduled Market Holiday is declared on the day of Financial Settlement Price determination, the 

Final Settlement Price shall be the special settlement quotation of the Index published by NASDAQ under 

the ticker “VolS” on the Business Day immediately following the original day of Final Settlement Price 

determination.

37903.B. Final Settlement

Clearing members holding open positions in an expiring futures contract at its termination of trading (Rule 

37902.G.) shall make payment to or receive payment from the Clearing House in accordance with normal 
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variation margin procedures based on such expiring contract’s Final Settlement Price (Rule 37903.A.).

37904. [RESERVED] 

37905. [RESERVED]

37906. [RESERVED]

(End Chapter 379)

INTERPRETATIONS & SPECIAL NOTICES

RELATING TO CHAPTER 379

Nasdaq-100® Volatility IndexSM (VOLQSM) Futures contracts not sponsored, endorsed, sold or promoted by Nasdaq, 

Inc. (including its affiliates) (Nasdaq, with its affiliates, are referred to as the Corporations). The Corporations have 

not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to,

Nasdaq-100® Volatility IndexSM (VOLQSM) Futures contracts. The Corporations make no representation or warranty, 

express or implied to the owners of Nasdaq-100® Volatility IndexSM (VOLQSM) Futures contracts or any member of

the public regarding the advisability of investing in securities generally or in Nasdaq-100® Volatility IndexSM (VOLQSM) 

Futures contracts particularly, or the ability of the Nasdaq-100® Volatility IndexSM (VOLQSM) to track general stock 

market performance. Nasdaq has no obligation to take the needs of the CME or the owners of Nasdaq-100® Volatility 

IndexSM (VOLQSM) Futures contracts into consideration in determining, composing or calculating the Nasdaq-100®

Volatility IndexSM (VOLQSM).The Corporations are not responsible for and have not participated in the determination

of the timing of, prices at, or quantities of Nasdaq-100® Volatility IndexSM (VOLQSM) Futures contracts to be issued or

in the determination or calculation of the equation by which Nasdaq-100® Volatility IndexSM (VOLQSM) Futures 

contracts are to be converted into cash. The Corporations have no liability in connection with the administration, 

marketing or trading of Nasdaq-100® Volatility IndexSM (VOLQSM) Futures contracts.

THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED CALCULATION 

OF THE NASDAQ-100® VOLATILITY INDEXSM (VOLQSM) OR ANY DATA INCLUDED THEREIN. THE 

CORPORATIONS MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY 

CME, OWNERS OF NASDAQ-100® VOLATILITY INDEXSM (VOLQSM) Futures, OR ANY OTHER PERSON OR 

ENTITY FROM THE USE OF THE NASDAQ-100® VOLATILITY INDEXSM (VOLQSM) OR ANY DATA INCLUDED 

THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY 

DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR APARTICULAR PURPOSE OR USE

WITH RESPECT TO THE NASDAQ -100® VOLATILITY INDEXSM (VOLQSM) OR ANY DATA INCLUDED 

THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE 

ANY LIABILITY FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT, OR 

CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
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Exhibit B

CME Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability and Reportable Level Table 

(deletions struck through)

(attached under separate cover)

[Effective July 19, 2023]