November 1, 2023

Christopher J. Kirkpatrick

Secretary

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: Cboe Digital Exchange, LLC Product and Rule Certification for Margin Futures 

on Bitcoin and Ether Submission Number CDE-2023-06E

Dear Mr. Kirkpatrick:

Pursuant to Section 5c(c)(1) of the Commodity Exchange Act, as amended (“Act”), and 

Regulation 40.2 and Regulation 40.6 of the regulations promulgated by the Commodity 

Futures Trading Commission (“CFTC” or “Commission”) under the Act, Cboe Digital 

Exchange, LLC (“CDE” or “Exchange”) hereby submits terms and conditions for physicallyand financially-settled digital asset futures on a margined basis (“Products”) to be traded on 

CDE and accompanying rule amendments to incorporate the Products into CDE’s rules 

(“Amendment”).

This submission contains the following:

• A summary of the terms and conditions of the Products;

• A summary of the rule changes being made as part of the Amendment to incorporate 

the Products into CDE’s rules; 

• An explanation and analysis of the Products’ and the Amendment’s compliance with 

the applicable provisions of the Act, including the Designated Contract Market 

(“DCM”) Core Principles (“Core Principles”), and the Commission regulations 

thereunder;

• A certification that the Products and Amendment comply with the Act and Commission 

regulations thereunder;

• A certification of a notice of pending product and rule certification with the 

Commission and a copy of the submission on the Exchange’s website;

• A copy of the Products’ contract specifications attached as Exhibit A; 

• The rule changes included in the Amendment attached as Exhibit B; and

• A copy of the Cboe Kaiko Rates methodology attached as Exhibit C.

The terms and conditions for the Products and the Amendment will become effective on 

November 16, 2023 (“Effective Date”). The Products may be listed for trading on CDE on or 

after the Effective Date on a date to be announced by the Exchange through the issuance of an 

Exchange notice.
2

Products Description

The Exchange plans to list the following Products: physically-settled bitcoin futures 

(“BTC”) on a margin basis; physically-settled Ether futures (“ETH”) on a margin basis; 

financially-settled bitcoin futures (“FBT”) on a margin basis; and financially-settled Ether

futures (“FET”) on a margin basis. The Exchange notes that up until recently it listed

physically-settled futures contracts on Ether and bitcoin on a fully-funded basis, that is, they 

were fully-funded at the time of execution, with final settlement at execution price. The 

Exchange removed its offering of fully-funded bitcoin and Ether futures products in 

anticipation of launching the margined Products. 

Underlying Digital Asset Market

Bitcoin is a digital asset based on the decentralized, open-source protocol of a peer-to-peer 

payments network. The Bitcoin network hosts the decentralized public transaction ledger, the 

Bitcoin blockchain (or ledger), on which all bitcoin is recorded. The blockchain is a linked 

body of data, made up of units called blocks containing information about each transaction 

processed. Blocks are created by “miners” that solve highly complex mathematical problems. 

The bitcoins themselves are the assets that can be transferred on the network, to which one 

claims ownership. No single entity owns or operates the Bitcoin network. The infrastructure 

of the Bitcoin network is collectively maintained by a decentralized user base. The Bitcoin 

blockchain is capped at 21 million bitcoin. As of October 2023, the total supply of bitcoin is 

approximately 19.5 million bitcoins, which represents close to $660 billion in market 

capitalization. The 21 million bitcoin limit is anticipated to be reached sometime in 2140.

Ethereum is likewise a decentralized, open-source protocol of a peer-to-peer payments 

network built using blockchain technology, and Ether is the native digital asset of the Ethereum 

blockchain. Blocks are created by “validators” that must stake at least 32 Ether to own the right 

to validate transactions. Like bitcoin, Ether is the asset that can be transferred on the network, 

to which one claims ownership, and no single entity owns or operates the Ethereum network 

as the infrastructure of the Ethereum network is collectively maintained by a decentralized user 

base. Unlike bitcoin, Ether is not capped at a maximum supply, but it does have a monetary 

policy that follows the objective of minimum issuance to secure the network. That is, the Ether 

monetary policy aims to reduce issuance to minimum amounts without sacrificing security. As 

Ethereum is a decentralized network, the monetary policy cannot be modified unless there is a 

majority consensus from all the stakeholders (developers, community members, ecosystem 

projects, validators and network participants). As of October 2023, the total supply of Ether is 

approximately 120.2 million Ether, which represents close to $214 billion in market 

capitalization.

Bitcoin and Ether may be obtained through various methods, including paying cash for 

bitcoin or Ether or providing a good or service in exchange for bitcoin or Ether (including 

exchange on the secondary market); verifying other bitcoin transactions through mining, which 

rewards miners with bitcoin, thus incentivizing more miners to try to solve the mathematical 
3

problems in turn making the network more secure, or verifying other Ether transactions, which 

rewards the validators with additional Ether, thus incentivizing more validators to stake their 

Ether and own the right to validate transactions in turn making the network more secure. 

Since early 2019, the volume traded in bitcoin and Ether has experienced substantial 

growth. The 30-day moving average of dollar value of USD-based bitcoin volume has grown 

from $675 million in February 2019 to approximately $4.8 billion as of October 2023. The 30-

day moving average of dollar value of USD-based Ether volume has grown from $344 million 

in February 2019 to approximately $2.1 billion in October 2023. 1

Contract Specifications

The Products are based on the price of bitcoin (BTC and FBT futures) and Ether (ETH 

and FET futures) in U.S. dollars based on the Cboe Kaiko Bitcoin Rate (“CKBR”) Index or the 

Cboe Kaiko Ether Rate (“CKER”) Index (collectively, the “Cboe Kaiko Rates”), as 

applicable.2 These futures are designed to reflect economic exposure related to the price of 

bitcoin or Ether. As reflected in the attached contract specifications (Exhibit A) and in revised 

Chapter 11 of the CDE Rulebook, the contract specifications for the Products include the 

following:

The contract unit for a BTC futures contract will be 1 bitcoin, as represented by CKBR.

and the minimum tick increment is $5.00 per bitcoin (thus, $5.00 per contract). The contract 

unit for a FBT futures contract will be 0.1 bitcoin, as represented by CKBR, and the minimum 

tick increment is $1.00 per bitcoin (thus, $0.10 per contract). The contract unit for an ETH

futures contract will be 10 Ether, as represented by CKER, and the minimum tick increment is 

$0.50 per Ether (thus, $5.00 per contract). The contract unit for a FET futures contract will be 

1 Ether, as represented by CKER, and the minimum tick increment is $0.10 per Ether (thus, 

$0.10 per contract). All Product prices will be quoted in USD per 1 bitcoin or Ether, as 

applicable. 

For each of the Products, CDE may list up to 3 weekly expirations, the nearest 2 serial 

months and the nearest 4 quarterly months. Expiry will occur in the same manner as it did for 

fully-funded bitcoin and Ether futures; 10:00 a.m. CT on the Friday of the expiry week or on 

the last Friday of the contract month, as applicable. If expiry Friday is a non-business day, then 

expiration will occur on the preceding business day. 

Block Trades will be permitted in the Products provided that they satisfy the requirements 

of CDE Rule 601 (Block Trades). Block Trades may be negotiated in $0.01 increments in each 

Product, as was the permissible increment for Block Trades in the Exchange’s fully-funded 

bitcoin and Ether futures product offerings. The Block Trade minimum size for BTC futures 

will be 5 contracts, 10 contracts for FBT futures, 1 contract for ETH futures, and 10 contracts 

for FET futures. The minimum Block Trade parameters for FBT and FET futures are 

1 Statistics derived from https://rates.coinmetrics.io/.

2 The Cboe Kaiko Reference Rates are customized rates, developed by Kaiko for Cboe Digital.
4

equivalent in structure to the Block Trade parameters applied to the Exchange’s fully-funded 

bitcoin and Ether futures, respectively, which have the same minimum contract size, price 

increment and notional value as FBT and FET futures. The minimum Block Trade parameters 

for BTC and ETH futures are smaller than that of their FBT and FET counterparts to account 

for the larger minimum contract sizes, price increments and notional values of the BTC and 

ETH futures contracts. 

The position limits for the Products will be as follows: 20,000 contracts for BTC futures, 

200,000 for FBT futures, 40,000 for ETH futures, and 400,000 for FET futures. The position 

limits for the Products are consistent with position limits previously in place either on the 

Exchange (for fully-funded bitcoin and Ether futures) or imposed by other DCMs for 

substantively the same products.3

The Large Trader reporting requirements under CDE Rules 532 and 533 will apply to the 

Products. The Large Trader reporting threshold applicable to each Product is as follows: 5 

contracts for BTC futures, 25 contracts for FBT futures, 5 contracts for ETH futures, and 25

contracts for FET futures. The Exchange believes that the reporting thresholds appropriately 

correspond to the Products’ sizes.

The Exchange will determine the final settlement price for each Product based on the 

reference rate of the relevant Cboe Kaiko index at the time of expiration (i.e., at 10:00 a.m. CT 

on expiration Fridays). 

Pursuant to Exchange Rule 906(c) and each Product’s contract specification, the Products’ 

final settlement prices are based on the CKBR or CKER, as applicable. CKBR and CKER each 

provide a USD-denominated reference rate for the spot price of BTC and ETH, respectively. 

The Cboe Kaiko Rates leverage real-time prices from the constituent exchanges to provide a 

reliable and accurate reflection of the underlying spot market. The CKBR and CKER represent 

the price of bitcoin and Ether, respectively, by aggregating trade data from eligible trading 

3 For example, Coinbase Derivative Exchange offers a bitcoin futures contract with a contract size of 1

and position limit of 20,000 contracts, like BTC futures, a nano bitcoin futures contract with a contract 

size of 0.10 and position limit of 200,000, like that of FBT futures, an Ether futures contract with a 

contract size of 10 and a position limit of 40,000 contracts, like that of ETH futures, and a nano Ether 

futures contract with a contract size of 1 and a position limit of 400,000 contracts, like that of FET 

futures. See Coinbase Derivatives Exchange Rulebook. Rules CME also has position limits that are 

notionally in line with the Products’ limits, offering a bitcoin futures contract with a contract size of 5

bitcoin and a position limit of 4,000, thus a position limit equal to a notional of 20,000 bitcoin, like 

BTC futures (size of 1 bitcoin x 20,000 limit); a micro bitcoin futures contract with a contract size of 

0.01 of CME’s standard bitcoin futures contract and a position limit of 4,000, thus a position limit equal 

to a notional 200,000 bitcoin, like FBT futures (size of 0.10 bitcoin x 200,000 limit); an Ether futures 

contract with a contract size of 50 Ether and a position limit of 8,000, thus a position limit equal to a 

notional of 400,000 bitcoin, like ETH futures (size of 10 Ether x 40,000 limit); and a micro Ether futures 

contract with a contract size of 0.01 of CME’s standard Ether futures contract and a position limit of 

8,000, thus a position limit equal to a notional 400,000 Ether, like FET futures (size of 1 Ether x 400,000 

limit).
5

venues during one-hour calculation windows. Kaiko implements an aggregation methodology 

that consists of a look-back that splits the one-hour reference rate calculation periods into ten 

six-minute segments (or, “partitions”) and, for each partition, calculates the most 

representative trade price used for the final rate calculation. Specifically, executed trades in 

each partition are subject to a volume-weighted median price calculation. A time-weighted 

average price calculation is then applied to each partition’s volume-weighted median 

(providing more weights to the last partitions which are the most recent). The ten weighted 

partition prices are then aggregated to provide the final index reference rate for the hour. 

Pursuant to the Cboe Kaiko Rates methodology, if for any reason any constituent 

transactions are identified as potentially suspect within a partition, the most representative 

trade may be adjusted to disregard spurious data. In addition, Kaiko may remove a constituent 

exchange or otherwise revise its methodology to ensure the Cboe Kaiko Rates continue to 

reflect the target underlying economic reality, particularly if a constituent exchange has been 

found to have experience an “exclusion action” such as fraud, market manipulation, or 

significant loss of volume or liquidity.

For the purpose of any Kaiko reference rates computation, including the Cboe Kaiko Rates, 

Kaiko implements strict vetting of data sources to include only the trusted and liquid 

exchanges. The Cboe Kaiko Rates follow a quarterly rebalancing calendar (March, June, 

September and December). An asset-agnostic vetting process for the Cboe Kaiko Rates is 

carried out on a quarterly basis by the Kaiko team and approved by the Kaiko Exchange 

Ranking Steering Committee. Each underlying exchange must meet the following criteria as 

part of the vetting process: is absent from any sanction list; has been operating for the past five 

years; is located in a stable and open country; is regulated by an independent government body; 

has KYC/AML controls in place; has trading policies in place; offers reliable REST API and 

WebSocket data feeds; offers reliable live and historical trade data; and provides cold storage 

for customers funds. Additionally, the liquidity of each exchange is assessed to only consider 

meaningful contributors, defined as at least 0.5% of the total observed liquidity over the past 

three months.

A description of the procedures and rules governing the Cboe Kaiko Rates will be posted 

on the Kaiko website and a copy of which is provided as an informational part of this 

submission in Exhibit C. 

Each of the underlying component exchanges has a comprehensive set of rules or binding 

terms and conditions for members. The rules or terms and conditions governing activity on 

each underlying exchange have provisions in place that prohibit members from engaging in 

fraudulent acts, market manipulation and abusive practices.4 The Exchange understands that 

4 See Cboe Digital Spot Market Rules available at: https://www.cboedigital.com/wpcontent/uploads/CboeDigital/Cboe%20Digital%20Exchange%20Rulebook%20%2820231023%29.pd

f; Itbit’s Marketplace Rules available at: https://paxos.com/market-manipulation-protection/; LMAX 

Digital Rulebook at: www.lmaxdigital.com/documents/LMAXDigital-Rulebook.pdf; and Bitstamp’s 

Terms of Use available at: https://www.bitstamp.net/legal/terms-of-use/inc/. 
6

each underlying exchange has surveillances in place to monitor for market abuse and other 

trade practice violations. Additionally, each of the constituent exchanges is regulated as a 

money services business (“MSB’) under Financial Crimes Enforcement Network (“FinCEN’)

and subject to strict anti-money laundering and know-your-customer (“AML/KYC Program”)

compliance obligations. 

At the time of this submission, the Cboe Kaiko Rates have four eligible trading venues: 

LMAX Digital, Bitstamp, itBit and Cboe Digital.

5 The Exchange represents that it has or will 

have entered into an Information Sharing Agreement (“ISA”) that complies with CFTC 

guidance and requirements with each of the non-Cboe-affiliated three other constituent 

exchanges6that comprise the CKBR and CKER prior to listing the Products for trading on the 

Exchange. Additionally, Kaiko will provide CDE the trades (by timestamp, symbol, price, 

quantity, and underlying exchange) that make up the Cboe Kaiko Rates during final settlement 

price period (9:00 a.m. to 10:00 a.m. CT) to assist CDE’s ability to monitor trading in the 

reference indices. Prior to and during the final settlement price period on the final settlement 

date for the Products, CDE will monitor the bitcoin and Ether transactions in U.S. dollars on 

those trading venues using the information that is available to CDE and request additional 

information from the trading venues as appropriate.

CDE conducted an analysis of the Cboe Kaiko Rates prices compared to other bitcoin and 

Ether indices over the last year to determine whether the Cboe Kaiko Rates are representative 

of the broader bitcoin and Ether markets. Specifically, the analysis compared the Cboe Kaiko 

Rates against the daily CME CF Bitcoin and Ether Reference Rates

7,

the weekly CoinDesk 

Bitcoin and Ether Price Index rates and the Kaiko Bitcoin and Ether Reference Rates. The 

CME CF Reference Rates are comprised of pricing sourced from Bitstamp, Coinbase, Gemini, 

itBit, Kraken, and LMAX Digital; the CoinDesk Index rates are comprised of pricing sourced

from Bitstamp, Coinbase, Kraken, and LMAX Digital; and the Kaiko Index Rates are 

comprised of pricing sourced from Coinbase, Gemini, LMAX Digital, Kraken and Bitstamp.

As such, the pricing sources that comprise the Cboe Kaiko Reference Rates, the CME CF 

Reference Rates, the CoinDesk Index Rates and the Kaiko Reference Rates are representative 

5 The Exchange currently operates a digital asset spot market, separate from its DCM (“Cboe Digital 

Spot Market”). The Cboe Digital Spot Market is regulated as a money services business (“MSB’) under 

Financial Crimes Enforcement Network (FinCEN) and is licensed in various states in accordance with 

state money transmitter licensing (“MTL”) requirements. The Exchange implements best practices of 

a traditional financial market surveillance program designed around CFTC Core Principles which was 

established to help protect investors and the integrity of our markets. Participation in the Cboe Digital 

Spot Market is governed by a comprehensive Rulebook and membership requirements, and subject to 

substantially the same market surveillance program as for Cboe Digital’s futures market. The Cboe 

Digital Spot Market offers trading in bitcoin (BTC) and Ether (ETH) in U.S dollars on a central limit 

order book (“CLOB”), which allows for continuous interactions between fully-displayed marketable 

orders and limit orders. Cboe Digital Exchange requires all orders placed in BTC and ETH on its spot 

market to be fully-funded.

6 As Cboe Digital’s spot market and futures market are part of the same legal entity, Cboe Digital 

Exchange, LLC, an ISA does not need to be in place to access such information.

7 CME Bitcoin and Ether futures are based on the CME CF Reference Rates.
7

of the broader digital asset spot market.

CDE reviewed the correlation between the daily returns of the Cboe Kaiko Rates and the 

CME CF Reference Rates.

8 CDE identified a 0.998 correlation between the Cboe Kaiko 

Bitcoin Rate and the CME CF Bitcoin Reference Rate, as well as a 0.998 correlation between 

the Cboe Kaiko Ether Rate and the CME CF Ether Reference Rate. A 0.998 correlation 

indicates the rates’ prices are very strongly aligned.

CDE also reviewed the correlation between the daily returns of the Cboe Kaiko Rates and 

the Kaiko Reference Rates. CDE identified a 0.999 correlation between the Cboe Kaiko 

Bitcoin Rate and the Kaiko Bitcoin Rate, as well as a 0.999 correlation between the Cboe Kaiko 

Ether Rate and the Kaiko Ether Rate. A 0.999 correlation indicates the rates’ prices are very 

strongly aligned.

Cboe Digital also reviewed the differences between the Cboe Kaiko Rates and the daily 

CME CF Reference Rates, the weekly CoinDesk Index Rates and the hourly Kaiko Reference 

Rates over a year look-back:

9

• The average difference between the daily CME CF Bitcoin Reference Rate and 

Cboe Kaiko Bitcoin Reference Rate was 0.06%, and the median difference 0.03%;

• The average difference between the daily CME CF Ether Reference Rate and Cboe 

Kaiko Ether Reference Rate was 0.07%, and the median difference 0.04%;

• The average difference between the weekly Coindesk Indices Bitcoin Index and 

Cboe Kaiko Bitcoin Reference Rate was 0.13%, and the median 0.1%; 

• The average difference between the weekly Coindesk Indices Ether Index and Cboe 

Kaiko Ether Reference Rate was 0.13%, and the median 0.9%;

• The average difference between the hourly Kaiko Bitcoin Reference Rate and the 

Cboe Kaiko Bitcoin Reference Rate was 0.01%, and the median difference 

0.0096%; and

• The average difference between the hourly Kaiko Ether Reference Rate and the 

Cboe Kaiko Ether Reference Rate was 0.02%, and the median 0.01%.

CDE’s analysis demonstrates that the Cboe Kaiko Rates adequately and consistently 

represent the price of the bitcoin and Ether spot markets due to high price correlation and 

marginal, price divergence as compared to other digital asset spot market indexes generally 

representative of the wider spot market. CDE notes that such marginal differences in reference 

prices, in particular when compared to the CoinDesk Index Rates and CME CF Reference 

8 The CME CF Reference Rates are published daily at 4:00 pm ET. CDE conducted this review on the 

daily rates at 4:00 pm ET from November 2022 through October 2023. 

9 See supra note 8 regarding CDE’s review timeframe for the CME CF Reference Rates. Regarding 

CDE’s review timeframe for the CoinDesk Index rates, CDE reviewed the CoinDesk Index rates at 

weekly expiration (each Friday at 10:00 am CT) from September 2022 through September 2023. 

Regarding CDE’s review timeframe for the Kaiko Reference Rates, CDE reviewed the Kaiko Reference 

Rates each hour from December 2020 through October 2023. 
8

Rates, are by and large due to the differences in index methodology calculations between the 

different indexes. 

Additionally, CDE conducted an analysis of the volume over the last year10 during the final 

settlement price period (9:00 a.m. to 10:00 a.m. CT) between the Cboe Kaiko Rates and the 

Lukka Bitcoin Reference Rate, which is used to settle comparable digital asset futures products

certified for offering by another DCM and is based on prices sourced from only two 

exchanges.

11 CDE identified that, on average, the volume included in the Cboe Kaiko Bitcoin 

Rate was three times greater (or 192% greater) than the volume included in the Lukka Bitcoin 

Reference Rate, and the volume included in the Cboe Kaiko Ether Rate was 16% greater than 

the volume included in the Lukka Bitcoin Reference Rate.

12 This further emphasizes the fact 

that the Cboe Kaiko Rates are representative of the broader market and the exchange 

constituents experience deeper levels liquidity as compared to another digital asset index on 

which competing futures products currently may be offered.

Additional Product Information

In addition to the above, the Exchange notes that the applicable margin methodology for 

each Product will be calculated and administered by the Exchange’s affiliated derivatives 

clearing organization (“DCO”), Cboe Clear Digital, LLC (“CCD”), through which all Products 

are settled and cleared. A participant trading in the Products on the Exchange will be required

to clear all transactions in the Products through a futures commission merchant (“FCM”) 

clearing member of CCD.13 Margin for each Product will be computed on a daily basis and 

posted daily on the Cboe Digital website. 

Legal Conditions

CDE has undertaken a due diligence review of the legal conditions, including conditions 

that relate to contractual and intellectual property rights, which may materially affect the 

trading of the Product. Kaiko has granted a license to CDE permitting CDE to use the Cboe 

Kaiko Rates for the purposes of providing settlement prices for CDE’s futures contracts. Kaiko 

is permitted to use CDE data for the Cboe Kaiko Rates, and CDE also understands that Kaiko 

10 From January 2022 through October 2023.

11 MGEX’s BTF Futures Contracts and TINI Futures Contacts are based on the Lukka Bitcoin 

Reference Rate, which is comprised only of trade prices executed on Gemini and Bitstamp.

12 CDE notes that while the volume in the Cboe Kaiko Ether Rate and the Lukka Bitcoin Rate are 

measured on transactions in different spot digital assets, the volume of the transactions that comprise 

the Lukka Bitcoin Rate should generally represent a sufficient level of volume in a digital asset index 

for which a digital asset futures product may be deemed not generally susceptible to manipulation. 

13 The margin methodology implements a filtered historical simulation method for implementing valueat-risk (“FHSVaR”) using a lookback period of five years (or longest available) and two-day market 

return and 99th percentile (0.5 percent for each tail of the distribution) risk coverage. The FHSVaR 

approach uses historical changes in spot bitcoin and Ether price returns to generate historical 

distribution and does not rely on any assumptions regarding distributional shape or distributional 

parameters.
9

has data licensing agreements in place with the other three constituent exchanges.

Potential Product Use

As the Products’ prices are derived from the Cboe Kaiko Rate, which accurately reflect the 

underlying spot market, market participants may use the Products to achieve both long and 

short exposure to the price of bitcoin or Ether, as applicable. The Products will allow miners 

to hedge production costs, bitcoin or Ether merchant processors to hedge inventories, 

merchants that accept bitcoin or Ether to hedge inventories, and holders of bitcoin or Ether to 

adequately hedge their holdings in a less capital-intensive manner than that of fully-funded 

futures. The Products will likewise provide liquidity providers with a less capital-intensive 

means to hedge their bitcoin and/or Ether exposure from their transactions on the Cboe Digital 

Spot Market, other exchanges, in the over-the-counter markets, and on other markets for 

bitcoin and Ether derivatives. Additionally, FBT and FET futures in particular will provide 

market participants that do not wish to transact in or hold spot digital assets with a way to gain 

exposure to bitcoin or Ether, as applicable, without the need to take or make delivery of the 

actual digital asset. BTC and ETH will allow market participants that hold or anticipate holding 

bitcoin or Ether to adequately hedge their holdings as well as take delivery of the underlying 

digital asset.

The physically-settled futures contract (BTC and ETH) have a 1 bitcoin contract size with 

a $5.00 price increment and a 10 Ether contract size with a $0.50 price increment, respectively, 

may assist larger, crypto-familiar institutions that seek to utilize larger contract sizes and 

higher-capitalized firms with the capacity to make or take delivery of the underlying digital 

assets to achieve their business needs. The financially-settled futures contracts (FBT and FET) 

have a 0.1 bitcoin contract size with a $1.00 price increment and a 1 Ether contract size with a 

$0.10 price increment, respectively; finer increments and smaller contracts sizes than their 

physically-delivered counterparts are intended to provide Customers with additional flexibility 

to tailor their exposure to the digital asset ecosystem without the need to hold the underlying 

digital assets. Price increments across the Products’ two settlement styles complement each 

other while allowing for aggregation of size compared to the underlying digital assets, which 

typically trade at $0.01 increments. Customers trading in BTC and ETH futures will benefit 

from the correlated larger size and larger price increments as customers will be able to fill such 

larger sizes without their orders receiving fills across numerous price levels. Smaller sizes and 

smaller price increments for FBT and FET futures will enable liquidity providers to offset risk 

while providing liquid quote-driven markets for the Products.

Rule Changes

The Amendment updates the Exchange rules to incorporate the Products’ contract 

specifications, as described herein above and reflected in Exhibit A, into Rule 1101 and Rule 

1102.14 Specifically, the Amendment incorporates into Rule 1101 and 1102, as applicable: 

14 On October 27, 2023, CDE submitted a self-certification (Submission Number 2023-05E) to remove 
10

Rule 1101(a), which provides for the contract specifications applicable to margin-based 

physically-settled BTC futures; Rule 1101(b), which provides for the contract specifications 

applicable to margin-based financially-settled FBT futures; Rule 1102(a), which provides for 

the contract specifications applicable to margin-based physically-settled ETH futures; and 

Rule 1102(b), which provides for the contract specifications applicable to margin-based 

financially-settled FET futures. 

Additionally, the Amendment updates the Position Limit, Position Accountability, 

Reportable Level, and Volume Threshold Level Table (“Table”) in Rule 533 to reflect the 

levels applicable to each Product. Specifically, the Table is being updated to reflect the Large 

Trader and position limit levels for each Product as described in detail in the “Contract 

Specifications” section above, and to reflect a reportable volume threshold of 50 contracts

applicable to each Product.15 The Amendment also adds language to Rule 533 clarifying that 

such other volume threshold reportable levels than those set forth in the Table may otherwise 

be designated by the Commission.

The Amendment also adds new Rule 540 to address temporary trading halts applicable 

to the Products. Rule 540(a) provides that the market for a Contract (which includes the 

Products) will enter into a halt state for a period of time designated by the Exchange, during 

Trading Hours for the Contract, if a circuit breaker is triggered: the price of a bid (offer) in the 

Contract is higher (lower) than a percentage designated by the Exchange as compared to the 

highest (lowest) bid (offer) observed during the lookback window as designated by the 

Exchange. The Exchange shall publish the circuit breaker parameters as designated by the 

Exchange on its website. Further, Rule 540(b) provides that the Exchange may, in its 

discretion, temporarily halt trading in a Contract or modify the circuit breaker parameters, 

including the time of a halt state, to preserve market integrity in a Contract market. The 

proposed rule additionally provides that any action taken in response to an Emergency is 

governed by Rule 212, including notification to the CFTC of any Emergency Rule in 

accordance with CFTC Regulations.

Finally, the Amendment updates Rule 906 to add subparagraph (c), which explicitly 

provides for the Exchange’s determination of the final settlement price of the Products, as 

defined in the “Contract Specifications” section above. 

Compliance

the contract specifications for fully-funded physically-settled BTC and ETH futures from Rules 1101

and 1102, respectively. Submission Number 2023-05E will become effective on November 13, 2023. 

Exhibit B reflects Rule 1101 and 1102 as amended pursuant to Submission Number 2023-05E. This 

rule change additionally removes the contract specs for futures on the Ether Bitcoin Pair in Rule 1103. 

The Exchange no longer lists, and in anticipation of its margin futures offering does not intend to relist, these futures contracts. 

15 Like for fully-funded bitcoin and Ether futures contracts previously offered by the Exchange, there 

are no position accountability levels applicable to the Products. 
11

CDE believes that the Products and the Amendment are consistent with the DCM Core 

Principles under Section 5 of the Act. In particular, CDE believes that the Products and the 

Amendment are consistent with the following DCM Core Principles:

DCM Core Principle 2 (Compliance with Rules) because CDE Rules include 

prohibitions against market manipulation and fraudulent, non-competitive, and disruptive 

trading practices that will apply to trading activity in the Products and CDE will conduct 

monitoring and surveillance of trading in the Product for compliance with CDE Rules;

DCM Core Principle 3 (Contracts not Readily Susceptible to Manipulation) because

of, among other things, the following factors:

• The underlying digital asset market is a highly liquid and capitalized market, wherein 

the dollar value of bitcoin volume is currently approximately $4.8 billion and the dollar 

value of ether volume is currently approximately $2.1 billion;

• The methodology and constituent structure of the Cboe Kaiko Rates promote the 

integrity of the settlement price and discourage manipulative conduct. They do so 

because:

o The Cboe Kaiko Rates is calculated from a high volume of trades across four 

eligible trading venues during the final settlement period and, due to deep 

liquidity, are not generally susceptible to manipulation. As demonstrated and 

explained above, the Cboe Kaiko Rates experience volume during the final 

settlement period well-above that of the volume experienced during the final 

settlement period in a comparable digital asset index (comprised of only two 

constituent exchanges) on which competing futures products currently may be

offered;

16

o The Cboe Kaiko Rates accurately represent the underlying spot market prices. 

As demonstrated and explained above, Cboe Kaiko Rates adequately and 

consistently represent the price of the bitcoin and Ether spot markets due to high 

price correlation and insignificant levels of price divergence as compared to 

other digital asset spot market indexes generally representative of the wider spot 

market;

o Each index is comprised of multiple constituents. Therefore, to manipulate the 

index price a market participant would have to manipulate the prices in most if 

not all the constituent exchanges—a prohibitively costly endeavor. Arbitrage 

opportunities across multiple digital asset trading venues serves to reduce price 

discrepancies and converge prices. The Exchange notes that comparable digital 

asset futures products certified for offering by at least one other DCM are based 

on rates comprised of less than four constituent exchanges; 17

o Focusing the volume- and time-weighted calculations on the trading activity 

16 MGEX’s BTF Futures Contracts and TINI Futures Contacts are based on the Lukka Bitcoin 

Reference Rate, which is comprised only of trade prices executed on Gemini and Bitstamp.

17 See supra note 16.
12

over an hour look-back decreases the likelihood in any attempt to manipulate 

the price over the full period of time by limiting the impact of any one 

transaction and highly mitigating the risk of incorporating outliers into the 

calculation. The one-hour look-back also greatly increases the cost of any 

attempt to manipulate due to arbitrage opportunities during the calculation 

window;

o The Cboe Kaiko Rates are calculated using six 10-minute partitions. 

Calculation of the reference rate across six partitions limits any impact of 

attempted manipulation as transactions made in an attempt to manipulate 

executed during one partition will only have a limited effect on the overall 

reference rate;

o Use of a volume-weighted median calculation is outlier resistant by nature. For 

distributions that may have outliers or may be skewed, as could be the case in 

an attempt to manipulate, the median is significantly less sensitive to outliers 

than the mean. Additionally, volume-weighting serves to reduce higher counts 

of smaller trades that may be outliers and could otherwise impact a non-volume 

weighted median; 

o As described above, Kaiko’s methodology is designed to prevent outliers and 

minimize the impact of any one market deviating in price from the rest of the 

constituent markets. Particularly, to address any potential anomalies or 

manipulation at individual exchanges, the index provider implements measures

that identify and disregard spurious data and that may remove a constituent 

exchange or otherwise revise its methodology in light of, but not limited to, 

fraud, market manipulation, or significant loss of volume or liquidity on a 

constituent exchange;

o The data-sharing and ISAs in place between CDE and Kaiko and the underlying 

exchanges will assist CDE in monitoring for market manipulation and abuses, 

and in enforcing compliance with CDE rules;

o Each of the underlying component exchanges have a comprehensive set of rules 

or binding terms and conditions for members that prohibit members from 

engaging in fraudulent acts, market manipulation and abusive practices, and 

surveillance in place to monitor for any such abusive practices;

o As each constituent exchange is a registered MSB, all members of each 

exchange are subject to rigorous AML/KYC checks and procedures during the 

onboarding process; 

• Pursuant to Rule 409(c), Trading Privilege Holders must make available to the 

Exchange any information regarding their activities in a reference market of an index 

on which a CDE futures product is based, which would include the Products; and

• The Products are subject to Rule 530, which governs position limits. Position limits 

apply to all accounts for which a person directly or indirectly owns (more than 10% 

ownership) or controls the trading, and all positions held by persons acting pursuant to 

an agreement. As described above, the position limits for the Products are substantially 

the same as position limits imposed for similar products on other DCMs.

DCM Core Principle 4 (Prevention of Market Disruption) because CDE Rules prohibit 
13

participants from manipulating the market in, disrupting the orderly functioning of the market 

in, or creating a condition in which prices do not or will not reflect fair market values in the 

Products, and CDE enforces compliance with such CDE Rules. Further, the Amendment 

implements trading halt provisions applicable to the Products, which will halt trading in a 

Product during a circuit breaker event (parameters of which are determined by the Exchange 

and will be made available on its website), and makes it clear in the CDE Rules that the 

Exchange may halt trading or otherwise modify the circuit breaker parameters in its discretion 

in the interests of preserving market integrity, which will contribute toward reducing the 

potential risk of price distortions and market disruptions in the Products;

DCM Core Principle 5 (Position Limits or Accountability) because the Products’ 

contract specification and the Amendment establish an appropriate initial position limit for the 

Products that will serve to reduce the potential for market manipulation in the Products;

DCM Core Principle 7 (Availability of General Information) because the contract 

specifications for each Product will be posted and maintained on CDE’s website;

DCM Core Principle 8 (Daily Publication of Trading Information) because in that 

volume, open interest, settlement prices, and other price information for the Products will be 

made available publicly on a daily basis on CDE’s website consistent with CFTC Regulation 

16.01;

DCM Core Principle 9 (Execution of Transactions) because CDE will make the 

Products available for trading on CDE’s trading system. This provides for a competitive, open, 

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

process of trading on CDE’s centralized market. Block trades in Products must be submitted 

and reporting pursuant to the CDE block trading rules;

DCM Core Principle 10 (Trade Information) because CDE will maintain trade 

information for the Products as part of its audit trail and this information will be accessible to 

CDE Regulation for regulatory surveillance and enforcement purposes;

DCM Core Principle 11 (Financial Integrity of Transactions) because the Products will 

be cleared by CCD, which is registered with the Commission as a DCO and is subject to the 

provisions of the Act and CFTC regulations relating to DCOs;

DCM Core Principle 12 (Protection of Markets and Market Participants) because the 

CDE Rules include prohibitions against abusive practices, including abusive practices 

committed by a party acting as an agent for a participant, that will apply in relation to the 

Products, and promote fair and equitable trading in the Products;

DCM Core Principle 13 (Disciplinary Procedures) because CDE maintains disciplinary 

procedures and rules that authorize the Exchange to discipline market participants that commit 

CDE rule violations, including any rule violations relating to the Products; 
14

DCM Core Principle 14 (Dispute Resolution) because the CDE Rules provide a 

mechanism for market participants to arbitrate disputes that arise out of transactions executed 

on or subject to the rules of the Exchange, including transactions in the Products;

DCM Core Principle 18 (Recordkeeping) because CDE’s recordkeeping procedures, 

established pursuant to Commission Regulation 1.31, will apply with respect to Exchange 

records relating to the Product, including trade records and investigatory and disciplinary files;

DCM Core Principle 19 (Antitrust Considerations) because the listing of the Products

will promote competition with digital asset futures products that are offered for trading on 

other markets; and 

DCM Core Principle 20 (System Safeguards) because CDE maintains system 

safeguards controls and procedures for its operations and automated systems that will be 

utilized to facilitate trading in the Products.

Certification

CDE believes that the impact of the Products offering and the Amendment will be 

beneficial to the public and market participants. CDE is not aware of any substantive opposing 

views to the Amendment. CDE hereby certifies that the listing of the Products and the

Amendment complies with the Act and the regulations thereunder. CDE further certifies that 

it has posted a notice of pending certification with the Commission and a copy of this 

submission on the Cboe Digital website (https://www.cboedigital.com/regulation/exchangenotices/) concurrent with the filing of this submission with the Commission.

Questions regarding this submission may be directed to Rebecca Tenuta at 

rtenuta@cboe.com or (312) 786-7570. 

Sincerely, 

/s/ Rebecca Tenuta

Rebecca Tenuta

Senior Counsel, Cboe Digital
1

www.cboedigital.com © All Rights Reserved

EXHIBIT A

Contract Specifications

Physically-Settled Bitcoin Futures

Description A margin-based physically settled futures contract for bitcoin

Contract Symbol BTC

Contract Size 1 bitcoin, as defined by the Cboe Kaiko Bitcoin Rate (CKBR) Index

Price 

Quotation USD per 1 bitcoin

Minimum

Price 

Increment

$5.00 per bitcoin ($5.00 per contract)

Block trades may be negotiated in $0.01 increments

Listed 

Contracts

Up to 3 weekly expirations, nearest 2 serial months and nearest 4 quarterly 

months

Settlement Physically-settled

Final settlement price is determined pursuant to Rule 906(c) and based upon the 

Cboe Kaiko Bitcoin Rate (CKBR) Index

Trading Days 

and Hours

Sunday through Friday

5:00 p.m. CT (open on previous business day) through 4:00 p.m. CT (close on 

trade date), unless otherwise determined by the Exchange and published in a 

Notice to Participants.

Daily Closing

Time 4:00 p.m. CT

Last Trading 

Day/Time

Weekly - 10:00 a.m. CT Friday* of the expiry week 

Monthly - 10:00 a.m. CT Last Friday* of the contract month 

* Preceding business day if day falls on a non-business day

Block Trade 

Minimum 5 Contracts

Position Limit 20,000 Contracts

Large Trader 

Reporting 5 Contracts

Collateral Withheld Collateral required on a margin-basis. Margin

requirements are published daily on the Cboe Digital 

website at cboedigital.com.

Delivery

Pursuant to the Cboe Clear Digital Rulebook, an Eligible Delivery Member (EDM) 

must deposit all underlying assets required to make delivery immediately upon 

expiration. An EDM must deposit all funds required to take delivery no later 

than one hour following expiration. Delivery is made through the Clearinghouse 

to the EDM’s delivery account. Further information about physical delivery can

be found in Cboe Clear Digital Rule 410.

Forks Support for forksin the underlying product will be evaluated in accordance with 

the Cboe Digital Fork Policy.
2

www.cboedigital.com © All Rights Reserved

Financially-Settled Bitcoin Futures

Description A margin-based financially settled futures contract for bitcoin

Contract 

Symbol FBT

Contract Size 0.1 bitcoin, as defined by the Cboe Kaiko Bitcoin Rate (CKBR) Index

Price Quotation USD per 1 bitcoin

Minimum

Price Increment

$1.00 per bitcoin ($0.10 per contract)

Block trades may be negotiated in $0.01 increments

Listed 

Contracts

Up to 3 weekly expirations, nearest 2 serial months and nearest 4 quarterly 

months

Settlement Financially-settled.

Final settlement price is determined pursuant to Rule 906(c) and based upon the 

Cboe Kaiko Bitcoin Rate (CKBR) Index.

Trading Days 

and Hours

Sunday through Friday

5:00 p.m. CT (open on previous business day) through 4:00 p.m. CT (close on 

trade date), unless otherwise determined by the Exchange and published in a 

Notice to Participants. 

Daily Closing

Time 4:00 p.m. CT

Last Trading 

Day/Time

Weekly - 10:00 a.m. CT Friday* of the expiry Week

Monthly - 10:00 a.m. CT Last Friday* of the contract month

* Preceding business day if day falls on a non-business day

Block Trade 

Minimum 10 Contracts

Position Limit 200,000 Contracts

Large Trader 

Reporting 25 Contracts

Collateral 

Withheld

Collateral required on a margin-basis. Margin 

requirements are published daily on the Cboe Digital 

website at cboedigital.com.

Forks Support for forksin the underlying product will be evaluated in accordance with 

the Cboe Digital Fork Policy.

Physically-Settled Ether Futures

Description A margin-based physically-settled futures contract for ether

Contract Symbol ETH

Contract Size 10 ether, as defined by the Cboe Kaiko Ether Rate (CKER) Index
3

www.cboedigital.com © All Rights Reserved

Price Quotation USD per 1 ether

Minimum

Price Increment

$0.50 per ether ($5.00 per contract)

Block trades may be negotiated in $0.01 increments.

Listed Contracts Up to 3 weekly expirations, nearest 2 serial months and nearest 4 quarterly 

months.

Settlement Physically-settled.

Final settlement price is determined pursuant to Rule 906(c) and based upon the 

Cboe Kaiko Ether Rate (CKER) Index. 

Trading Days 

and Hours

Sunday through Friday

5:00 p.m. CT (open on previous business day) through 4:00 p.m. CT (close on 

trade date), unless otherwise determined by the Exchange and published in a 

Notice to Participants. 

Daily Closing

Time 4:00 p.m. CT

Last Trading 

Day/Time

Weekly - 10:00 a.m. CT Friday* of the expiry Week

Monthly - 10:00 a.m. CT Last Friday* of the contract month

* Preceding business day if day falls on a non-business day

Block Trade 

Minimum 1 Contracts

Position Limit 40,000 Contracts

Large Trader 

Reporting 5 Contracts

Collateral 

Withheld

Collateral required on a margin-basis. Margin 

requirements are published daily on the Cboe Digital 

website at cboedigital.com.

Delivery

Pursuant to the Cboe Clear Digital Rulebook, an Eligible Delivery Member (EDM) 

must deposit all underlying assets required to make delivery immediately upon 

expiration. An EDM must deposit all funds required to take delivery no later 

than one hour following expiration. Delivery is made through the Clearinghouse 

to the EDM’s delivery account. Further information about physical delivery can

be found in Cboe Clear Digital Rule 410.

Forks Support for forksin the underlying product will be evaluated in accordance with 

the Cboe Digital Fork Policy.

Financially-Settled Ether Futures

Description A margin-based financially settled futures contract for ether

Contract 

Symbol FET

Contract Size 1 ether, as defined by the Cboe Kaiko Ether Rate (CKER) Index

Pric

e 

Quotation

USD per 1 ether
4

www.cboedigital.com © All Rights Reserved

Minimum

Pric

e 

Increment

$0.10 per ether ($0.10 per contract)

Block trades may be negotiated in $0.01 increments.

Listed 

Contracts

Up to 3 weekly expirations, nearest 2 serial months and nearest 4 quarterly 

months.

Settlement Financially-settled.

Final settlement price is determined pursuant to Rule 906(c) and based upon the 

Cboe Kaiko Ether Rate (CKER) Index.

Trading Days 

and Hours

Sunday through Friday

5:00 p.m. CT (open on previous business day) through 4:00 p.m. CT (close on 

trade date), unless otherwise determined by the Exchange and published in a 

Notice to Participants. 

Daily Closing

Time 4:00 p.m. CT

Last Trading 

Day/Time

Weekly - 10:00 a.m. CT Friday* of the expiry Week

Monthly - 10:00 a.m. CT Last Friday* of the contract month

* Preceding business day if day falls on a non-business day

Block Trade 

Minimum 10 Contracts

Position Limit 400,000 Contracts

Large Trader 

Reporting 25 Contracts

Collateral 

Withheld

Collateral required on a margin-basis. Margin 

requirements are published daily on the Cboe Digital 

website at cboedigital.com.

Forks Support for forksin the underlying product will be evaluated in accordance with 

the Cboe Digital Fork Policy.
Exhibit B

Amendments to the Cboe Clear Digital Rulebook

(All deletions are struck-through and all additions are underlined)

* * * * *

RULE 533. Position Limit, Position Accountability, Reportable Level, and 

Volume Threshold Level Table

The reportable levels for all Contracts are set forth in the Position Limit, Position Accountability, 

Reportable Level, and Volume Threshold Level Table below. For purposes of the Large Trader 

Report, Contracts shall be reported according to discrete Commodity Code. The reportable level 

is the net long position or the net short position for each discrete Commodity Code. Pursuant to 

Rule 909, concurrent long and short positions must be reported to the Exchange for both sides 

as open positions (i.e., net long positions or net short positions). Such other volume threshold 

reportable levels than those set forth in the Position Limit, Position Accountability, Reportable 

Level, and Volume Threshold Level Table may otherwise be designated by the Commission.

Position Limit, Position Accountability, Reportable Level, and Volume Threshold Level 

Table:

Contract Name Commodity 

Code

Reportable 

Futures Level 

for each 

discrete 

Commodity 

Code (Large 

Trader Report 

and Form 

102A)

Position 

Accountability 

for each 

discrete 

Commodity 

Code

Position Limit for 

each discrete 

Commodity Code

Volume Threshold 

Reportable Level for 

each discrete 

Commodity Code (Form 

102B)

Bitcoin Futures

(physically-settled)

BTC 25 contracts N/A 200,000 250 contracts

Bitcoin Futures

(financially-settled)

FBT 25 contracts N/A 200,000 50 contracts

Ether Futures (physicallysettled)ETH 25 contracts N/A 7540,000 250 contracts

Ether Bitcoin Futures

(financially-settled)

ETBTFET 25 contracts N/A 75400,000 250 contracts
* * * * *

RULE 541. Trading Halts

(a) The market for a Contract will enter into a halt state for a period of time designated by the Exchange,

during Trading Hours for the Contract, if a circuit breaker is triggered: the price of a bid (offer) in the Contract 

is higher (lower) than a percentage designated by the Exchange as compared to the highest (lowest) bid 

(offer) observed during the lookback window as designated by the Exchange. The Exchange shall publish 

the circuit breaker parameters as designated by the Exchange on its website.

(b) The Exchange may, in its discretion, temporarily halt trading in a Contract or modify the circuit breaker 

parameters, including the time of a halt state, to preserve market integrity in a Contract market. Any action

taken in response to an Emergency is governed by Rule 212, including notification to the CFTC of any 

Emergency Rule in accordance with CFTC Regulations.

* * * * *

RULE 906. Settlement Prices

(a) The Exchange, in conjunction with the Clearing House, will determine the Settlement Price for 

Contracts. For each Contract, the Exchange shall publish a daily settlement price and information 

regarding volume, open interest and opening and closing ranges.

(b) Daily Settlement Price. Unless specified in the terms of a Contract, the daily settlement price for all 

Exchange Futures Contracts based on a Digital Currency Asset will be determined as follows:

(1) Based on the volume weighted average price of executed trades for the cContract during 

the last ten (10) minutes of trading on each trading day, where the closing period will be broken 

down into two (2) distinct five (5) minute periods for which the volume weighted average price 

will be calculated and the average of the two (2) value weighted average prices will be the daily 

settlement price;

(2) If no trades occur during the last ten (10) minutes of trading, the last trade in the Exchange’s 

spot market during the same period for the relevant underlying Digital Currency will be used 

and adjusted by the difference between the previous day spot closing price and the previous 

day futures closing price; or

(3) If no trade has occurred in the Exchange’s spot market during this period or in the event 

that the Exchange concludes that the settlement price determined in accordance with the 

foregoing does not fairly represent the market value of the period, the Exchange may determine 

an alternative settlement price. Such determination may be based upon, among other things, 

a third party or combination of third-party index or reference prices.

(c) Final Settlement Price. Unless specified in the terms of a Contract, the final settlement price for all 

Exchange Futures Contracts based on a Digital Asset will be determined based on the reference rate 

of a third-party index, as specified in the relevant Contract specifications, published at the time of 

expiration.
(d) Notwithstanding the foregoing, the Clearing House may modify Settlement Prices in its discretion 

in accordance with Clearing House Rules.

* * * * *

RULE 1101. Bitcoin Futures

Reserved

(a) Physically-Settled Bitcoin Futures.

Description A margin-based physically settled futures contract for bitcoin

Contract 

Symbol BTC

Contract Size 1 bitcoin, as defined by the Cboe Kaiko Bitcoin Rate (CKBR) Index

Price 

Quotation USD per 1 bitcoin

Minimum

Price 

Increment

$5.00 per bitcoin ($5.00 per contract)

Block trades may be negotiated in 

$0.01 increments

Listed 

Contracts

Up to 3 weekly expirations, nearest 2 serial months and nearest 4 quarterly 

months

Settlement Physically-settled. 

Final settlement price is determined pursuant to Rule 906(c).

Trading Days 

and Hours

Sunday through Friday

5:00 p.m. (open on previous business day) through 4:00 p.m. (close on trade 

date), unless otherwise determined by the Exchange and published in a 

Notice to Participants.

Daily Closing

Time 4:00 p.m.

Last Trading 

Day/Time

Weekly - 10:00 a.m. Friday* of the expiry week 

Monthly - 10:00 a.m. Last Friday* of the contract month 

* Preceding business day if day falls on a non-business day

Block Trade 

Minimum 5 Contracts

Position Limit 20,000 Contracts

Large Trader 

Reporting 5 Contracts

Collateral 

Withheld

Collateral required on a margin-basis. Margin

requirements are published daily on the Cboe Digital 

website at cboedigital.com.
Delivery

Pursuant to the Cboe Clear Digital Rulebook, an Eligible Delivery Member (EDM) 

must deposit all underlying assets required to make delivery immediately upon 

expiration. An EDM must deposit all funds required to take delivery no later 

than one hour following expiration. Delivery is made through the Clearinghouse 

to the EDM’s delivery account. Further information about physical delivery can

be found in Cboe Clear Digital Rule 410.

Forks Support for forks in the underlying product will be evaluated in accordance with 

the Cboe Digital Fork Policy.

(b) Financially-Settled Bitcoin Futures.

Description A margin-based financially settled futures contract for bitcoin

Contract 

Symbol FBT

Contract Size 0.1 bitcoin, as defined by the Cboe Kaiko Bitcoin Rate (CKBR) Index

Price 

Quotation USD per 1 bitcoin

Minimum

Price 

Increment

$1.00 per bitcoin ($0.10 per contract)

Block trades may be negotiated in 

$0.01 increments

Listed 

Contracts

Up to 3 weekly expirations, nearest 2 serial months and nearest 4 quarterly 

months

Settlement Financially-settled.

Final settlement price is determined pursuant to Rule 906(c).

Trading Days 

and Hours

Sunday through Friday

5:00 p.m. (open on previous business day) through 4:00 p.m. (close on trade 

date), unless otherwise determined by the Exchange and published in a 

Notice to Participants. 

Daily Closing

Time 4:00 p.m.

Last Trading 

Day/Time

Weekly - 10:00 a.m. Friday* of the expiry Week

Monthly - 10:00 a.m. Last Friday* of the contract month

* Preceding business day if day falls on a non-business day

Block Trade 

Minimum 10 Contracts

Position Limit 200,000 Contracts

Large Trader 

Reporting 25 Contracts

Collateral 

Withheld

Collateral required on a margin-basis. Margin 

requirements are published daily on the Cboe Digital 

website at cboedigital.com.

Forks Support for forks in the underlying product will be evaluated in accordance with 

the Cboe Digital Fork Policy.
RULE 1102. Ether Futures

Reserved

(a) Physically-Settled Ether Futures.

Description A margin-based physically-settled futures contract for ether

Contract 

Symbol ETH

Contract Size 10 ether, as defined by the Cboe Kaiko Ether Rate (CKER) Index

Price 

Quotation USD per 1 ether

Minimum

Price 

Increment

$0.50 per ether ($5.00 per contract)

Block trades may be negotiated on 

$0.01 increments

Listed 

Contracts

Up to 3 weekly expirations, nearest 2 serial months and nearest 4 quarterly 

months.

Settlement Physically-settled.

Final settlement price is determined pursuant to Rule 906(c).

Trading Days and 

Hours

Sunday through Friday

5:00 p.m. (open on previous business day) through 4:00 p.m. (close on 

trade date), unless otherwise determined by the Exchange and published in 

a Notice to Participants. 

Daily Closing

Time 4:00 p.m.

Last Trading 

Day/Time

Weekly - 10:00 a.m. Friday* of the expiry Week

Monthly - 10:00 a.m. Last Friday* of the contract month

* Preceding business day if day falls on a non-business day

Block Trade 

Minimum 1 Contracts

Position Limit 40,000 Contracts

Large Trader 

Reporting 5 Contracts

Collateral 

Withheld

Collateral required on a margin-basis. Margin 

requirements are published daily on the Cboe Digital 

website at cboedigital.com.

Delivery

Pursuant to the Cboe Clear Digital Rulebook, an Eligible Delivery Member (EDM) 

must deposit all underlying assets required to make delivery immediately upon 

expiration. An EDM must deposit all funds required to take delivery no later 

than one hour following expiration. Delivery is made through the 

Clearinghouse to the EDM’s delivery account. Further information about 

physical delivery can be found in Cboe Clear Digital Rule 410.

Forks Support for forks in the underlying product will be evaluated in accordance with 

the Cboe Digital Fork Policy.
(b) Financially-Settled Ether Futures.

Description A margin-based financially settled futures contract for ether

Contract 

Symbol FET

Contract Size 1 ether. by the Cboe Kaiko Ether Rate (CKER) Index

Price 

Quotation USD per 1 ether

Minimum

Price 

Increment

$0.10 per ether ($0.10 per contract)

Block trades may be negotiated in 

$0.01 increments

Listed 

Contracts

Up to 3 weekly expirations, nearest 2 serial months and nearest 4 quarterly 

months.

Settlement Financially-settled.

Final settlement price is determined pursuant to Rule 906(c).

Trading Days 

and Hours

Sunday through Friday

5:00 p.m. (open on previous business day) through 4:00 p.m. (close on trade 

date), unless otherwise determined by the Exchange and published in a 

Notice to Participants. 

Daily Closing

Time 4:00 p.m.

Last Trading 

Day/Time

Weekly - 10:00 a.m. Friday* of the expiry Week

Monthly - 10:00 a.m. Last Friday* of the contract month

* Preceding business day if day falls on a non-business day

Block Trade 

Minimum 10 Contracts

Position Limit 400,000 Contracts

Large Trader 

Reporting 25 Contracts

Collateral 

Withheld

Collateral required on a margin-basis. Margin 

requirements are published daily on the Cboe Digital 

website at cboedigital.com.

Forks Support for forks in the underlying product will be evaluated in accordance with 

the Cboe Digital Fork Policy.

RULE 1103. Ether Bitcoin Futures[Reserved]

Description A fully funded physically settled futures contract for the 

Ether Bitcoin Pair

Contract Symbol ETBT
Contract Size 1 ETH

Price Quotation BTC equivalent of 1 ETH

Minimum Price Increment 0.00001 Bitcoin

Listed Contracts Up to 5 Daily expirations, 3 Weekly expirations, nearest 2 serial 

months and nearest 2 quarterly months.

Settlement Physical Delivery

Trading Hours Sunday 17:00 – Friday 16:00 (CT)

Daily Closing Time 16:00 (CT)

Last Trading Day/Time

Daily - 10:00 (CT) of the expiry day

Weekly - 10:00 (CT) Friday* of the expiry Week

Monthly - 10:00 (CT) Last Friday* of the contract month

* Preceding business day if day falls on a non-business day

Position Limit 75,000

Large Trade Reporting 25 Contracts

Collateral Withheld Buyer: No. of Contracts * Contract Size * Trade Price 

Seller: No. of Contracts * Contract Size

Delivery

Pursuant to the Cboe Clear Digital rulebook, purchase price of 

the future and the underlying deliverable commodity are 

deposited with the Clearinghouse (in accordance with Cboe 

Clear Digital Rules 403 and 315) by the buyer and seller prior to 

the futures trade. Therefore, delivery is made through the 

Clearinghouse to the buyer’s account. Further information 

about delivery can be found in Cboe Clear Digital Rule 410.

Forks Any forks in the underlying blockchain for the digital asset will 

be evaluated in accordance with Exchange Rule 911.

* * * * *

CONTENT

INTRODUCTION 4

REVIEW CALENDAR 5

Scheduled Review and Rebalancing 5

Extraordinary Review 6

METHODOLOGY 7

Data Source 7

Exchange Selection Model 7

Publication Events 8

Rates Calculation 9

1. Step-by-step Methodology 9

2. Inputs 9

3. Volume Weighted Median 10

4. Fixing Price 10

5. Partitioning Scheme 11

6. Data Rounding 11

7. Blockchain Forks 11

8. Data Gaps 11

Missing Data 11

Delayed Data 11

Spurious Data 12

2
Version Publication date Comments

1 26/10/2023 Created

3
INTRODUCTION

This document describes the methodology of the Cboe Kaiko Digital Assets Rates -

(together, the “Cboe Kaiko Rates”). Designed to bring greater transparency to pricing,

the Cboe Kaiko Rates are solely based on executed trades from centralised

exchanges.

Calculation and dissemination: All Cboe Kaiko Rates are calculated hourly.

The list of all rates can be found here:

Rate Kaiko Symbol ISIN

Cboe Kaiko Bitcoin Rate Cboe-KAIKO_BTCUSD TBD

Cboe Kaiko Ether Rate Cboe-KAIKO_ETHUSD TBD

4
REVIEW CALENDAR

Scheduled Review and Rebalancing

Rebalancing is a scheduled, regular process designed to ensure that the Cboe Kaiko

Rates are composed of the most relevant price data feeds and to ensure the Cboe

Kaiko Rates continue to comply with the methodology detailed in this document,

including initial vetting, liquidity and optimization requirements (in particular please

refer to the Exchange Selection Model section).

All Cboe Kaiko Rates will follow the same quarterly rebalancing calendar (March,

June, September and December) with cut off and effective dates structuring the data

collection and processing periods followed by publication periods.

Event Date Description

Cut-off

Last day of the month preceding the

rebalancing

Data collection for composition

determination stops on that day.*

Underlying data

Second Friday of the rebalancing

month

The new exchange composition with

corresponding weights is available.

Effective

Monday after the third Friday of the

rebalancing month

The new exchange composition

becomes effective in the calculation of

the rates.

*For instance, if a 3-month Average Daily Traded Volume must be calculated, the covered period will start 3 months

before the cut-off date and end on the cut-off date (included).

5
Extraordinary Review

On the basis of its qualified and expert judgement, Kaiko, in consultation with Cb

and other relevant stakeholders, reserves the right to exclude or replace an exchange

selected during the Scheduled Review, or to suggest and consult on any

methodology change that Kaiko considers necessary to ensure the Cboe Kaiko Rates

continue to reflect the target underlying economic reality. Such a consultation cou

happen if, for example, an exchange has been found to experience an exclusion

action including but not limited to:

● Fraud

● Market manipulation

● Significant loss of volume or liquidi

In such cases, the Kaiko Index Steering Committee will publish a consultation

document, explaining its findings and any suggested methodology change. A cle

timetable for the consultation will be outlined, including the proposed notice period

that will be provided before the implementation of any change.

6
METHODOLOGY

Cboe Kaiko Rates emphasise data quality. Before any rate can be computed, each

eligible exchange is screened for both quantitative and qualitative aspects. Said

screenings compose a key element to ensure the reliability and authenticity of each

and every rate.

Data Source

The daily price levels are based on the historical tick-by-tick trade data provided by

Kaiko.

Kaiko is the leading source of cryptocurrency market data, providing businesses with

industrial-grade and regulatory-compliant data. Kaiko empowers market participants

with global connectivity to real-time and historical data feeds across the world's

leading centralized and decentralized cryptocurrency exchanges. Kaiko’s proprietary

products are built to empower financial institutions and cryptocurrency business

with solutions ranging from portfolio valuation to strategy backtesting, performance

reporting, charting, analysis, indices, pre-and post-trade.

Exchange Selection Model

Markets in crypto assets are by nature highly fragmented, with hundreds or even

thousands of exchanges spread over different geographical areas, each with their

own regulatory framework. Each crypto asset trading platform works as an

independent dark pool, and as such, official statistics and research data are rar

publicly available.

As a global digital asset market data provider, Kaiko covers more than one hundred

cryptocurrency exchanges. However, not all exchanges offer the same level of

standards in terms of legal and compliance frameworks, infrastructure security,

liquidity, data quality or even technology.

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An asset-agnostic vetting is built on Kaiko Exchange Ranking parameters. The

Exchange Ranking assessment is carried out on a quarterly basis by the Kaiko team,

and approved by the Kaiko Exchange Ranking Steering Committee.

Criteria

Absent from any sanction list Yes

Has been operating for the past 5 Years

Located in stable and open country Yes

Regulated by an independent government body Yes

KYC/AML controls Strong

Trading Policies Significa

Offers reliable REST API & WebSocket data feeds Yes

Offers reliable live & historical trade data Yes

Provide cold storage for customers funds Yes

All exchanges fulfilling all criteria mentioned above constitute the Kaiko Vett

Exchanges List (KVEL) for the respective rates. Upon each quarterly review of the

Exchange Ranking, a new associated KVEL is created. Kaiko’s Exchange Ranking

history goes back to January 2022. For the purposes of index and rate performance

history older rebalancing periods will be associated with the January 2022 Exchange

Ranking Review. Subsequent exchange selections will rely on their respective

Exchange Ranking Review.

Additionally, the liquidity of each exchange in the relevant pairs is assessed to only

consider meaningful contributors, defined as at least 0.5% of the total observ

liquidity over the past 3 months in the relevant pair.

For the purpose of the Cboe Kaiko Rates computation, only market data coming from

the following members of the KVEL are considered: Cboe Digital, LMAX, itBit and

Bitstamp. In accordance with the Extraordinary Review section above, any material

change to the methodology would be subject to consultation with all relevant

stakeholders.

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Publication Events

The Cboe Kaiko Rates are published on an hourly basis and use a fixed calculati

window:

Rate Publication Interval Calculation Window

Cboe Kaiko Bitcoin Rate Hourly fixings Fixed at 3600 secon

Cboe Kaiko Ether Rate Hourly fixings Fixed at 3600 secon

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Rates Calculation

The aggregation methodology consists of splitting the calculation period considered

into equal size partitions and, for each of them, extracting the most representative

trade whose price will be used for the final rate calculatio

All trades in the relevant pair from the relevant exchanges are pooled together and

grouped into relevant time partitions. For each partition, the most representative

trade is defined as the volume median on

1. Step-by-step Methodology

● At fixing time, collect all executed trades in the calculation window (before t

fixing) on all selected exchange

● Merge all the executed trades from the different exchanges in the same dataset

sorted by prices in ascending order.

● Create K partitions of S size from the calculation window (eg. 1h calc. window

part

with 10 partitions of 6 min).

● Each partition is then subject to a Volume Weighted Median (outlier resistant by

nature). A detailed description of this aggregation method is provided below.

● A time weight is associated with each partition’s volume-weighted median (more

weights to the last partitions which are the most recent).

● Aggregation of those weighted prices (eg. 10 prices aggregated on 1h calc.

window) to obtain the fixing price for this publication even

2. Inputs

Symbol Name Description

t Event The timestamp at which the fixing price (FP) 

calculated.

S

wind

Calculation Window Size Size of the calculation period for which trades are

collected and aggregated.

S

part

Partition Size Size of each partition in the calculation window.

K Number of Partitions The number of partitions is an integer calculated as

S . wind/S

part

k Partition Number k partition.

th

I

k

Partition Trade Distribution List of trades included in partition k and ordered by

ascending price.

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p

i

k Partition Trade Price i trade price in the partition (price-orderedth

k

th

distribution).

v

i

k Partition Trade Volume i trade volume in the partition (price-orderedth

k

th

distribution).

VWMk

Volume-Weighted Median Volume-weighted median of the

k partition.

th

FP

t

Fixing Price Fixing price (FP) at time t.

3. Volume Weighted Median

The volume-weighted median (VWM ) is calculated as the price ( ) of the trade k

p

j

k

j

th

where the j trade is the trade that lies at 50% of the cumulative volume for the th

partition k. VWM is calculated for each partition in :

k

S

wind

4. Fixing Price

The Fixing Price (FP) is calculated as a time weighted average price (TWAP) of all

the VWM of all the partitions. We implement a sensitivity calibration method on k

K

partitions to increase the weight of the most recent prices included in the calculation

window.

First, we apply a specific weighting function in order to obtain weights which a

inversely proportional to time t. It gives:

The weights are then normalised:

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Thus, the fixing price is equal t

5. Partitioning Scheme

Each rate breaks down the window size into n partitions of equal size. Here is a

summary of all the window size / partitions number combinations:

Rate Number of partitions Calculation Window

Cboe Kaiko Bitcoin Rate 10 Fixed at 3600 seconds

Cboe Kaiko Ether Rate 10 Fixed at 3600 seconds

6. Data Rounding

All rates are calculated with all available decimals but published with two decimals.

7. Blockchain Forks

In the event of a fork of the blockchain, the ticker used on each Constituent

Exchange may be adjusted in order to represent the relevant instrument.

8. Data Gaps

Missing Data

At the time of the calculation (t), some relevant transactions may be missing for an

array of reasons. If no relevant transactions are recorded on the relevant partition,

the corresponding partition is excluded from the calculation and weights are

adjusted accordingly. If no relevant transactions are recorded in the entire

calculation window, the price is not published.

Delayed Data

If for any reason Kaiko was unable to retrieve relevant transactions at the Calculation

Time, the corresponding partition is excluded from the calculation.

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Spurious Data

If for any reason any transactions were identified as potentially suspect within

partition, the most representative trade may be adjusted to disregard the spurious

data.

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