CBOE DJIA Volatility Index Futures

CBOE DJIA Volatility Index (VXD) futures, now delisted, was a futures contracts based on “variance” and on “volatility” and listed on the CBOE Futures Exchange (CFE), launched for trading on April 25, 2005. It is based on real-time prices of options on the Dow Jones Industrial Average (DJIA), listed on the Chicago Board Options Exchange (Symbol: DJX), and is designed to reflect investors' consensus view of future (30-day) expected stock market volatility. 
== Contract Specifications ==
CONTRACT SIZE 	The contract multiplier for the VXD futures contract is $1000 times the Cash Index Value - VXD
TRADING HOURS 	8:30 a.m. - 3:15 p.m. Chicago Time
TRADING PLATFORM 	CBOE Command
CONTRACT MONTHS 	Up to 6 near-term serial months and 5 months in the February quarterly cycle (February, May, August, November) may be listed for the VXD futures contract.
TICKER SYMBOLS 	Futures - DV; Cash Index - VXD
PRICING CONVENTIONS 	Both futures prices and cash index levels are stated in decimal format.
MINIMUM PRICE INTERVALS 	0.01 of one CBOE DJIA 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 VXD 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 VXD 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 VALUE 	The final settlement value for VXD futures is a Special Opening Quotation (SOQ) of VXD calculated from the sequence of 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 value will be rounded to the nearest $0.01. If the final settlement value is not available or the normal settlement procedure cannot be utilized due to a trading disruption or other unusual circumstance, the final settlement value will be determined in accordance with the rules and bylaws of The Options Clearing Corporation. Click here for more information about VXD futures settlement.
DELIVERY 	Settlement of VXD futures contracts will result in the delivery of a cash settlement amount on the business day immediately following the Final Settlement Date. The cash settlement amount on the Final Settlement Date shall be the final mark to market amount against the final settlement value of the VXD futures multiplied by $1000.
POSITION LIMITS 	CFE Rule 1702 (d) - A person may not own or control more than 5,000 contracts net long or net short. 
For the purposes of this rule, the positions of all accounts directly or indirectly owned or controlled by a person or persons, and the positions of all accounts of a person or persons acting pursuant to an expressed or implied agreement or understanding shall be cumulated. 
The foregoing position limit shall not apply to bona fide hedge positions meeting the requirements of Commission Regulation §1.3(z)(1) and the rules of the Exchange.
MINIMUM REPORTABLE LEVEL	25 or more contracts
== References ==
 
Category:Financial Futures Contracts
Category:Futures Contracts Traded on CBOE Futures Exchange