|EUR/USD 3-Month Realized Volatility Futures|
|Quarterly Realized Volatility||3-month realized volatility calculated as annualized standard deviation of log returns of daily settlement prices as follows.
Where Pt is daily futures settlement price on day t and N is number of business days in 3-month calculation period where period commences on 1st business day after 2nd Friday immediately preceding 3rd Wednesday of 3rd calendar month preceding named contract month; and, terminates on 2nd Friday preceding 3rd Wednesday of contract month. Days where futures settlements are unavailable do not contribute to calculation. Result is multiplied by 100, thus, 20% (0.20) volatility expressed as 20.00; 10% (0.10) volatility expressed as 10.00.
|Underlying Price Series||Based on daily futures settlement price for the quarterly EUR/USD futures contract.|
|Contract Size||$1,000 times 3-Month Realized Volatility. E.g., volatility moves from 20% to 25%, nominal contract value fluctuates from $20,000 to $25,000, or $5,000.|
|Tick Size||Minimum price fluctuation or “tick” of 0.01 (=$10.00 per contract) for outrights; “half-tick” of 0.005 (=$5.00 per contract) for calendar spreads.|
|Contract Month Listings||Outrights: 1st 3 contracts in March quarterly cycle of March, June, September and December.
Calendar Spreads: 1st March quarterly vs. 2nd March quarterly, 2nd March quarterly vs. 3rd March quarterly
|Settlement Procedure||FX Realized Volatility Futures Daily Settlement Procedure (PDF)
EUR/USD 3-Month Realized Volatility Futures Final Settlement Procedure (PDF)
|Position Accountability||5,000 contracts|
|Ticker Symbol||CME Globex Electronic Markets: 36E|
|Trading Hours||CME Globex (ETH)||Sundays: 5:00 p.m. – 4:00 p.m. Central Time (CT) next day. Monday – Friday: 5:00 p.m. – 4:00 p.m. CT the next day, except on Friday - closes at 4:00 p.m. and reopens Sunday at 5:00 p.m. (CT)|
|CME ClearPort||Sunday – Friday 5:00 p.m. – 4:15 p.m. Central Time (CT) with a 45–minute break each day beginning at 4:15 p.m. (CT)|
|Last Trade Date / Time
|Trading ceases at 2:00 pm (CT) on 2nd Friday immediately preceding 3rd Wednesday of contract month and concurrently with calculation of final CME currency fixing price in the calculation period.|
|Exchange Rule||These contracts are listed with, and subject to, the rules and regulations of CME.|
|Block Trade Eligibility||Yes. View more on Block Trade eligible contracts.|
|Block Trade Minimum||50 Contracts|
|EFP Eligibility||Yes. View more on EFPs.|