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EUR/USD 3-Month Realized Volatility Futures
| 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. |
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| 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 |
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| Settlement Procedure | FX Realized Volatility Futures Daily Settlement Procedure (PDF) EUR/USD 3-Month Realized Volatility Futures Final Settlement Procedure (PDF) |
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| Position Accountability | 5,000 contracts | ||||
| Ticker Symbol | CME Globex Electronic Markets: 36E | ||||
| Trading Hours | 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 6:00 p.m. – 5:15 p.m. (5:00 p.m. – 4:15 p.m. Chicago Time/CT) with a 45–minute break each day beginning at 5:15 p.m. (4:15 p.m. CT) | ||||
| Last Trade Date / Time View calendar |
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. | ||||
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