• Listing of a Crude Oil Volatility Index (VIX®) Option and a Gold Volatility Index (VIX®) Option Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-5468
      • Notice Date
      • 20 December 2010
      • Effective Date
      • 23 January 2011
    • Beginning on Sunday, January 23, 2011, for trade date Monday, January 24, 2011, the New York Mercantile Exchange, Inc. (NYMEX) and the Commodity Exchange, Inc. (COMEX) will list a Crude Oil Volatility Index (VIX®) Option and a Gold Volatility Index (VIX®) Option, respectively, for trading on CME Globex® and for clearing through CME ClearPort®.

      These two option contracts are based on volatility indexes that combine NYMEX’s and COMEX’s options market data on CME Globex® for each of crude oil and gold with the Chicago Board Options Exchange (CBOE) Volatility Index® (VIX®) methodology.  The Crude Oil Volatility Index will be a 30-day forward looking index value on option implied volatility while the one for Gold will be a 60-day forward looking index value on option implied volatility. These contracts will be listed with NYMEX and COMEX, and subject to, the rules and regulations of NYMEX, COMEX and Chicago Mercantile Exchange Inc.

      Specifications for the Crude Oil Volatility Index (VIX®) Option contract to be listed on NYMEX:

      ·         Commodity code: CVP

      ·         Option Type: European

      ·         Settlement Type: Financial

      ·         Underlying: Crude Oil Volatility Index (VIX) Futures (Code: CVF)

      ·         Multiplier: $500

      ·         Minimum Price Fluctuation: 0.01 index points = $5

      ·         Trading Months: 12 consecutive months

      ·         First Listed Month: April 2011

      ·         Expiration Time and Date: Crude Oil Volatility Index (VIX®) Option contract will expire at 2:30 p.m. Eastern Time (1:30 p.m. CT) 30 calendar days prior to the expiration of the NYMEX Light Sweet Crude Oil Option (LO) for the same contract month. If such day is not an Exchange business day, trading shall cease on the business day immediately prior.

      ·         Rule Chapter: 983

      Specifications for the Gold Volatility Index (VIX®) Options contract to be listed on COMEX:

      ·         Commodity Code: GVP

      ·         Option Type: European

      ·         Settlement Type: Financial

      ·         Multiplier: $500

      ·         Minimum Price Fluctuation: 0.01 index points = $5

      ·         Trading Months: next 6 cycle months (February, April, June, August, October and December)

      ·         First Listed Month: April 2011

      ·         Expiration Time and Date: Gold Volatility Index (VIX®) Option contract will expire at 9:30 a.m. Eastern Time (8:30 a.m. CT) 30 calendar days prior to the expiration of the COMEX Gold Option (OG) for the same contract month. If such day is not an Exchange business day, trading shall cease on the business day immediately prior.

      ·         Rule Chapter 985

      Trading Hours

      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).

      CME Globex®: 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).

      Fees

      Product

      CME Globex Exchange Fee

      CME ClearPort Exchange Fee

      Cash Settlement

      Member Day

      Member Overnight

      Cross Division

      Non Member

      Member

      Non Member

      Member

      Non Member

      Crude Oil Volatility Index (VIX®) Option

      $0.45

      $1.75

      $2.10

      $ 2.50

      $1.75

      $2.50

      $0.90

      $1.15

      Gold Volatility Index (VIX®) Option (waived through July 31, 2011)

      $0.45

      $0.70

      $0.95

      $1.45

      $0.70

      $1.45

      $0.57

      $1.15

      This session has been closed.

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