Contract Names
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Australian Dollar/U.S. Dollar (AUD/USD) Realized Variance Futures Contract
Great British Pound/U.S. Dollar (GBP/USD) Realized Variance Futures Contract
Euro/U.S. Dollar (EUR/USD) Realized Variance Futures Contract
Japanese Yen/U.S. Dollar (JPY/USD) Realized Variance Futures Contract
WTI Crude Oil Realized Variance Futures Contract
Brent Crude Oil Realized Variance Futures Contract
Natural Gas Realized Variance Futures Contract
Gold Realized Variance Futures Contract
Silver Realized Variance Futures Contract
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Commodity Codes and Rule Book Chapter
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AUD/USD (commodity codes: VAQ, VAS, VAY; CME rulebook chapter: 255J)
GBP/USD (commodity codes: VPQ, VPS, VPA; CME rulebook chapter: 251J)
Euro/USD (commodity codes: VEQ, VES, VEA; CME rulebook chapter: 261J)
JPY/USD (commodity codes: VJQ, VJS, VJY; CME rulebook chapter: 253J)
WTI Crude Oil (commodity codes: VLR, VLS, VLA; NYMEX rulebook chapter 1230)
Brent Crude Oil (commodity codes: VBQ, VBS, VBY; NYMEX rulebook chapter 1231)
Natural Gas (commodity codes: VNQ, VNS, VNA; NYMEX rulebook chapter 1232)
Gold (commodity codes: VGQ, VGS, VGA; COMEX rulebook chapter 1233)
Silver (commodity codes: VSQ, VSS, VSY; COMEX rulebook chapter 1234)
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Floating Price
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The Floating Index Price or Realized Variance shall be calculated as the annualized variance of the continuously compounded percentage returns from one observation point to the next over the life of the contract. The Realized Variance will be calculated by formula.
The formula shall be 252n . i=1n[lnSiSi-12* 10,000]' type="#_x0000_t75">, rounded to the nearest .01 index point
Where:
n' type="#_x0000_t75"> Number of observations taken in the life of the contract
i' type="#_x0000_t75"> The period being observed
Si' type="#_x0000_t75"> (1) For the CME currency contracts the 4:00 p.m. fixing price of the spot rate reported by Bloomberg’ (2) For the NYMEX Crude Oil, Brent Crude Oil, and Natural Gas variance contracts, the first nearby futures contract settlement price. Upon expiration of the first nearby Crude Oil, ICE Brent Crude Oil, and Natural Gas Options, the second nearby futures settlement price will be used until the termination day of the first nearby futures, and (3)For the COMEX Gold and Silver contracts, the PM fixing of the London Bullion Marketing Association.
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Contract Size
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$1 multiplier. The contract value shall be $1 times the Floating Index Price.
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Termination
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Last business day of the contract month
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Minimum Tick
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0.01 index point
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Listing Convention
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4 consecutive quarterly contracts, 2 consecutive semi-annual contracts and 2 consecutive annual contracts
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Fee Schedule for FX Variance Products
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All In
Fee
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Member
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Individual Equity Members/Clearing Members/Rule 106.J Equity Members/Rule 106.I Members/Rule 106.S Member Approved Funds; Rule 106.D Lessees / Rule 106.F Employees; Rule 106.R Electronic Corporate Member - Holding Member; Rule 106.R Electronic Corporate Member - Volume Incentive; Rule 106.H/N Firms
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$0.05
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Non-Equity Member
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Asian Incentive Program (AIP) Participants; International Incentive Program (IIP) Participants; Latin American Bank Incentive Program (LABIP); Latin American Commercial Incentive Program (LACIP) Participants; Latin American Fund Manager Incentive Program (FMIP) Participants; CTA/Hedge Fund Incentive Program Participants
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$0.07
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Non-Member
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CBOE Members (reduced for S&P Index & E-mini S&P only); Customers of Member Firms (Non-Members)
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$0.10
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Other Processing Fees for FX Variance
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Rate
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EFP Surcharge
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$0.00
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Block Trade Surcharge
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$0.00
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106.D Lessee/106.H Brokerage
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N/A
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106.F Employee Brokerage
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N/A
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Floor / "New" Brokerage
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N/A
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Position Transfers /Position Adjustments
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$0.02
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Give-Up Surcharge
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$0.02
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Exercise & Assignment Surcharge
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N/A
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Facilitation Desk Fee
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$0.05
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Current Fee Programs
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(Inclusion/Exclusion)
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New Product Access Program
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Excluded
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FX Volume Discount
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Excluded
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NTIP (New Trader Incentive Program)
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Included
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IVIP (International Volume Incentive Program)
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Excluded
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FX Market Maker Programs
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Excluded
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Extended Access Program
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Excluded
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Exchange Fees for Crude Oil, Brent Crude Oil, and Natural Gas
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Member Day
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Member
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Cross Division
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Non-Member
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IIP
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ClearPort
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n/a
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$.05
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$.07
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$.10
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Globex
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n/a
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$.05
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$.07
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$.10
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n/a
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Pit
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n/a
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n/a
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n/a
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n/a
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Exchange Fees for Gold
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|||||
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Member Day
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Member
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Cross Division
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Non-Member
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IIP
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ClearPort
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n/a
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$.06
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$.08
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$.12
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Globex
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n/a
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$.06
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$.08
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$.12
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n/a
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Pit
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n/a
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n/a
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n/a
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n/a
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Exchange Fees for Silver
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Member Day
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Member
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Cross Division
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Non-Member
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IIP
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|||||
ClearPort
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n/a
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$.15
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$.22
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$.30
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Globex
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n/a
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$.15
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$.22
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$.30
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n/a
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Pit
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n/a
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n/a
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n/a
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n/a
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Processing Fees
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Member
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Non-Member
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Cash Settlement
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$.02
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$.03
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Futures from E/A
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n/a
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n/a
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House Acct
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Cust Acct
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||||||
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Options E/A Notice
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n/a
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n/a
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Delivery Notice
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n/a
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n/a
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Additional Fees and Surcharges
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||||||||
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EFS Surcharge
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n/a
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Block Surcharge
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n/a
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Facilitation Desk Fee
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$.05
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ClearPort Volume Discount Program - Exchange Fees
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Volume Threshold
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Disc. Member Rate
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Disc. Non-Member Rate
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|||||
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ClearPort
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n/a
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n/a
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n/a
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