Cboe S&P 500 VARIANCE FUTURES

Pre-launch Resource Hub

The Pre-launch Resource Hub is designed to provide market participants with information regarding planned Cboe products, including information that may be useful in preparing to trade Cboe products on their day one launch.

If there is other information that you would like to see provided here, please contact us.

What Are S&P 500 Variance (VA) Futures?

S&P 500 Variance (VA) futures is a product that Cboe Futures Exchange, LLC (CFE) plans to offer for trading. CFE previously offered VA futures for trading with a different product design. CFE plans to relaunch a VA futures contract that leverages experience from the prior contract and feedback from market participants.

VA futures are cash-settled futures contracts based on the realized variance of the S&P 500 Index.

Variance is a statistical measure of the variability of price returns. As further described in proposed contract specifications for VA futures, the final settlement value of a VA futures contract is determined based on a formula for calculating the annualized realized variance of the S&P 500 Index measured from the initial listing date of the contract until the final settlement date of the contract.

Resources

Document Name Date
Cboe Futures Exchange Risk Management Specification July 18, 2023
S&P 500 Variance Futures: New Contract Design Proposal March 6, 2024
Variance Calculator User Guide June 5, 2024
Contract Specifications - Draft June 7, 2024
S&P 500 Variance Futures FAQ June 10, 2024
Cboe S&P 500 Variance Futures Whitepaper (Coming soon)

Cboe Futures Exchange (CFE) Rules

The CFE Rulebook includes rules that govern trading on CFE. The Policies and Procedures section contains policies and procedures that supplement the rules in the CFE Rulebook. These documents will be updated to include rules relating to VA futures upon the launch of the product.

Contact Us

Global Sales CFE Market Data CFE Trade Desk
Natalie Reed
Director of Global Derivatives Sales
[email protected]
Market Data Services
[email protected]
212-378-8821
CFE Trade Desk
[email protected]
312-786-8700

Disclaimers:
This document is a high-level overview of what is currently contemplated. The information included is subject to change and to more detailed provisions that would be put in place in connection with the planned relaunch of VA futures. Additionally, the planned relaunch of VA futures remains subject to regulatory review.

There are important risks associated with transacting in any of the Cboe Company products or any digital assets discussed here. Before engaging in any transactions in those products or digital assets, it is important for market participants to carefully review the disclosures and disclaimers contained at: https://www.cboe.com/us_disclaimers.

These products and digital assets are complex and are suitable only for sophisticated market participants. In certain jurisdictions, including the United Kingdom, Cboe Digital products are only permitted for investment professionals, certified sophisticated investors, or high net worth corporations and associations.

These products involve the risk of loss, which can be substantial and, depending on the type of product, can exceed the amount of money deposited in establishing the position.

Market participants should put at risk only funds that they can afford to lose without affecting their lifestyle.

Hypothetical scenarios are provided for illustrative purposes only. The actual performance of financial products can differ significantly from the performance of a hypothetical scenario due to execution timing, market disruptions, lack of liquidity, brokerage expenses, transaction costs, tax consequences, and other considerations that may not be applicable to the hypothetical scenario.

S&P, S&P 500, US500, 500, THE 500, SPDR, SPX, and DSPX are trade names or trademarks of S&P Dow Jones Indices, LLC, or its affiliates ("S&P"). Any products that have an S&P index as their underlying interest are not sponsored, endorsed, sold, or promoted by S&P and S&P makes no representation regarding the advisability of investing in any investment product that is based on any such indices.

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