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The S&P 500 Variance futures contract, like over-the-counter (OTC) variance swaps, allows users to trade the difference between the implied and realized variance of the S&P 500 Index. CFE's futures contract will offer the same quoting conventions and economic performance of OTC variance swaps, while providing the advantages of exchange-traded contracts -- transparency, price discovery and counterparty clearing guarantees.
The new S&P 500 Variance futures contract is designed to offer benefits to both current OTC users as well as to customers who have not traditionally participated in the OTC variance swap market.
"The S&P 500 Variance futures contract is our latest effort to attract OTC participants to our marketplace by customizing our proprietary products and services to fit their needs," CBOE Holdings President and COO
Edward T. Tilly said. "We're seeing OTC market participants increasingly turn to exchange-traded products, and S&P 500 Variance futures will be an appealing addition to our line of OTC-like products."
CFE also plans to begin a Lead Market Maker Program (LMM) for S&P 500 Variance futures, and an affiliate of DRW Trading Group has been approved as an LMM. DRW Trading Group is a principal trading organization that trades across a wide range of asset classes for its own account.
For more information on S&P 500 Variance futures:
About CBOE Futures Exchange:CFE currently offers nine contracts: CBOE Volatility Index (The VIX Index) futures (VX), Mini-VIX futures (VM), CBOE Nasdaq-100 Volatility Index (VXN) futures (VN), CBOE Gold ETF Volatility Index (GVZ) security futures (GV), CBOE Crude Oil ETF Volatility Index (OVX) security futures (OV), CBOE Emerging Markets ETF Volatility Index (VXEEM) security futures (VXEM), CBOE Brazil ETF Volatility Index (VXEWZ) security futures (VXEW), CBOE S&P 500 3-Month Variance futures (VT), and Radar Logic 25-Metropolitan Statistical Area (MSA) RPX Composite Index futures (RPXCP). CFE, a wholly-owned subsidiary of CBOE Holdings, Inc. (NASDAQ: CBOE), offers an all-electronic, open-access market model, with traders providing liquidity and making markets. CFE is regulated by the Commodity Futures Trading Commission (CFTC) and all trades are cleared by the OCC. More information on CFE and its products, including contract specifications, can be found at: