CBOE - Cboe Announces Options Tick Increment Change For VIX Options
(NewsDirect)
Cboe Futures Exchange LLC (CFE) and CboeOptions Exchange (C1) implemented the following changes to the CboeVolatility Index (VIX) options and Mini Cboe Volatility Index (VXM)futures:
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CFE reduced the tick size for VXMfutures.
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C1 modified theminimum tick size for electronic and verbal bids and offers onsingle-leg quotes and orders in VIX options.
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C1 will require a minimum size on electronicmarket-maker quotes in VIX options.
CFE reduced the minimumincrement for VXM futures from 0.05 index points (which has a value of$5 per contract) to 0.01 index points (which has a value of $1 percontract). This minimum increment applies with respect to single-legVXM futures transactions executed through CFE’s trading system. Thecurrent minimum increments for VXM futures for the individual legs andnet prices of spread trades (0.01 index points), for Exchange ofContract for Related Position (ECRP) transactions (0.005 index points)and for Block Trades (0.005 index points) will remain at theirexisting levels.
Specifically, CFE has modified the minimum tick size forelectronic and verbal bids and offers on single-leg quotes and ordersin VIX options as follows:
| Bid or OfferPrice |
| CurrentIncrement |
| NewIncrement |
| Under$3 |
| $ 0.05 |
| $ 0.01 |
| Over $3 |
| $ 0.10 |
| $ 0.05 |
The net price on ordersand verbal quotes for complex orders in VIX options of any ratio, aswell as for all single-leg and complex AIM orders and auctionresponses, will remain at $0.01 regardless of pricelevel.
Minimum Electric Quote Size Requirement
C1 requires a minimumsize on electronic market-maker quotes in VIX options, asfollows:
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The initial minimummarket-maker quote size requirement during all non-RTH sessions andall opening rotations, and for intraday electronic bids and offersreceived by the system no later than 3,000 milliseconds after a seriesopens, will remain at one contract.
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Minimum electronic quotesize requirements will be systematically enforced; quotes forinsufficient size will be automatically rejected.
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See the below chart forinitial minimum market-maker quote size requirements that will applyfor intraday RTH electronic bids and offers received more than 3,000milliseconds after the opening of a series. The initial minimummarket-maker quote size requirement during all non-RTH sessions andall opening rotations, and for intraday electronic bids and offersreceived by the system no later than 3,000 milliseconds after a seriesopens, will remain at one contract.
| Days toExpiration |
| QuoteBid/Offer |
| <= 7 Days |
| 8-14 Days |
| 15-60Days |
| 61-90 Days |
| >= 91 Days |
| 0.00-0.50 |
| 250 |
| 750 |
| 500 |
| 300 |
| 250 |
| 0.51-3 |
| 200 |
| 500 |
| 350 |
| 250 |
| 200 |
| 3.01-10 |
| 150 |
| 300 |
| 250 |
| 200 |
| 150 |
| 10.01-20 |
| 100 |
| 200 |
| 150 |
| 100 |
| 100 |
| Greater than20 |
| 50 |
| 100 |
| 100 |
| 50 |
| 50 |
Cboe notes that theinitial minimum electronic quote size requirement will remain at onecontract in all other classes, except for symbol SPX (but not SPXW)during RTH, the initial minimum quote size requirements for which areavailable here .
Cboe also notes that the changesdescribed in this notice will not impact VIXW, which will continue tobe quoted in $0.01 increments and will continue to have an initialminimum electronic quote size of one contract.
TestingOpportunities And Additional Information
This functionality is currently available fortesting in the C1 and CFE certification environments. Please contactreginterps@cboe.com for regulatory questions or the Cboe Trade Deskfor support or with any other questions.
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