Bringing you live news and features since 2006 

Coins

CFE modifies pricing for S&P 500 Variance futures contract

RELATED TOPICS​

CBOE Futures Exchange will revise the pricing method for its S&P 500 Variance (VA) futures contract, which began trading on CFE in December 2012, on 24 June. 

 
The change involves the timing of when CFE converts volatility points to futures prices so that the prices of VA futures are more directly comparable to prices in the over-the-counter (OTC) variance swap market.
 
The conversion, which previously was calculated during the trading session, now will occur after the close of trading in Variance futures. This change allows CFE to include the current day’s closing value for the S&P 500 in the conversion calculation.
 
"Working with market participants to grow variance trading and the volatility space is a very high priority for CFE this year and beyond," says Jim Lubin, CFE senior managing director. "Given the feedback we’ve received from customers, we think they will embrace this contract change, which now more closely aligns our S&P 500 Variance futures contract with OTC variance swaps. In addition, VA futures continue to offer customers the benefits inherent in exchange-traded products."
 
Variance futures measure the difference between the expected and actual variance of an underlying instrument over a fixed time period.
 
The VA futures contract is aimed at both existing OTC users and customers who have not traditionally participated in the OTC variance swap market – both who increasingly may be looking to use exchange-traded products to mitigate counterparty risk.
 

Latest News

Saving and investing app, Moneybox, has doubled the number of ETFs available on the platform, in the light of ‘growing..
Global X ETFs has announced the appointment of Ryan O'Connor as its Chief Executive Officer effective as of April 8, 2024. ..
Value-driven structured credit investing firm, Angel Oak Capital Advisors, LLC, has announced the completed conversions of two of its mutual..
Confidence in the continuing strength of bitcoin and Ethereum is driving wider interest in altcoins and other digital assets, according..

Related Articles

Sal Esposito, Zacks Investment Management
Zacks Investment Management started doing investment research in 1978 and in 1992 started its investment management arm, initially with SMAs...
Jeremy Senderowicz, Vedder Price
Jeremy Senderowicz, a member of the Investment Services Group at law firm Vedder Price, has witnessed a steady upswing in...
Graham MacKenzie, Toronto Stock Exchange
The evolution of ETFs has been a multi-decade experience for Toronto Stock Exchange says Graham MacKenzie, managing director, Exchange Traded...
Frank Koudelka, State Street Global Services
ETF data provider and ETF Express data partner, Trackinsight, has published its Global ETF Survey 2024 Report: ‘50+ Charts on...
Subscribe to the ETF Express newsletter

Subscribe for access to our weekly newsletter, newsletter archive, updates on the site and exclusive email content.

Marketing by