Cboe Announces Options Tick Increment Change For VIX Options

Cboe Announces Options Tick Increment Change For VIX Options

Cboe Futures Exchange LLC (CFE) and Cboe Options Exchange (C1) implemented the following changes to the Cboe Volatility Index (VIX) options and Mini Cboe Volatility Index (VXM) futures:

  • CFE reduced the tick size for VXM futures.
  • C1 modified the minimum tick size for electronic and verbal bids and offers on single-leg quotes and orders in VIX options.
  • C1 will require a minimum size on electronic market-maker quotes in VIX options.

CFE reduced the minimum increment 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 per contract). This minimum increment applies with respect to single-leg VXM futures transactions executed through CFE’s trading system. The current minimum increments for VXM futures for the individual legs and net prices of spread trades (0.01 index points), for Exchange of Contract for Related Position (ECRP) transactions (0.005 index points) and for Block Trades (0.005 index points) will remain at their existing levels. 

Specifically, CFE has modified the minimum tick size for electronic and verbal bids and offers on single-leg quotes and orders in VIX options as follows: 

Bid or Offer Price

Current Increment

New Increment

Under $3

$0.05

$0.01

Over $3

$0.10

$0.05

The net price on orders and verbal quotes for complex orders in VIX options of any ratio, as well as for all single-leg and complex AIM orders and auction responses, will remain at $0.01 regardless of price level.

Minimum Electric Quote Size Requirement

C1 requires a minimum size on electronic market-maker quotes in VIX options, as follows:

  • The initial minimum market-maker quote size requirement during all non-RTH sessions and all opening rotations, and for intraday electronic bids and offers received by the system no later than 3,000 milliseconds after a series opens, will remain at one contract.
     
  • Minimum electronic quote size requirements will be systematically enforced; quotes for insufficient size will be automatically rejected.
     
  • See the below chart for initial minimum market-maker quote size requirements that will apply for intraday RTH electronic bids and offers received more than 3,000 milliseconds after the opening of a series. The initial minimum market-maker quote size requirement during all non-RTH sessions and all opening rotations, and for intraday electronic bids and offers received by the system no later than 3,000 milliseconds after a series opens, will remain at one contract.
     

Days to Expiration

Quote Bid/Offer

<= 7 Days

8-14 Days

15-60 Days

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 than 20

50

100

100

50

50

 

Cboe notes that the initial minimum electronic quote size requirement will remain at one contract in all other classes, except for symbol SPX (but not SPXW) during RTH, the initial minimum quote size requirements for which are available here.

Cboe also notes that the changes described in this notice will not impact VIXW, which will continue to be quoted in $0.01 increments and will continue to have an initial minimum electronic quote size of one contract.

Testing Opportunities And Additional Information

This functionality is currently available for testing in the C1 and CFE certification environments. Please contact reginterps@cboe.com for regulatory questions or the Cboe Trade Desk for support or with any other questions. 

Cboe appreciates your business. “Our trading community inspires and drives our mission of defining markets,” the company says. 

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