Contract Specifications for VolContract Futures

Settlement Type: Cash
Underlying Reference Prices: The designated prices used in the VolX formula. Typically, these values are the daily “close,” “last,” “final,” or “settlement” price of the underlying asset or instrument.
Price Quote: Volatility is typically referred to as a percentage, but quoted without the percentage sign (“%”); e.g., 23.45% is quoted as 23.45.
Size: Two sizes:
- A full size with $1,000 multiplier (for financial futures)
- A mini size with $100 multiplier (for commodity futures)
Tick Size: Two tick sizes depending on the size of the VolContract futures:
- The full-size contract with a minimum tick of 0.01, which equates to $10 per tick.
- The mini-size contract with a minimum tick of 0.05, which equates to $5 per tick.
Contract Types: Offered with three Realized-Volatility Periods of roughly one, three, and twelve months.
- One-Month VolContract Futures (“1Vol”)
- Three-Month VolContract Futures (“3Vol”)
- Twelve-Month VolContract Futures (“12Vol”)
The 1Vol will correspond to monthly expirations; the 3Vol and 12Vol will typically correspond to quarterly expirations.
Expiration Date: Typically corresponds to the associated options expiration date (not necessarily when the underlying futures contract expires).
Realized-Volatility Period: The period used by the VolX formula to calculate the contract settlement price of the VolContract futures.
First Trading Day: The 1Vol should be listed approximately six months prior to expiration; the 3Vol and 12Vol should be listed approximately one year prior to expiration.

Contract Specifications for VolContract Futures

Contract Specifications for CME FX VolContracts