Contract Specifications for RealVol SPY Options*

Symbol

VOLS

Underlying Index

The RealVol SPY Index. This index is based on the rolling, 21-trading-day realized volatility (adjusted for dividends and any market disruption events) of the daily closing prices of the SPDR® S&P 500® ETF (symbol SPY) as calculated by the RealVol Daily Formula.

Index Price

Volatility, which is typically expressed as a percentage, will be quoted without the percentage sign; e.g., 23.45% is quoted as 23.45.

Premium Quotation

Stated in points and fractions; one point equals $100. Minimum tick for series trading below $3 is 0.05 ($5.00); above $3 is 0.10 ($10.00).

Margin

Purchases of puts or calls with nine months or less until expiration must be paid for in full. Writers of uncovered puts or calls must deposit and maintain 100% of the option proceeds plus 20% of the aggregate contract value (current index value x $100) minus the amount by which the option is out-of-the-money, if any, subject to a minimum for calls of option proceeds plus 10% of the aggregate contract value and a minimum for puts of option proceeds plus 10% of the aggregate exercise price amount.

To calculate maintenance margin, current market value is used instead of option proceeds. Additional margin may be required pursuant to Exchange Rules.

Trading Hours

9:30 AM to 4:15 PM ET

Strike Price Increment

0.50 points below 15.00; 1.00 point between 15.00 and 30.00; 2.50 points between 30.00 and 50.00; 5.00 points above 50.00.

Strike Prices

Strike prices are listed in-, at-, and out-of-the-money. New series generally will be added when the underlying index exceeds the highest or lowest strike price available.

Listing Pattern

Approximately 52 weekly VOLS per year with eight or nine VOLS listed on any given day.

First Trading Day

Eighth Friday prior to expiration Friday.

Expiration Dates

Correspond to the Friday expirations of standard SPY options.

Final or Contract Settlement

All RealVol SPY Options will automatically settle to the RealVol SPY Index at expiration.

Exercise Style

European (only at expiration)

Settlement Style

Cash

*Subject to change. Details may vary according to the underlying asset. RealVol SPY Options are not currently listed for trading on any exchange. The information provided herein is for informational purposes only; it must not be relied upon and RealVol LLC and BOX Options Exchange, LLC will not be liable for actions taken or not taken in reliance thereon.


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