Contract Specifications for RealVol SPY Options*
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.
Volatility, which is typically expressed
as a percentage, will be quoted
without the percentage sign; e.g.,
23.45% is quoted as 23.45.
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).
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.
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 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.
Approximately 52 weekly VOLS per year with
eight or nine VOLS listed on any
First Trading Day
Eighth Friday prior to expiration
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.
European (only at expiration)
*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.
Copyright 2018 RealVol LLC. All rights reserved
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