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    Regulatory Circular RG13-019: To: From: RE

    Uploaded by

    Ranjan Basu
    The document announces updates to the margin requirements for various futures contracts traded on the CBOE Futures Exchange (CFE) made by the Options Clearing Corporation (OCC). The outright and spread margin requirements for contracts including CBOE Volatility Index (VX), Mini-CBOE Volatility Index (VM), CBOE NASDAQ-100 Volatility Index (VN), and S&P 500 Variance (VA) are increased, with effective dates of June 25, 2013 for VA and June 27, 2013 for other contracts. Traders and customers are directed to check the CFE website daily for any changes to margin requirements.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd

    Regulatory Circular RG13-019: To: From: RE

    Uploaded by

    Ranjan Basu
    44 views4 pages
    The document announces updates to the margin requirements for various futures contracts traded on the CBOE Futures Exchange (CFE) made by the Options Clearing Corporation (OCC). The outright and spread margin requirements for contracts including CBOE Volatility Index (VX), Mini-CBOE Volatility Index (VM), CBOE NASDAQ-100 Volatility Index (VN), and S&P 500 Variance (VA) are increased, with effective dates of June 25, 2013 for VA and June 27, 2013 for other contracts. Traders and customers are directed to check the CFE website daily for any changes to margin requirements.

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    CFERG13-019

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    The document announces updates to the margin requirements for various futures contracts traded on the CBOE Futures Exchange (CFE) made by the Options Clearing Corporation (OCC). The outright and spread margin requirements for contracts including CBOE Volatility Index (VX), Mini-CBOE Volatility Index (VM), CBOE NASDAQ-100 Volatility Index (VN), and S&P 500 Variance (VA) are increased, with effective dates of June 25, 2013 for VA and June 27, 2013 for other contracts. Traders and customers are directed to check the CFE website daily for any changes to margin requirements.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    44 views4 pages

    Regulatory Circular RG13-019: To: From: RE

    Uploaded by

    Ranjan Basu
    The document announces updates to the margin requirements for various futures contracts traded on the CBOE Futures Exchange (CFE) made by the Options Clearing Corporation (OCC). The outright and spread margin requirements for contracts including CBOE Volatility Index (VX), Mini-CBOE Volatility Index (VM), CBOE NASDAQ-100 Volatility Index (VN), and S&P 500 Variance (VA) are increased, with effective dates of June 25, 2013 for VA and June 27, 2013 for other contracts. Traders and customers are directed to check the CFE website daily for any changes to margin requirements.

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    Regulatory Circular RG13-019

    Date: June 25, 2013


    To: Clearing Members and Trading Privilege Holders (TPHs)
    From: CFE Regulation
    RE: CFE Margin Requirements

    o As the clearing organization for CBOE Futures Exchange, LLC (CFE), The Options Clearing
    Corporation (OCC) is required by Commodity Futures Trading Commission (CFTC) regulations
    1
    to
    set speculative customer initial margin requirements for non-hedge positions.
    2
    OCC has determined
    to update the outright margin requirements. Spread margin requirements are also being updated.
    The effective dates for these new margin requirements are set forth below.

    o Please note that CFE generally does not issue a regulatory circular when margin requirements
    change. Instead, a table listing current margin requirements is provided on the CFE website at
    http://cfe.cboe.com/margins/CurDoc/Default.aspx. Margin requirements may change frequently.
    TPHs and customers are reminded to check the margin table on the CFE website daily for any
    changes, where the information below will also be made available.

    Outright Minimum Margin Requirements Effective June 27, 2013
    (Except S&P 500 Variance (VA) Effective June 25, 2013)

    Contract





    Speculative
    Customer
    Initial



    Customer
    Maintenance
    Hedger & TPH Initial
    Hedger & TPH
    Maintenance

    Spread
    Speculative
    Customer
    Initial


    Spread Customer
    Maintenance
    Spread Hedger &
    TPH Initial
    Spread Hedger &
    TPH Maintenance

    CBOE Volatility Index (VX)
    Jul. 2013
    Aug.2013
    Sep. 2013
    Oct. 2013
    Nov. 2013
    Dec. 2013
    Jan. 2014
    Feb. 2014
    Mar. 2014
    $5,500
    5,500
    5,500
    3,850
    3,850
    3,850
    3,410
    3,410
    3,410
    $5,000
    5,000
    5,000
    3,500
    3,500
    3,500
    3,100
    3,100
    3,100





    See the VX table
    below.









    See the VX table
    below.
    Mini-CBOE
    Volatility Index (VM) $550 $500


    $374


    $340

    1
    See the Commodity Futures Trading Commission regulations described in 76 FR 69334 (November 8,
    2011) (relating to 17 CFR Parts 1, 21, 39, and 140).

    2
    See CFE Regulatory Circular RG12-029 for additional information regarding CFE margin requirements
    and OCC's role in setting margin requirements for CFE products.


    Contract





    Speculative
    Customer
    Initial



    Customer
    Maintenance
    Hedger & TPH Initial
    Hedger & TPH
    Maintenance

    Spread
    Speculative
    Customer
    Initial


    Spread Customer
    Maintenance
    Spread Hedger &
    TPH Initial
    Spread Hedger &
    TPH Maintenance
    CBOE NASDAQ-100
    Volatility Index (VN)

    Jul. 2013
    Aug.2013
    Sep. 2013
    Oct. 2013




    $5,500
    5,500
    5,335
    5,335




    $5,000
    5,000
    4,850
    4,850


    See the VN table
    below.




    See the VN table
    below.



    S&P 500 Variance (VA)

    Jul. 2013
    Aug. 2013
    Sep. 2013
    Oct. 2013
    Dec. 2013
    Jan. 2014
    Mar. 2014
    Jun. 2014
    Dec. 2014
    Dec. 2015



    $605
    462
    99
    286
    44
    176
    154
    110
    77
    44


    $550
    420
    90
    260
    40
    160
    140
    100
    70
    40







    See the VA table
    below.







    See the VA table
    below.
    CBOE Gold ETF
    Volatility Futures Index
    (GV) 30% 30%


    5%


    5%
    CBOE Emerging Markets
    ETF Volatility Index
    (VXEM) 23% 23%



    5%



    5%
    CBOE Brazil ETF
    Volatility Index (VXEW) 23% 23%


    5%


    5%
    CBOE Crude Oil
    ETF Volatility Index (OV) 20% 20%


    5%


    5%




    Spread Minimum Margin Requirements Effective June 27, 2013

    CBOE Volatility Index (VX)
    Intra-Commodity Rates (Calendar Spreads)


    Speculative
    Customer Initial
    - Customer Maintenance
    - Hedger & TPH Initial
    - Hedger & TPH Maintenance
    Tier 1 (Month 1, Month 2, Month 3) vs.
    Tier 1 (Month 1, Month 2, Month 3)
    $3,740 $3,400
    Tier 1 (Month 1, Month 2, Month 3) vs.
    Tier 2 (Month 4, Month 5, Month 6)
    $4,015 $3,650
    Tier 1 (Month 1, Month 2, Month 3) vs.
    Tier 3 (Month 7, Month 8, Month 9)
    $3,960 $3,600
    Tier 2 (Month 4, Month 5, Month 6) vs.
    Tier 2 (Month 4, Month 5, Month 6)
    $2,860 $2,600
    Tier 2 (Month 4, Month 5, Month 6) vs.
    Tier 3 (Month 7, Month 8, Month 9)
    $3,025 $2,750
    Tier 3 (Month 7, Month 8, Month 9) vs.
    Tier 3 (Month 7, Month 8, Month 9)
    $2,970 $2,700

    Spread Minimum Margin Requirements Effective June 27, 2013

    CBOE NASDAQ-100 Volatility Index (VN)
    Intra-Commodity Rates (Calendar Spreads)

    Speculative
    Customer Initial
    - Customer Maintenance
    - Hedger & TPH Initial
    - Hedger & TPH Maintenance
    Tier 1 (Month 1, Month 2) vs.
    Tier 1 (Month 1, Month 2)
    $4,697 $4,270
    Tier 1 (Month 1, Month 2) vs.
    Tier 2 (Month 3, Month 4)
    $5,555 $5,050
    Tier 2 (Month 3, Month 4) vs.
    Tier 2 (Month 3, Month 4)
    $5,753 $5,230




    Spread Minimum Margin Requirements Effective June 25, 2013

    S&P 500 Variance (VA)
    Intra-Commodity Rates (Calendar Spreads)

    As the S&P 500 Variance futures margin rates generally differ by contract month, the table of calendar
    spread rates below is only a sample of the total number of combinations. However, for any combination
    of contract months, the spread margin rate can be determined by taking the absolute value of the
    difference between the outright margin rates on a 1:1 ratio for the two applicable contract months and
    adding $20 per spread.
    Speculative
    Customer Initial
    - Customer Maintenance
    - Hedger & TPH Initial
    - Hedger & TPH Maintenance
    Tier 1 (Month 1) vs. Tier 2 (Month 2) $165 $150
    Tier 1 (Month 1) vs. Tier 3 (Month 3)
    $528 $480
    Tier 1 (Month 1) vs. Tier 4 (Month 4)
    $341 $310
    Tier 1 (Month 1) vs. Tier 5 (Month 5)
    $583 $530
    Tier 1 (Month 1) vs. Tier 6 (Month 6)
    $451 $410
    Tier 1 (Month 1) vs. Tier 7 (Month 7)
    $473 $430
    Tier 1 (Month 1) vs. Tier 8 (Month 8)
    $517 $470
    Tier 1 (Month 1) vs. Tier 9 (Month 9)
    $550 $500
    Tier 1 (Month 1) vs. Tier 10 (Month 10)
    $583 $530

    Additional Information:

    Please contact Jim Adams at adamsj@cboe.com and (312) 786-7718 for additional information
    regarding CFE margin requirements. Other questions should be directed to CFEs Regulatory
    Interpretations and Guidance team at reginterps@cboe.com and (312) 786-8141.

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