On April 20, the Chicago Board Options Exchange (CBOE) issued Regulatory Circular Number RG09-55, which states that FLEX Options on Volatility Indexes may only expire on business days that non-FLEX options on Volatility Indexes expire. According to the Regulatory Circular, this is because the term “Exercise Settlement Value,” with respect to such FLEX Options, has the same meaning as set forth in CBOE Rule 24.9(5). CBOE Rule 24.9(5) provides that the Exercise Settlement Value of a Volatility Index option for all purposes under CBOE Rules shall be calculated as of the Wednesday that is 30 days prior to the third Friday of the calendar month immediately following the month in which the Volatility Index option expires.  

To read the CBOE Regulatory Circular, click here