Financial wizards have conjured up possibly their most dizzying product yet in the quest to ride the derivatives boom: Cboe Global Markets Inc. is poised to offer options on futures for an index based on options on another index.

The Chicago-based firm plans to issue options tied to futures for the Cboe Volatility Index, the famous "fear gauge" otherwise known as the VIX. That gauge is itself built using options that track the S&P 500.