CBOE Short-Term Volatility Index

From MarketsWiki
Revision as of 11:12, 13 April 2014 by GailOsten (Talk | contribs)

Jump to: navigation, search

On October 1, 2013, Chicago Board Options Exchange (CBOE) announced that it had created a new benchmark volatility index – the CBOE Short-Term Volatility Index (ticker symbol: VXST), and had begun disseminating values for the new index.

VXST reflects investors' consensus view of expected stock market volatility. Whereas the CBOE Volatility Index (VIX) has a 30-day horizon, VXST looks out just nine days, making it particularly responsive to changes in short-term volatility triggered by market events, such as earnings, government reports and Fed announcements.

The Short-Term Volatility Index was designed to complement VIX, with the two indexes providing, "an unrivaled picture of expected market volatility."


In February and April 2014, respectively, CBOE Futures Exchange(CFE) and [[CBOE], introduced CBOE Short-Term Volatility Index futures, with weekly expirations. [1]

References

  1. Press Release: CBOE INTRODUCES SHORT-TERM VOLATILITY INDEX. cboe.com.