Difference between revisions of "CBOE Short-term Volatility Index Futures"

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Futures and options on CBOE Short-Term Volatility Index(VXST Index) with Weekly expirations, were introduced for trading n February 13 and on April 10, 2014, respectively  in response to proven demand for weekly options and volatility contracts that measure a shorter time period. .<ref>{{cite web|org=CBOE Futures Exchange|date=February 19,2014|name=CBOE Futures Exchange Announces Launch Date For CBOE Short-Term VIX Futures With Weekly Expirations|url=http://ir.cboe.com/releasedetail.cfm?ReleaseID=822177}}</ref>
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Futures and options on CBOE Short-Term Volatility Index (VXST Index) with weekly expirations, were introduced for trading n February 13 and on April 10, 2014, respectively  in response to proven demand for weekly options and volatility contracts that measure a shorter time period. .<ref>{{cite web|org=CBOE Futures Exchange|date=February 19,2014|name=CBOE Futures Exchange Announces Launch Date For CBOE Short-Term VIX Futures With Weekly Expirations|url=http://ir.cboe.com/releasedetail.cfm?ReleaseID=822177}}</ref>
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CBOE developed VXST futures and options in response to proven demand for Weeklys options generally, and volatility contracts that measure a shorter time period in particular.  Like the CBOE Volatility Index (VIX Index), the Short-Term VIX Index reflects investors' consensus view of expected stock market volatility using CBOE’s proprietary VIX methodology.  Both indexes use S&P 500 Index (SPX) options in their calculations.  Whereas the VIX Index uses SPX monthly options to measure expectations of 30-day volatility, the VXST Index uses SPX options that expire every week (including SPX Weeklys) to gauge expectations of nine-day volatility. 
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The 30-day VIX Index and the nine-day VXST Index are highly correlated, but the VXST Index is generally more volatile than the VIX Index. 
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In addition to taking advantage of the shorter time horizon of Short-Term VIX Index products to respond to near-term market moves, VXST options have weekly expirations and a similar settlement process as VIX options and futures, enabling traders to create strategies using VXST and VIX to capture changes in the volatility term structure. 
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The exchange created VXST index in response to market demand for an option contract on a short-term volatility index that expires each week. The VXST index is designed to measure investor’s consensus view of nine day future expected stock market volatility. On one Wednesday of each month, the exchange plans to settle VXST options by calculating two exercise settlement values based on different S&P 500 index options. One option expires in 30 days and another  option expires in 9 days. <ref>{{cite web|org=Federal Register|name=February Notice of Filing of Proposed Rule Change To List and Trade CBOE Short-Term Volatility Index Options|date=February 19, 2014 |url=https://www.federalregister.gov/articles/2014/02/06/2014-02504/self-regulatory-organizations-chicago-board-options-exchange-incorporated-notice-of-filing-of}}</ref>
 
 
==Futures contract specification==
 
==Futures contract specification==
 
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Revision as of 10:41, 13 April 2014

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Futures and options on CBOE Short-Term Volatility Index (VXST Index) with weekly expirations, were introduced for trading n February 13 and on April 10, 2014, respectively in response to proven demand for weekly options and volatility contracts that measure a shorter time period. .[1]

CBOE developed VXST futures and options in response to proven demand for Weeklys options generally, and volatility contracts that measure a shorter time period in particular. Like the CBOE Volatility Index (VIX Index), the Short-Term VIX Index reflects investors' consensus view of expected stock market volatility using CBOE’s proprietary VIX methodology. Both indexes use S&P 500 Index (SPX) options in their calculations. Whereas the VIX Index uses SPX monthly options to measure expectations of 30-day volatility, the VXST Index uses SPX options that expire every week (including SPX Weeklys) to gauge expectations of nine-day volatility.

The 30-day VIX Index and the nine-day VXST Index are highly correlated, but the VXST Index is generally more volatile than the VIX Index.

In addition to taking advantage of the shorter time horizon of Short-Term VIX Index products to respond to near-term market moves, VXST options have weekly expirations and a similar settlement process as VIX options and futures, enabling traders to create strategies using VXST and VIX to capture changes in the volatility term structure.


Futures contract specification

Short-term Volatility Index Futures futures
Exchange Chicago Board Option Exchange
Settlement Cash settled
Contract Size $1,000 per contract
Pricing Unit Need pricing unit!
Tick Value $50.00 per contract
Contract Months Trading weekly
Last Trading Day The close of trading on the day before the Final Settlement Date.
Note: This contract is electronic ONLY -- no open outcry
  No Open Outcry Electronic
Trading Hours N/A 8:30 a.m. - 3:15 p.m. Central Time
Ticker Symbol N/A VSW1, VSW2, VSW3, VSW4 and VSW5
Price Limits N/A N/A
 
Short-term Volatility Index Futures options
Trade Unit $100 per contract
Point Value Need point value!
Tick Value Need tick value! (Minimum tick for VXST option series trading below $3 is 0.05; above $3 is

0.10)

Option Months Trading Weekly
Strike Prices Need strike price description!
Exercise Style European
  No Open Outcry Electronic
Trading Hours N/A 8:30 a.m. to 3:15 p.m. Central Time
Ticker Symbol N/A VXST Options
Price Limits N/A N/A

Notes

CBOE SHORT-TERM VOLATILITY INDEX Fact Sheet

CBOE Short-Term Volatility Index Futures Specification

Reference

  1. CBOE Futures Exchange Announces Launch Date For CBOE Short-Term VIX Futures With Weekly Expirations. CBOE Futures Exchange.