CBOE Short-term Volatility Index Futures

From MarketsWiki
Revision as of 10:41, 13 April 2014 by GailOsten (Talk | contribs)

Jump to: navigation, search
ICE wiki logo.jpg

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.