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 on February 13, 2014 and on April 10, 2014, respectively, in response to proven demand for Weeklys options generally, and volatility contracts that measure a shorter time period in particular. [1]

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
Exchange [[CFE for futures and CBOE for options]]
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 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
[[Category:Futures Contracts Traded on CFE for futures and CBOE for options]][[Category:Options Traded on CFE for futures and CBOE for options]]

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.