CBOE S&P Short Term Volatility Index

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The CBOE S&P Short Term Volatility Index is one of a family of stock market indices which reflect volatility.

CBOE began disseminating values on October 2, 2013 for this new short-term volatility index -- the CBOE S&P 500 Short-Term Volatility Index (ticker symbol: VXST).

Like CBOE's flagship VIX Index, VXST reflects investors' consensus view of expected stock market volatility. Whereas 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.

Initially, CBOE will disseminate the VXST Index value once daily at the end of each trading day at 3:15 p.m. (Chicago time). Plans call for disseminating VXST Index values every 15 seconds during the trading day by late 2013. VXST Index values are available on CBOE's website at http://www.cboe.com/VXST and through quote data vendors.

Like the VIX Index, VXST is calculated using CBOE's proprietary VIX methodology, but whereas VIX is calculated using SPX monthly options, VXST is calculated using S&P 500 options that expire every Friday, including CBOE's highly successful SPXW options.

VXST futures (with a $1,000 multiplier) launched on Feb. 13, 2014. CBOE launched options on the VXST on April 10, 2014.[1] Both products are cash settled.[2]

An overview of the VXST Index, including an educational video, can be found at http://www.cboe.com/VXST.


References

  1. Vix may be losing its 'fear gauge' tag. The Financial Times.
  2. New VXST Options - Ten Points to Know. CBOE.