The date has been set (pending regulatory approval) for the widely anticipated launch of futures on the CBOE Short-Term Volatility Index (VXST). As a reminder VXST is a nine day volatility measure that incorporates near dated options on the S&P 500. This makes it the first volatility index to include SPX Weeklys in the calculation. Ever since VXST was introduced at the CBOE Risk Management Conference in Portugal last year, the volatility trading community has been waiting for futures and options to be listed on VXST. On February 13 we will have one of the two done with the introduction of VXST futures.
I admit that we have been going overboard on VXST charts since the index was introduced back in October, so I am only putting one in this blog. Below is a very recent chart, updated through today’s close, showing VIX vs. VXST daily closing prices in 2014. This is has been a volatile month for the S&P 500 and the result was a move higher in both VIX and VXST. Note that VXST has had a lower low (9.97) and a higher high (20.84) than VIX so far in 2014. For those keeping score the low for VIX is 12.14 and the high has been 17.88. CBOE has data on VXST going back to January 2011 and the price action in January of 2014 has been pretty consistent with historical numbers during times of increased volatility.
VXST futures will have the same contract multiplier ($1000) and same minimum tick ($50) as VIX futures. The big difference is going to be weekly expirations. As a nine day volatility measure VXST futures will settle when the market opens nine days before the following week’s weekly expiration date. Barring a holiday this will be on a Wednesday. The full contract specifications may be found on the CBOE Short-Term Volatility Index Futures Microsite at the CBOE Futures Exchange – http://cfe.cboe.com/Products/Products_VXST.aspx
Also, the full press release that was put out this afternoon regarding the product launch may be found at –http://ir.cboe.com/releasedetail.cfm?Rel
Finally, a slew of charts and historical data on VXST may be found at - www.cboe.com/vxst