This Week – The Next Big Step for VXST

Back in October at the CBOE Risk Management Conference in Europe the CBOE Short-Term Volatility Index (VXST – 14.51) was introduced as a compliment to the widely followed CBOE Volatility Index (VIX – 15.29).  VXST uses the same calculation methodology as VIX, but uses shorter dated SPX options which results in a nine day volatility measure as opposed to thirty days for VIX.  The chart below shows the daily closing prices for VXST and VIX since VXST was introduced on October 1, 2013.  For those that want to dig more into VXST’s history you can find closing prices since January 2011 at - VIX

A next big step for VXST was when CBOE began disseminating real time quotes for VXST in November. With respect to any volatility index quoted by CBOE real time refers to every 15 seconds.  Since going real time many traders have put VXST and VIX together on their trading screens to monitor intraday changes in nine and thirty day implied volatility as indicated by SPX option pricing.  This coming week we can take things a step further.

Trading for VXST Futures contracts is scheduled to begin this coming Thursday on the CBOE Futures Exchange (CFE).  Now traders that monitor the difference between these two volatility measures can takes positions based on their outlook for volatility.  VXST Futures will be AM settled contracts and will expire on a weekly basis, nine days prior to the following week’s expiration date for short dated option contracts.  On a non-holiday week this means VXST Futures will expire on the open on a Wednesday (ceasing trading the day before) which is nine days prior to the following week’s option expiration date.

We have been discussing VXST frequently on the CBOE Options Hub and instead of rehashing the same topics I’m providing some links to blogs about VXST and VXST Futures trading –

VXST vs. VIX – Some Differences, Some Similarities from February 6th

CBOE Rolls Out VXST Component Volatility Indexes from February 3rd

VXST Futures Launch Date Announced from January 30th

Big SPX Term Structure Shift Today from December 11th – (display of VXST and VIX relative price action)

Short-Term Volatility Index’s First Real Time Day from November 18th

CBOE Introduces Short-Term Volatility Index at RMC Europe from October 1st

And of course all information on VXST and VXST Futures can be found at