This Week in VXST – 2/21/2014

Futures trading on the CBOE Short-Term Volatility Index (VXST – 13.04) is a little over a week old and the volume is still gaining traction.  As noted in an earlier blog, VXST gapped higher on Tuesday morning due to the impact of a three day weekend on the index calculation.  The difference between the index and futures price changes this past week shows that a good portion of the 20% gain in VXST last week may be attributed to the index adjusting before and after a long weekend.

VXST futures expire every week starting with this coming Wednesday.  They are AM settled which means that they cease trading Tuesday afternoon and will settle based on the relevant opening S&P 500 Index option prices.  I have penciled in on my calendar to post more on the process Wednesday evening.

VXST

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Russell Rhoads, CFA

CBOE Options Institute

Russell Rhoads, CFA, is a Senior Instructor with the Options Institute at the Chicago Board Options Exchange. He joined the Institute in 2008 after a career as an investment analyst and trader with a variety of firms including Highland Capital Management, Caldwell & Orkin Investment Counsel, TradeLink Securities and…

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