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.