This Week in VXST – 2/28/2014

Trading on the CBOE Short-Term Volatility Index continues to gain traction and more market participants learn about and get comfortable with VXST.  Last week VXST rose just a little while the futures contracts ticked down for a flattening of the curve.  This coming week will be the first monthly employment number to be released since VXST futures trading commenced.  I’ve always be a fan of market reactions around events (yes I know I need a hobby) and plan on closely watching the markets and especially the reaction from the VXST contract that expires on March 12th.  Already I find the spread between the March 12th contract versus the March 5th contract of interest.  Note on Friday the March 12th VXST settlement price was 14.80 versus 13.80 for the contract that will expire just before the number.  If you compare that to the March 19th price of 15.35 versus 14.80 for March 12th you can see the elevated short term risk in the market surrounding this coming Friday’s report.


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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…