VXST Options Day 1 Volume 3,134, Implied Volatility Around 152

Yesterday CBOE launched options on the CBOE Short-Term Volatility Index (VXST), and the VXST Index rose 30% to close at 16.50.

Much of the 3,134 VXST options trading volume was  focused on near-term VXST call options (with an April 16 expiration and a 16 strike price); according to Bloomberg, the price of these options rose from a low of 0.30 in the morning to a high of 1.20 in the afternoon of April 10.

While the VIX measures expectations of 30-day future volatility, the VXST provides a market-based gauge of expectations of 9-day volatility, making it particularly responsive to changes in the S&P 500® Index.

Here are some features of the cash-settled VXST options

1.  FOUR AVAILABLE EXPIRATION DATES. Today there are four available Wednesday expirations available for VXST options – April 16, April 23, April 30, and May 7.

2. TICKER SYMBOLS  For CBOE’s index options, simply type in the index ticker symbol (e.g., VIX and VXST at CBOE’s Options Quote Page to see delayed quote prices for index options.  CBOE set the VXST futures ticker symbols at VSW1, VSW2, VSW3, VSW4 and VSW5 (where W1 refers to the first week of the month, etc.).  Click here for more details on Quote Vendor Symbols for VXST Futures.

3.  HIGHER VOLATILITY OF VOLATILITY.  At yesterday’s close the 30-day historic volatilities were 205 for VXST and 114 for the VIX Index®, according to Bloomberg.  At 2:30 pm CT yesterday, the estimated implied volatilities for the near-term options with a 16 strike price and April 16 expiration date were 152 for the VXST Index and 102 for the VIX Index.

4.   BIG MOVES FOR VXST INDEX AND VXST FUTURES.  Yesterday the VXST Index rose 30%, the VXST near-term futures rose from 13 to 15.6 (a 20% gain), and the VIX Index rose 15%.  The table below provides a list of yesterday’s price changes for 23 volatility indexes; visit www.cboe.com/volatility for more details.

Before investing in the potentially powerful VXST options and futures, investors are encouraged to do research about unique pricing and cost features.   Please visit www.cboe.com/VXST to learn more about options strategies, important risk disclosures, charts and data.

mm VXST impl vola day 1 ATMmm Volatility Indexes on April 10