Interest in volatility products and management of volatility and tail risk has increased this month. Last week the futures on the CBOE Volatility Index® (VIX®) registered an all-time record high for one-week volume with 1,661,153 contracts. As shown in the chart below, average daily volume for VIX options so far in October is about 50% higher than in September.
During the past 3 trading days (through Oct. 13), the CBOE Short-Term Volatility Index (VXST) rose 87%, the CBOE Volatility Index® (VIX®) rose 63%, and the CBOE Mid-Term Volatility Index (VXMT) rose 26%. Futures and options now are available on the VXST Index, which provides a market-based gauge of expectations of 9-day volatility, making it particularly responsive to changes in the S&P 500® Index.
The chart above shows the daily closing values for both the VIX Index and the near-term futures. At the daily closing levels, the VIX was in contango on days such as July 2 and August 26, and it was in backwardation on October 13.
The chart below shows a comparison of prices for four of CBOE’s 26 volatility indexes – VXAPL, OVX, GVZ, and VIX. Futures and options are available on the OVX, GVZ, VIX and other indexes. Note that there are days on which one or more of the volatility indexes can have distinct price moves.
To learn more about managing volatility with futures and options on volatility indexes, please visit www.cboe.com/volatility.