One of the most intriguing features of volatility indexes is that they can have sharp upside moves in times when “traditional” indexes fall in value. For example, during the week of Dec. 12, 2014, the S&P 500® (SPX) and MSCI EAFE® indexes both dropped 3.5%, while the CBOE Short-Term Volatility Index (VXST) rose 122.6% and the CBOE Volatility Index® (VIX®) rose 78.3%. Both of the brackets below show the biggest one-calendar-week upside moves (in % terms) for 8 tradable volatility indexes over the past 4 years.
All of the eight volatility indexes in the chart above have both futures and options contacts (except that the VXTYN does not have options). Please note that the volatility index futures often will not move as much as the spot volatility index, and that the underlying for VIX futures and options is the expected, or forward, value of VIX at expiration, rather than the current, or spot VIX Index value.
The second bracket below shows eight more volatility indexes. There are futures on the VXN Index, but the rest of the indexes in the second bracket do not currently have futures or options.While many of these volatility indexes are not tradable, they still can serve as valuable indicators of investor sentiment.
Here is a ranking with the names of all 16 volatility indexes with their biggest one-week moves over the past four years –
- 122.6% VXST – CBOE Short-Term Volatility Index
- 78.3% VIX – CBOE Volatility Index
- 71.9% VXSLV – CBOE Silver ETF Volatility Index – VXSLV
- 63.5% VXIBM -CBOE Equity VIX on IBM
- 57.2% VXEEM – CBOE Emerging Markets ETF Volatility Index
- 56.6% VXN – CBOE NASDAQ Volatility Index
- 53.1% VXEFA – CBOE EFA ETF Volatility Index
- 52.4% VXEWZ – CBOE Brazil ETF Volatility Index – VXEWZ
- 48.8% VXAPL – CBOE Equity VIX on Apple
- 47.5% VXFXI – CBOE China ETF Volatility Index – VXFXI
- 47.4% GVZ – CBOE Gold Volatility Index
- 46.7% EVZ – CBOE EuroCurrency Volatility Index
- 45.5% OVX – CBOE Crude Oil Volatility Index
- 42.3% VXTYN – CBOE/CBOT 10-year U.S. Treasury Note Volatility Index
- 33.7% VXGOG – CBOE Equity VIX on Google
- 33.6% RVX – CBOE Russell 2000 Volatility Index
To learn more about features of these powerful 16 volatility indexes, and related futures and options investment and diversification strategies, please visit www.cboe.com/volatility.