Launch of Trading in VIX Weeklys Futures – More Expirations to Provide More Responsiveness

On the July 23 trading day, CBOE Futures Exchange, LLC (CFE®) launched the first-ever trading of futures with weekly expirations on the CBOE Volatility Index® (VIX® Index). The new VIX Weeklys futures offer more expirations that have the potential to provide more precision and responsiveness for investors. On July 23 the estimated trading volume was more than 200 contracts for the new VIX Weeklys futures (with expirations on August 5 and August 12), and approximately 216,000 contracts for the VIX futures with the standard expirations.

QUOTES AT CFE.CBOE.COM

Figure 1 below shows a screenshot from http://cfe.cboe.com/ at 3:26 pm CT on July 23 (near the end of the trading day; a new trading day started at 3:30 p.m. CT).

Figure 1mm71 - VIX fut from CFE

The delayed quotes shown in Figure 1 are –

  • 12.71 for the VIX spot index,
  • 13.65 for the VIX Weeklys futures with an August 5 Wednesday expiration (“31VX/Q5” for the 31st week of the year, in August 2015)
  • 13.90 for the VIX Weeklys futures with an August 12 expiration (“32VX/Q5”)
  • 1425 for the VIX futures with the standard August 19 expiration (“VIXQ5”)

The VIX Index was in contango on July 23 because the VIX futures were priced higher than the VIX Index.

QUOTES AT BLOOMBERG

Figure 2 below shows a screenshot of the Bloomberg page at “VIX <Index> CT” at approximately 3:18 p.m. CT on July 23; the page has useful tabular information regarding the price quotes, volume and open interest for VIX futures with weekly and standard expirations.

Figure 2mm72 - VIX fut from Bloomberg

REASONS TO EXPLORE VIX WEEKLYS

In future months it is expected that there will be more expirations for VIX futures and options, with the expected convergence of VIX futures to the cash settlement price available four to five times a month instead of once a month. The addition of weekly expirations to standard monthly futures and options expirations offers volatility exposures that more precisely track the performance of the VIX Index. By ‘filling the gaps’ between monthly expirations, investors may obtain new opportunities to establish short-term VIX positions, and fine-tune the timing of their hedging and trading activities.

LINKS TO MORE INFORMATION

To learn more about VIX Weeklys and related topics, please visit the following links —