Introduction to SPX Variance Strips
CBOE has enhanced its trading systems with a new technology called BasketWeaver that will enable market participants to trade a large and complex portfolio of SPX options in a single transaction. This basket of SPX options, which we are calling "SPX Variance Strips," is intended to replicate implied variance exposure and will be quoted under the ticker symbol VSTRP. The quoting convention for VSTRPs is similar to that used in OTC variance trading: prices will be quoted in volatility terms, and quantities will be in contracts that have a multiplier (e.g., $25,000 or $50,000) that represents the aggregate vega of the SPX options comprising the VSTRP. CBOE intends to make VSTRP trading available each trading day.
Click here to view the CBOE Option BasketsSM - SPX Variance Strips Algorithm Description (pdf)
Click here to view data for SPX Variance Strips
IC12-046 SPX Variance Strips
Press Release: July 26, 2012
Press Release: June 19, 2012
Click here for SPX Variance Strips (ticker: VSTRP) delayed quotes and volume