CBOE Short-Term Volatility Index (VXSTSM)
> Potential for a pure volatility play based on SPX options that expire every week
The new CBOE Short-Term Volatility Index (VXST) and the popular CBOE Volatility Index® (VIX®) both reflect investors' consensus view of expected stock market volatility. While the VIX measures expectations of 30-day future volatility, the VXST provides a new market-based gauge of expectations of 9-day volatility, making it particularly responsive to changes in the S&P 500® Index. With its nine-day snapshot, VXST is a valuable tool for traders looking to target short-term moves with SPX Weeklys options.
The CBOE Short-Term Volatility Index (VXST) - referred to as "VXST" - provides a market estimate of short-term expected (implied) volatility that is calculated by using real-time S&P 500® Index option bid/ask quotes. VXST uses nearby and second nearby options with at least 1 day left to expiration and then weights them to yield a constant, nine-day measure of the expected volatility of the S&P 500 Index.
Press Release on VXST Index (October 1, 2013)
VXST Fact Sheet - 2-page PDF
Volatility Indexes at CBOE
VIX Index - Term Structure
Blog by Russell Rhoads, CFA, CBOE Options Institute
Charts and Tables for Period from Jan. 2011 Through Aug. 2013
Three charts with daily closing values. Sources: Bloomberg and CBOE
The VXST Index had higher historic volatility and bigger one-day moves (in % terms) than the VIX, VXV, and SPX Indexes.
Growth in SPX Weeklys Options
VXST is first-ever volatility gauge that includes the expected volatility of CBOE's popular SPX Weeklys options. Weeklys options can provide opportunities for investors to implement more targeted buying, selling or spreading strategies. Weeklys options can help investors efficiently take advantage of market events, such as earnings, government reports and Fed announcements. Beginning in May 2012, CBOE began extending the listings of SPX Weeklys and maintaining five consecutive expiration weeks available for trading options on the S&P 500. The average daily volume in SPX Weeklys options grew from 56,862 in Jan. 2012 to 220,464 in Aug. 2013 (a 287% increase). Please visit www.cboe.com/SPXW for more information on SPX Weeklys.
Updated Price Charts
CBOE Short-Term Volatility Index (VXSTSM): www.cboe.com/VXST
CBOE and CBOE Futures Exchange (CFE) are exploring the possibility of introducing VXST cash-settled options and futures contracts, pending regulatory approval, but no launch dates have been determined (as of October 1, 2013). VXST options and futures would expire weekly -- every Wednesday -- based on the opening prices of SPX options expiring nine days later.
VXST Daily Close Price History
CBOE data is compiled for the convenience of site visitors and is furnished without responsibility accuracy and is accepted by the site visitor on the condition that transmission or omissions shall not be made the basis for any claim demand or cause for action. Your use of CBOE data is subject to the Terms and Conditions of CBOE's Websites.
On April 20, 2011, the calculation of the VXST was based solely on 30-day (5/21/11 exp. date) SPX options since SPXW options were not available on that date.
Standard & Poor's®, S&P®, and S&P 500® are registered trademarks of Standard & Poor's Financial Services, LLC and are licensed for use by CBOE and C2 CFE. S&P does not sponsor, endorse, sell or promote any investment product that is or may be based on the VXST.