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CBOE Short-Term Volatility IndexSM (VXSTSM)www.cboe.com/VXST

 
VXST
VXST
VXST 11.54 -1.41
VIX 12.24 -0.57
VXV 13.50 -0.30
SPX 1983.53 9.90
OVX 17.10 0.13
Delayed Quotes



CBOE Short-Term Volatility IndexSM (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 VXST Index 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.

On February 13, 2014, the CBOE Futures Exchange, LLC (CFE®) launched trading of futures with weekly expirations on the VXST Index, and on April 10, 2014 CBOE launched options on the VXST Index.



Key Links

Quote Vendor Ticker Symbols
VXST Videos
VXST Fact Sheet - 2-page PDF
VXST White Paper (with index methodology) - 16-page PDF
Volatility Indexes at CBOE
VIX Index - Term Structure
Press Release on VXST Index - Oct. 1, 2013



VXST Options - Links

Press Release on VXST Options - March 3, 2014
VXST Options Contract Specifications
CBOE Options - Price Quotes and Option Tables
CBOE Regulatory Circular on VXST Options (April 7, 2014)
VIX Options Strategies



VXST Futures - Links

Press Release on VXST Futures - Jan. 30, 2014
VXST Futures Quick Reference Guide
VXST Futures - Contract Specifications, Circulars, Delayed Quotes
CBOE Futures Exchange



Data

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.

Price Charts

Volatility Indexes - VXST VXTYN



Three charts with daily closing values. Sources: Bloomberg and CBOE

VXST Index

S&P 500 (SPX) and CBOE Volatility Index (VIX)

Daily Difference Between Volatility Indexes



Comparing Three Volatility Indexes



The VXST Index had higher historic volatility and bigger one-day moves (in % terms) than the VIX, VXV, and SPX Indexes.

Analysis for period from Jan 2011 through Aug 2013





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.


SPXW Index



Updated Price Charts

CBOE Short-Term Volatility Index (VXSTSM): www.cboe.com/VXST

1 week



3 month



6 month



1 year










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.

CBOE Volatility Index (VIX)