The Cboe Mid-Term Volatility Index (Ticker: VXMT) is a measure of the expected volatility of the S&P 500 Index over a 6-month time horizon. It is calculated using the well-known VIX methodology applied to SPX options that expire 6-to-9 months in the future.
Historical Daily Closing Values of VXMT Index
- As investors become more sophisticated in their understanding of volatility and their use of volatility products, VXMT offers a "macro" view of market risk, a view driven less by event risk and more by the perceived risk of broad economic factors. As a result, VXMT tends to move like VIX (0.91 correlation) but with lower volatility (55% vs. 116% since January 2008)
- VXMT joins Cboe's other volatility benchmarks - VXST (9-day), VIX (30-day) and VXV (3-month) - to create a live, streaming representation of expected volatility at key points along the SPX option term structure.