Frequently Asked Questions

How are VIX futures tracked?

The two most common ways of capturing the VIX futures market are the S&P 500 VIX Short-Term Futures Index and the S&P 500 VIX Mid-Term Futures Index.

The short-term index measures the returns of a portfolio of monthly VIX futures contracts that rolls positions from the first-month contracts into the second-month contracts on a daily basis. By doing so, the index maintains a weighted average of one month to expiration (see Fig. 1).

Fig. 1: Daily Positions of the S&P 500 VIX Short-Term Futures Index


The mid-term index, meanwhile, measures the returns of a portfolio of monthly VIX futures contracts that rolls positions from the fourth-month contracts into the seventh-month contracts on a daily basis, while also holding static positions in the 5th and 6th month. This strategy may help mitigate the roll costs associated with investing in VIX futures (see Fig. 2).

Fig. 2: Daily Positions of the S&P 500 VIX Mid-Term Futures Index


You can find more information about volatility-linked indexes here:
http://www.cboe.com/products/vix-index-volatility/volatility-indexes

And more information on the S&P 500 VIX futures indexes at S&P Dow Jones Indexes here:
https://www.us.spindices.com/index-family/vix/vix

 

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