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This tool uses the Cboe VIX Decomposition framework to explain contributing factors for Cboe VIX Index changes between two consecutive trading dates. See the VIX Index Decomposition whitepaper for detail on the decomposition framework. To use the tool to decompose a day-change in the VIX index into its constituent factors, enter either the From or To Date (the other will be automatically populated) and press the Compute button.
The information herein is provided solely for informational purposes. Past performance of an index or financial product is not indicative of future results. Indices are not financial products that can be invested in directly, but they can be used as the basis for financial products (for example, without limitation, options, futures, mutual funds or exchange-traded funds) or to help manage portfolios. Nothing herein should be construed as investment advice.
To help you understand how to best use the tool, take a look at our various educational pieces showcasing the model:
A comprehensive whitepaper by Ed Tom, Sr. Dir, Derivatives Market Intelligence
Webinar Replay with Mandy Xu, VP, Head of Derivatives Market Intelligence and Ed Tom, Sr. Dir, Derivatives Market Intelligence
To learn more about The VIX Index Decomposition reach out to Ed Tom at [email protected]
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Cboe offers a wide array of products linked to the VIX® complex, including VIX options and futures.
Cboe VIX options may enable market participants to hedge portfolio volatility risk distinct from market price risk and trade based on their view of the future direction or movement of volatility.
Introduced in 2004 on Cboe Futures ExchangeSM (CFE®), VIX futures provide market participants with the ability to trade a volatility futures product based on the VIX Index methodology.
At 1/10th the size of the standard VIX futures contract, Mini VIX futures are designed to provide additional flexibility in volatility risk management and greater precision when allocating among smaller managed accounts.
Following this weekend’s strikes by the US, oil markets remain fairly stable as investors wait for Iran’s response. WTI 1M implied volatility surged to as high as 68% last week before ending the week at 51%. The WTI 1M implied-realized vol spread has halved from a high of 30 pts to 14 currently, as fears of significant oil supply disruption have abated somewhat. Notably, US inflation expectations have barely budged on this latest jump in oil prices, in sharp contrast to the 2022 Russia/Ukraine invasion.
Henry Shwartz, Vice President, Client Engagement, provides insight into recent options market activity.