Cboe Global Markets

Term Structure Data and Charts

The term structure information below illustrates expectations of market volatility conveyed by S&P 500 (SPX) stock index option prices from the "values generated" time until regular, 3rd Friday, SPX maturities. Cboe calculates these expectations by applying the VIX methodology to standard SPX option maturities. The relationship between the constant 30-day maturity VIX Index and the S&P 500 is of interest to market participants. Similarly, historical VIX term structures can offer insights into how the market's expectation of volatility of the S&P 500 has changed over time in response to market conditions.

Market analysts and traders can use term structure data to see how market expectations on volatility compare to their own expectations. Term structure data is also useful for investors looking to trade products based on forward volatility, such as VIX futures and options.

The implied volatility term structure observed in SPX options markets is analogous to the term structure of interest rates observed in fixed income markets. Similar to the calculation of forward rates of interest, it is possible to observe the option market's expectation of future market volatility through use of the SPX implied volatility term structure.

The data below represents the VIX term structure as of the date and time indicated. Users may also request the VIX term structure at another point-in-time by selecting the desired date and time in the text box below.

Note that data will not be available on Saturdays, between noon and 9:00 p.m. CT or week-days between 7:00 and 7:10 a.m. CT. Data updates approximately every fifteen seconds during each trading day. The data is provided for informational purposes only. Cboe makes no guarantee as to the accuracy of the data. Your use of the data is subject to the Terms and Conditions of the Cboe Website

More Links

Term Structure and Volatility Indices on the S&P 500® Index Cboe Options Exchange offers these five gauges of expectations of future volatility based on real-time trading of S&P 500 options: the VIX9D Index (9-day volatility), VIX Index (30-day volatility), VIX3M (3-month volatility), VIX6M Index (6-month volatility), and VIX1Y Index (1-year volatility). The five indices can serve as tools to gain valuable insights on investor sentiment, and on the historical and current term structure related to S&P 500 options.

VIX Futures - Term Structure, Volume and Open Interest

VIX futures reflect the market's estimate of the value of the VIX Index on various expiration dates in the future. Monthly and weekly expirations are available and trade nearly 24 hours a day, five days a week. VIX futures provide market participants with a variety of opportunities to implement their view using volatility trading strategies, including risk management, alpha generation and portfolio diversification. To access a table with delayed quotes for VIX futures information on term structure, volume and open interest, please click on this link for the CFE Futures Quotes webpage, and scroll down to the table with VX - Cboe Volatility Index Futures.

Cboe data is compiled for the convenience of site visitors and is furnished without responsibility for 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. The information and data was obtained from sources believed to be reliable, but accuracy is not guaranteed. Your use of Cboe data is subject to the Terms and Conditions of Cboe Websites.