Cboe is the home of volatility trading, and the Cboe Volatility Index® (VIX® Index) is the centerpiece of Cboe’s volatility franchise, which includes VIX futures and VIX options.
- VIX Index
- VIX Options
- VIX Futures
- Overview
- Delayed Quotes
- Historical Data
- VIX White Paper
- VIX Methodology
The VIX Index is a calculation designed to produce a measure of constant, 30-day expected volatility of the U.S. stock market, derived from real-time, mid-quote prices of S&P 500® Index (SPXSM) call and put options. On a global basis, it is one of the most recognized measures of volatility -- widely reported by financial media and closely followed by a variety of market participants as a daily market indicator.
- Overview
- Settlement Process
- Options Quotes
- Contract Specs
- Historical Data
- Imbalance Notice
Following the successful launch of VIX futures, Cboe Options Exchange introduced VIX options in 2006, providing market participants with another tool to manage volatility. VIX options have monthly and weekly expirations and trade during U.S. regular trading hours and a limited global trading hours session (2:00 a.m. to 8:15 a.m. CT). VIX options 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.
- Overview
- Settlement Process
- Contract Specs
- Historical Data
- CFE Book View
- CFE Daily Statistics
- Imbalance Notice
Introduced in 2004 on Cboe Futures Exchange (CFE), VIX futures provide market participants with the ability to trade a liquid volatility product based on the VIX Index methodology. 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.
Last Sale
Net Change
VIX/M8
12.95
+0.375
VIX/N8
13.90
+0.175
VIX/Q8
14.50
+0.15
VIX/U8
15.15
+0.175
VIX/V8
15.75
+0.125
VIX® Futures & Options Strategies
VIX futures and options have unique characteristics and behave differently than other financial-based commodity or equity products. Understanding these traits and their implications is important. VIX futures and options may provide market participants with flexibility to hedge a portfolio, employ strategies in an effort to generate returns from relative pricing differences, or express a bullish, bearish or neutral outlook for broad market implied volatility.
Portfolio Hedging
One of the biggest risks to an equity portfolio is a broad market decline. The VIX Index has had a historically strong inverse relationship with the S&P 500® Index. Consequently, a long exposure to volatility may offset an adverse impact of falling stock prices. Market participants should consider the time frame and characteristics associated with VIX futures and options to determine the utility of such a hedge.
Long/Short Volatility
VIX futures provide a pure play on the level of expected volatility. Expressing a long or short sentiment may involve buying or selling VIX futures. Alternatively, VIX options may provide similar means to position a portfolio for potential increases or decreases in anticipated volatility.
Risk Premium Yield
Over long periods, index options have tended to price in slightly more uncertainty than the market ultimately realizes. Specifically, the expected volatility implied by SPX option prices tends to trade at a premium relative to subsequent realized volatility in the S&P 500 Index. Market participants have used VIX futures and options to capitalize on this general difference between expected (implied) and realized (actual) volatility, and other types of volatility arbitrage strategies.
Term Structure Trading
One of the unique properties of volatility – and the VIX Index – is that its level is expected to trend toward a long-term average over time, a property commonly known as "mean-reversion." The mean reverting nature of volatility is a key driver of the shape of the VIX futures term structure and the way it can move in response to changes in perceived risk. CFE lists nine standard (monthly) VIX futures contracts, and six weekly expirations in VIX futures. As such, there is a wide variety of potential calendar spreading opportunities depending on expectations for implied volatility.
The information above is provided for general education and information purposes only. No statement within these materials should be construed as a recommendation to buy or sell a security or future or to provide investment advice. Supporting documentation for any claims, comparisons, statistics or other technical data in these materials is available by contacting Cboe at www.cboe.com/Contact.
VIX® Index Research
Visit Research Library
S&P Dow Jones Indices: A Practitioner's Guide to Reading VIX
An easy-to-read guide for understanding the VIX complex. This document provides investors with simple guidelines that translate VIX Index levels into potentially more meaningful predictions or measures of market sentiment.Download Whitepaper
BlackRock: VIX Your Portfolio
A research paper outlining the opportunities created by using market uncertainty. This paper explains how the strategy of selling volatility has generated higher returns with smaller losses, compared with traditional equity portfolios.Download Whitepaper
The inclusion of research not conducted or explicitly endorsed by Cboe should not be construed as an endorsement or indication of the value of any research.