VIX Futures and Options - Cboe Options Exchange · PDF fileVIX Futures and Options ... is a...
Transcript of VIX Futures and Options - Cboe Options Exchange · PDF fileVIX Futures and Options ... is a...
VIX
80.86
SPX
0
1000
2000
3000
0
30
60
90
Jan-90 Apr-96 Jul-02 Oct-08 Feb-15
SPXVIX
VIX Futures and OptionsThe Cboe Volatility Index® (VIX® Index) is a leading measure of market expectations of near-term volatility conveyed by S&P 500 Index (SPX) option prices. Since its introduction in 1993, the VIX® Index has been considered by many to be the world’s premier barometer of investor sentiment and market volatility. To learn more, visit cboe.com/VIX
With the launch of VIX Futures at Cboe Futures Exchange (CFE) in 2004 and VIX Options at Cboe in 2006, there has been a growing acceptance of trading VIX and VIX-linked products as risk management tools. VIX options and futures enable investors to trade volatility independent of the direction or the level of stock prices. Whether an investor’s outlook on the market is bullish, bearish or somewhere in-between, VIX futures and options can provide the ability to diversify a portfolio, as well as hedge, mitigate or capitalize on broad market volatility.
VIX® and SPX 500® Indexes
Daily closing values. (Jan. 1990 - Jan. 8, 2018), The VIX Index is not investable. Sources: Bloomberg and Cboe - www.cboe.com/VIX
VIX® Futures ADV
Avg. daily volume per year. Source: Cboe Futures Exchange. www.cboe.com/VIX
VIX® Options ADV
VIX® Index – Average daily closing value per year
12.8 17.5 32.7 31.5 22.5 24.2 17.8 14.2 14.2 16.7 15.8
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Source: Cboe
Multiplier = $1000 Multiplier = $100
Cboe.com | @Cboe | /Cboe | /Company/Cboe © 2018 Cboe Exchange, Inc. All Rights Reserved. v1.2
1,731
4,169
4,301
4,580
17,469
47,777
95,212
158,580
200,522
204,986
238,773
294,259
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
23,491
93,181
102,754
132,255
247,826
388,845
442,959
567,460
632,419
573,176
588,279
722,356
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Avg. daily volume per year. Source: Cboe Options Exchange
11.1
2017
VIX Weeklys℠
VIX Weeklys futures began trading at Cboe Futures Exchange (CFE®) on July 23, 2015. VIX Weeklys options began trading at the Cboe Options Exchange on Thursday, October 8, 2015.
The addition of weekly expirations to standard monthly features and options expirations offers volatility exposures that more precisely track the performance of the VIX Index. The closer VIX futures and options are to expiration, the more closely the more closely they generally track the VIX Index. By ‘filling the gaps’ between monthly expirations, investors may obtain new opportunities to establish short-term VIX positions, and fine-tune the timing of their hedging and trading activities. For more details, see cboe.com/VIXWeeklys
March 30, 2004 - July 19, 2016
0.00.10.20.30.40.50.60.70.80.91.0
0 21 42 63 84 105 126 147 168 189 210 231 252
Beta of Weekly and Standard VIX Futures to the VIX Index as a Function of Time to Expiration
Beta
Days to ExpirationSource: Cboe
y = -0.148ln(x) + 0.9751R2 = 0.9494
VIX Futures VIX Options
Exchange Cboe Futures Exchange (CFE) Cboe Options Exchange
Year of Introduction 2004 2006
Ticker VX and VX01 through VX53 VIX
Multiplier $1,000 $100
Extended Trading Hours CT (Chicago time)*
On the Monday trading day - 5:00 p.m. (Sunday) to 8:30 a.m.
On the Tuesday through Friday trading days -- 3:30 p.m. (previous day) to 8:30 a.m.*
2:00 a.m. to 8:15 a.m.
Regular Trading Hours CT (Chicago time) 8:30 a.m. to 3:15 p.m.
Expiration and Settlement Usually on a Wednesday morning (30 days before a Friday settlement for SPX options)
Key Specifications for VIX® Futures and Options
Please visit cboe.com/VIX for more details.Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options. Copies are available from your broker or from The Options Clearing Corporation at www.theocc.com. Futures trading is not suitable for all investors, and involves the risk of loss. The risk of loss in futures can be substantial. You should, therefore, carefully consider whether such trading is suitable for you in light of your circumstances and financial resources. For additional information regarding futures trading risks, see the Risk Disclosure Statement set forth in CFTC Regulation §1.55(b). The information in these materials are 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 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. Past performance is not indicative of future results. No statement within this document should be construed as a recommendation to buy or sell a security or futures contract or to provide investment advice. Supporting documentation for any claims, comparisons, statistics, or other technical data, will be supplied upon request. Cboe®, Cboe Volatility Index®, CFE®, and VIX® are registered trademarks and Cboe Futures Exchange, SPX, and Weeklys are service marks of Cboe Exchange, Inc. S&P® and S&P 500® are registered trademarks of Standard & Poor’s Financial Services, LLC and are licensed for use by Cboe Exchange, Inc.. © 2018 Cboe Exchange, Inc. All Rights Reserved
Cboe.com | @Cboe | /Cboe | /Company/Cboe © 2018 Cboe Exchange, Inc. All Rights Reserved. v1.2
*The extended trading hours for VIX futures are scheduled to change in Feb. 2018. www.cboe.com/ETH