Strong Debut for CBOE Short-Term Volatility Index Options

April 10, 2014

Chicago Board Options Exchange (CBOE) logo

  • A Reported 3,134 Contracts Trade on First Day

CHICAGO, IL - April 10, 2014 -- Chicago Board Options Exchange® (CBOE®) today reported that first-day trading volume for CBOE Short-Term Volatility IndexSM (VXSTSMSM Index or "Short-Term VIX Index") options with weekly expirations totaled an estimated 3,134 contracts.

"We were pleased to see a very active opening day of trading in Short-Term VIX options, with strong volume and broad market participation," CBOE Holdings CEO Edward T. Tilly said. "Short-Term VIX options bring a new dimension for volatility trading to the market, and it is clear from today's activity that market participants see tremendous utility for the contract."

CBOE developed VXST options in response to proven demand for WeeklysSM options generally, and volatility contracts that measure a shorter time period in particular. Like CBOE's flagship CBOE Volatility Index (VIX® Index), the Short-Term VIX Index reflects investors' consensus view of expected stock market volatility using CBOE's proprietary VIX methodology. Both indexes use S&P 500® Index (SPXSM) options in their calculations. Whereas the VIX Index uses SPX monthly options to measure expectations of 30-day volatility, the VXST Index uses SPX options that expire every week (including SPX Weeklys) to gauge expectations of nine-day volatility.

The 30-day VIX Index and the nine-day VXST Index are highly correlated, but the VXST Index is generally more volatile than the VIX Index.

In addition to taking advantage of the shorter time horizon of Short-Term VIX Index products to respond to near-term market moves, VXST options have weekly expirations and a similar settlement process as VIX options and futures, enabling traders to create strategies using VXST and VIX to capture changes in the volatility term structure. CBOE Futures Exchange, LLC (CFE ) launched trading of VXST futures in February.

In addition to taking advantage of the shorter time horizon of Short-Term VIX Index products to respond to near-term market moves, VXST options have weekly expirations and a similar settlement process as VIX options and futures, enabling traders to create strategies using VXST and VIX to capture changes in the volatility term structure. CBOE Futures Exchange, LLC (CFE ) launched trading of VXST futures in February.

For more information on CBOE Short-Term Volatility Index options and futures, see www.cboe.com/VXST. Additional information on VIX futures and options, and CBOE's entire suite of volatility products, can be found at www.cboe.com/Volatility.

About CBOE
CBOE, the largest U.S. options exchange and creator of listed options, continues to set the bar for options and volatility trading through product innovation, trading technology and investor education. CBOE Holdings offers equity, index and ETP options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options and futures on the CBOE Volatility Index (the VIX Index). Other products engineered by CBOE include equity options, security index options, Weeklys options, LEAPS options, FLEX options, and benchmark products such as the CBOE S&P BuyWrite Index (BXM). CBOE Holdings is home to the world-renowned Options Institute and www.cboe.com, the go-to place for options and volatility trading resources.

Media Contacts:
Gail Osten
(312) 786-7123
osten@cboe.com

Gary Compton
(312) 786-7612
comptong@cboe.com

Analyst Contact:
Debbie Koopman
(312) 786-7136
koopman@cboe.com

CBOE®, Chicago Board Options Exchange®, CFE®, Execute Success , FLEX®, LEAPS®, CBOE Volatility Index® and VIX® are registered trademarks, and BuyWriteSM, BXMSM, CBOE Short-Term Volatility IndexSM, SPXSM, The Options InstituteSM, VXSTSM and WeeklysSM are service marks of Chicago Board Options Exchange, Incorporated (CBOE). Standard & Poor's®, S&P® and S&P 500® are registered trademarks of Standard & Poor's Financial Services, LLC and have been licensed for use by CBOE and CFE.

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