CBOE Futures Exchange Announces Launch Date For CBOE Short-Term VIX Futures With Weekly Expirations
January 30, 2014
- Particularly responsive to short-term moves in S&P 500 Index
- Combine benefits of VIX futures and SPX Weeklys
CHICAGO, Jan. 30, 2014 /PRNewswire/ -- CBOE Futures Exchange, LLC (CFE®) announced today that it plans to launch trading of futures with weekly expirations on the new CBOE Short-Term Volatility IndexSM (ticker symbol: VXSTSM) on Thursday, February 13, pending regulatory review.
Chicago Board Options Exchange® (CBOE®) developed the CBOE Short-Term Volatility Index ("VXST Index" or "Short-Term VIX Index") 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. The VIX Index uses SPX monthly options to measure expectations of 30-day volatility, while the VXST Index uses SPX options that expire every week (including SPX Weeklys) to gauge expectations of nine-day volatility. The VXST Index's shorter time horizon makes it particularly responsive to short-term volatility triggered by market events such as corporate earnings, government reports and Fed announcements.
"We can't help but be excited about launching Short-Term VIX futures, which combine the best features of our SPX Weeklys options and VIX futures. Traders will have at least four weekly expirations available at one time, providing tremendous flexibility to hedge around event-driven and unexpected market moves," CBOE Chief Executive Officer Edward T. Tilly, said. "We also expect professional traders to create strategies to take advantage of price differences between VIX and VXST products."
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. As an example, when Standard & Poor's downgraded U.S. debt in August 2011, VXST Index values rose 81 percent, while the VIX Index rose 50 percent.
Spot Trading will be the Designated Primary Market Maker (DPM) for the Short-Term VIX futures traded at CFE.
In 2005, CBOE pioneered the Weeklys options product with SPX Weeklys. In 2013, SPX Weeklys accounted for approximately 24 percent of all SPX options trading. Average daily volume for SPX Weeklys during 2013 reached an all-time high of 197,126 contracts, a 98-percent increase from 2012. Last week, consecutive single-day SPX Weeklys volume records were set on Thursday, January 23 and Friday, January 24 when 426,955 and 747,051 options contracts traded, respectively.
"Given the extraordinary appeal and record-setting volume of SPX Weeklys options and VIX futures, we expect futures traders who haven't had the benefit of weekly expirations to embrace Short-Term VIX futures similar to options traders' acceptance of Weeklys options," Tilly said.
CBOE is the home of volatility trading. An innovator in the volatility space and leading creator of measures that track market volatility, CBOE currently publishes data on more than two dozen volatility-related benchmarks and strategies, including indexes that track broad-based indexes, sector and commodity-related ETFs, individual equities and others.
For more information on the CBOE Short-Term Volatility Index, 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 Futures Exchange
CBOE Futures Exchange currently offers eight contracts: CBOE Volatility Index (VIX Index) futures (VX), S&P 500 Variance futures (VA), CBOE NASDAQ-100 Volatility Index (VXN) futures (VN), CBOE Russell 2000 Volatility Index (RVX) futures (VU), CBOE Gold ETF Volatility Index (GVZ) security futures (GV), CBOE Crude Oil ETF Volatility Index (OVX) security futures (OV), CBOE Emerging Markets ETF Volatility Index (VXEEM) security futures (VXEM) and CBOE Brazil ETF Volatility Index (VXEWZ) security futures (VXEW).
CFE, a wholly-owned subsidiary of CBOE Holdings, Inc. (NASDAQ: CBOE), offers an all-electronic, open-access market model, with traders providing liquidity and making markets. CFE is regulated by the Commodity Futures Trading Commission (CFTC) and all trades are cleared by the OCC.
More information on CFE and its products, including contract specifications, can be found at: http://cfe.cboe.com/.
CBOE®, Chicago Board Options Exchange®, CFE®, CBOE Volatility Index® and VIX® are registered trademarks, and CBOE Futures ExchangeSM, CBOE Short-Term Volatility IndexSM, CBOE Nasdaq-100 Volatility IndexSM, VXNSM, VNSM, CBOE Brazil ETF Volatility IndexSM, VXEWSM, VXEWZSM, CBOE Crude Oil ETF Volatility IndexSM, OVXSM, OVSM, CBOE Emerging Markets ETF Volatility IndexSM, VXEMSM, VXEEMSM, CBOE Gold ETF Volatility IndexSM, GVZSM, GVSM, Execute SuccessSM, SPXSM, RVXSM, VA SM, VUSM, VXSM , 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.
SOURCE CBOE Futures Exchange, LLC
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