What is the cboe volatility index

what is the cboe volatility index

CBOE Volatility Index ® (VX) Futures

Contract Name:

CBOE Volatility Index (VX) Futures

Listing Date:

March 26, 2004

Description:

The CBOE Volatility Index - more commonly referred to as "VIX" - is an up-to-the-minute market estimate of expected volatility that is calculated by using real-time prices of options on the S&P 500 ® Index listed on the Chicago Board Options Exchange (Symbol: SPX). The VIX Index is calculated using SPX quotes generated during regular trading hours for SPX options. The VIX Index uses SPX options with more than 23 days and less than 37 days to expiration and then weights them to yield a constant, 30-day measure of the expected volatility of the S&P 500 Index.

Contract Multiplier:

The contract multiplier for each VX futures contract is $1000.

Ticker Symbols:

Cash Index - VIX

VX Futures Symbols - VX* and VX01 through VX53**. Embedded numbers denote the specific week of a calendar year during which a contract is settled. For symbology purposes, the first week of a calendar year is the first week of that year with a Wednesday on which a weekly VX futures contract

could expire.

*The final settlement value for a contract with the ticker symbol "VX" is calculated using A.M.-settled SPX options.

**The final settlement value for a contract with the ticker symbol "VX" followed by a number denoting the specific week of a calendar year is calculated using P.M.-settled SPX options.

Contract Expirations:

The Exchange may list for trading up to six near-term expiration weeks, nine near-term serial months and five months on the February quarterly cycle for the VX futures contract. VX futures that have a "VX" ticker are not counted as part of the six near-term expiration weeks.

For example, if 4 near-term VX expiration weeks, 3 near-term serial VX months and 1 VX month on the February quarterly cycle were listed as of April 7, 2016, these expirations would have the following ticker symbols:

VX15 (expiring Wednesday, April 13, 2016)

VX (expiring Wednesday, April 20, 2016)

VX17 (expiring Wednesday, April 27, 2016)

VX18 (expiring Wednesday May 4, 2016)

VX19 (expiring Wednesday, May 11, 2016)

VX (expiring Wednesday, May 18, 2016)

VX (expiring Wednesday, June 15, 2016)

VX (expiring Wednesday, July 20, 2016)

Source: cfe.cboe.com

Category: Forex

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