Difference between revisions of "CBOE Short-term Volatility Index Futures"

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On January 30, 2014, The Chicago Board Options Exchange planned to launch CBOE short-term volatility index(VXST Index) futures, where the underlying instrument is short-term volatility index, in response to proven demand for weekly options and volatility contracts that measure a shorter time period. The short term volatility index with weekly expirations are expected to be traded on February 13, 2014.<ref>{{cite web|org=CBOE Futures Exchange|date=February 19,2014|name=CBOE Futures Exchange Announces Launch Date For CBOE Short-Term VIX Futures With Weekly Expirations|url=http://ir.cboe.com/releasedetail.cfm?ReleaseID=822177}}</ref>
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Futures and options on CBOE Short-Term Volatility Index(VXST Index) with Weekly expirations, were introduced for trading n February 13 and on April 10, 2014, respectively  in response to proven demand for weekly options and volatility contracts that measure a shorter time period. .<ref>{{cite web|org=CBOE Futures Exchange|date=February 19,2014|name=CBOE Futures Exchange Announces Launch Date For CBOE Short-Term VIX Futures With Weekly Expirations|url=http://ir.cboe.com/releasedetail.cfm?ReleaseID=822177}}</ref>
  
 
The exchange created VXST index in response to market demand for an option contract on a short-term volatility index that expires each week. The VXST index is designed to measure investor’s consensus view of nine day future expected stock market volatility. On one Wednesday of each month, the exchange plans to settle VXST options by calculating two exercise settlement values based on different S&P 500 index options. One option expires in 30 days and another  option expires in 9 days. <ref>{{cite web|org=Federal Register|name=February Notice of Filing of Proposed Rule Change To List and Trade CBOE Short-Term Volatility Index Options|date=February 19, 2014 |url=https://www.federalregister.gov/articles/2014/02/06/2014-02504/self-regulatory-organizations-chicago-board-options-exchange-incorporated-notice-of-filing-of}}</ref>
 
The exchange created VXST index in response to market demand for an option contract on a short-term volatility index that expires each week. The VXST index is designed to measure investor’s consensus view of nine day future expected stock market volatility. On one Wednesday of each month, the exchange plans to settle VXST options by calculating two exercise settlement values based on different S&P 500 index options. One option expires in 30 days and another  option expires in 9 days. <ref>{{cite web|org=Federal Register|name=February Notice of Filing of Proposed Rule Change To List and Trade CBOE Short-Term Volatility Index Options|date=February 19, 2014 |url=https://www.federalregister.gov/articles/2014/02/06/2014-02504/self-regulatory-organizations-chicago-board-options-exchange-incorporated-notice-of-filing-of}}</ref>

Revision as of 10:31, 13 April 2014

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Futures and options on CBOE Short-Term Volatility Index(VXST Index) with Weekly expirations, were introduced for trading n February 13 and on April 10, 2014, respectively in response to proven demand for weekly options and volatility contracts that measure a shorter time period. .[1]

The exchange created VXST index in response to market demand for an option contract on a short-term volatility index that expires each week. The VXST index is designed to measure investor’s consensus view of nine day future expected stock market volatility. On one Wednesday of each month, the exchange plans to settle VXST options by calculating two exercise settlement values based on different S&P 500 index options. One option expires in 30 days and another option expires in 9 days. [2]

Futures contract specification

Short-term Volatility Index Futures futures
Exchange Chicago Board Option Exchange
Settlement Cash settled
Contract Size $1,000 per contract
Pricing Unit Need pricing unit!
Tick Value $50.00 per contract
Contract Months Trading weekly
Last Trading Day The close of trading on the day before the Final Settlement Date.
Note: This contract is electronic ONLY -- no open outcry
  No Open Outcry Electronic
Trading Hours N/A 8:30 a.m. - 3:15 p.m. Central Time
Ticker Symbol N/A VSW1, VSW2, VSW3, VSW4 and VSW5
Price Limits N/A N/A
 
Short-term Volatility Index Futures options
Trade Unit $100 per contract
Point Value Need point value!
Tick Value Need tick value! (Minimum tick for VXST option series trading below $3 is 0.05; above $3 is

0.10)

Option Months Trading Weekly
Strike Prices Need strike price description!
Exercise Style European
  No Open Outcry Electronic
Trading Hours N/A 8:30 a.m. to 3:15 p.m. Central Time
Ticker Symbol N/A VXST Options
Price Limits N/A N/A

Notes

CBOE SHORT-TERM VOLATILITY INDEX Fact Sheet

CBOE Short-Term Volatility Index Futures Specification

Reference

  1. CBOE Futures Exchange Announces Launch Date For CBOE Short-Term VIX Futures With Weekly Expirations. CBOE Futures Exchange.
  2. February Notice of Filing of Proposed Rule Change To List and Trade CBOE Short-Term Volatility Index Options. Federal Register.