VIX options are billed in cash because the underlying VIX index is non-negotiable and cannot be provided. The billing value for the year is determined by the opening or opening prices of the S-P500 options on the expiry date of the VIX options. This is called the Special Aperture Quotation (SOQ). Subscribe to Cboees Inside Volatility Trading Newsletter for the latest insights into the volatility market, current news and interesting trades. For financial instruments such as equities, volatility is a statistical measure of the degree of change in their trading price over a period of time. On September 27, 2018, the shares of Texas Instruments Inc. (TXN) and Eli Lilly-Co. (LLY) closed at similar levels of $107.29 and $106.89 per share. However, looking at their fluctuations last month (September), TXN (Blue Graph) had much larger price fluctuations than LLY (Orange Graph). TXN was more volatile than LLY during the one-month period. In absolute terms, VIX values above 30 are generally associated with high volatility due to increased investor uncertainty, risk and anxiety. VIX values below 20 generally correspond to stable and stress-free periods in the markets.
VIX FUTURES also operate during the “extended” hours from 17:00 Chicago on Sunday until 15:15 Friday, with only 15 minutes of breaks daily from 15:15 to 15:30. Liquidity is low outside normal business hours, but may be slightly higher when European markets open. Indices: Index prices may be real-time or delayed depending on the exchange rate requirement; See time-stamping of information on possible delays. Source: FactSet VIX Futures` order multiplier is 1,000. The value of a VIX futures contract is 1,000 times the value of the VIX index at the front (in USD). In other words, if you`re a long-time VIX futures contract and its prices go up by 1 point, you make $1,000 (it works both ways naturally). Markets Diary: Data on the U.S. preview page represent trade in all U.S. markets and updates up to 20.m. See table “Close notebooks” for 4 p.m. Sources: FactSet, Dow Jones Do not try to trade future vix without a good understanding of the curve and how the prices of different VIX futures to each other and the VIX spot index. You can find more information about this and a statement from contango vs.
backwardation here: More information about the VIX Futures Curve. In the past, there was a mini version of VIX-Futures with a contract multiplier of 100 (1/10 of the ordinary future VIX) traded on CFE under the symbol VM. It was very illiquid and CFE removed it from the list in January 2014. When it was created in 1993, VIX was calculated as a weighted measure of the implied volatility of eight S-P 100-at-money-put and Call options, when the derivatives market had limited operations and was in high growth stages. As derivatives markets matured, Cboe partnered with Goldman Sachs ten years later in 2003 and updated the methodology for calculating VIX differently. It then began to use a wider range of options on the basis of the broader S-P 500 Index, an expansion that allows investors to take a closer look at investors` expectations of future market volatility. They then took up a method that remains in force and which is also used for calculating various other variants of the volatility index. Because of its tendency to increase significantly in times of market fear and uncertainty, another name for the VIX is the “fear index”. Although very popular, VIX futures, as well as vix options, and etns and ETFs, are fairly complex and commercial products, they are not without a good understanding of how they work and how their prices are recommended to refer to the vix spot index (it is not uncommon for the VIX index to go up and VIX futures go at the same time). For more information on VIX product features, practical tips and strategies, see Trading the VIX.