The VIX Term Structure and Launch of SPX Extended Weekly

Investors often are interested in risk management and volatility expectations over different time periods.   Below is an overview of the VIX term structure, and an update on the launch of SPX Extended Weekly options.

1. VIX TERM STRUCTURE

The VIX® term structure illustrates, by maturity, expectations of market volatility conveyed by S&P 500 (SPX) stock index option prices.  CBOE calculates these expectations by applying the VIX methodology to standard SPX option maturities.  The items below represent the VIX term structure as of the date and time indicated.  www.cboe.com/VIX

 

2. EXTENSION OF THE LISTINGS OF S&P 500® SPX WEEKLY (SPXW) OPTIONS

On May 31st CBOE began an extension of the listings of S&P 500® SPX Weekly (SPXW) options, and CBOE Holdings now maintains five consecutive expiration weeks available for trading options on the S&P 500. www.cboe.com/SPXW

In the first five trading days of June, the total volume for SPX Weekly options was 876,945, and average daily volume of SPXW options was 175,389.

 

3. SPX OPTIONS EXPIRATION DATES NOW AVAILABLE

Here is a list of SPX options expiration dates over the next five weeks

Expiration        Options Contract                          URL

8-Jun-2012         SPX Weeklys                    www.cboe.com/SPXW

16-Jun-2012       SPXpm options                 www.cboe.com/SPXpm

16-Jun-2012       SPX options (a.m.-settled)  www.cboe.com/SPX

22-Jun-2012       SPX Weeklys                    www.cboe.com/SPXW

29-Jun-2012       SPX Quarterly Options       www.cboe.com/SPXQ

6-Jul-2012          SPX Weeklys                   www.cboe.com/SPXW

13-Jul-2012        SPX Weeklys                   www.cboe.com/SPXW

Please visit www.cboe.com/SPX for information about more SPX expiration dates in future months and years.

4. MORE INFORMATION ON SPX WEEKLY OPTIONS

SPX Weeklys are traded on CBOE and quotes can be found in SPX options chains under root symbol SPXW. SPX Weeklys are PM-settled on the last trading day, typically a Friday.

Key features of SPX Weeklys options —

> LARGE CONTRACT SIZE WITH A $100 MULTIPLIER (ten times larger than SPY options);

> CASH-SETTLEMENT;

> EUROPEAN-STYLE EXERCISE.

www.cboe.com/SPXW

The posts on this blog are opinions, not advice.
Please read our disclaimer for Indices.

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