FRIDAY, DEC. 7 – People often ask me where they can find comparisons of the prices of the popular VIX® (spot) Index and the VIX futures. A good place to start is near the top of the VIX microwebsite at www.cboe.com/VIX ,
The middle row above denotes that the delayed quote for the VIX Dec. ’12 futures was 16.01, and it fell 0.39 today.
The table below has the VIX futures settlement prices, open interest and trading volume by expiration date. Note that the VIX futures prices rise from 16.00 for the Dec. ’12 futures, to 22.70 for the Aug. ’13 futures.
Another blog post today with more details on VIX futures and concerns about the fiscal cliff is entitled “Unusual Twist In VIX Futures Term Structure Of Late.”
RECORD VIX FUTURES VOLUME
In November 2012 the average daily volume (A.D.V.) in VIX futures reached a new record of 130,202 contracts, an increase of 233 percent over the 39,144 contracts per day November 2011, and up 12 percent versus the A.D.V. of 116,375 contracts in October 2012.