APRIL 10, 2014 – Today CBOE launched options on the CBOE Short-Term Volatility Index (VXST), and the VXST Index rose 30% to close at 16.50.
VXST options trading volume was an estimated 3,134 contracts, with much of the volume focused on near-term VXST call options (with an April 16 expiration and a 16 strike price) this morning; according to Bloomberg, the price of these options rose from a low of 0.30 this morning to a high of 1.20 this afternoon.
A CBOE press release noted that — “We were pleased to see a very active opening day of trading in Short-Term VIX options, with strong volume and broad market participation,” CBOE Holdings CEO Edward T. Tilly said. “Short-Term VIX options bring a new dimension for volatility trading to the market, and it is clear from today’s activity that market participants see tremendous utility for the contract.”
While the VIX measures expectations of 30-day future volatility, the VXST provides a market-based gauge of expectations of 9-day volatility, making it particularly responsive to changes in the S&P 500® Index.
Here are some features of the cash-settled VXST options (see my April 8 Blog for more features) –
1. FOUR AVAILABLE EXPIRATION DATES. For the next couple of trading days, there will be four available Wednesday expirations available for VXST options – April 16, April 23, April 30, and May 7.
2. TICKER SYMBOLS For CBOE’s index options, simply type in the index ticker symbol (e.g., VIX and VXST at CBOE’s Options Quote Page to see delayed quote prices for index options. CBOE set the VXST futures ticker symbols at VSW1, VSW2, VSW3, VSW4 and VSW5 (where W1 refers to the first week of the month, etc.). Click here for more details on Quote Vendor Symbols for VXST Futures.
3. HIGHER VOLATILITY OF VOLATILITY. At today’s close the 30-day historic volatilities were 205 for VXST and 114 for the VIX Index®, according to Bloomberg. At 2:30 pm CT today, the estimated implied volatilities for the near-term options with a 16 strike price and April 16 expiration date were 152 for the VXST Index and 102 for the VIX Index.
4. BIG MOVES FOR VXST INDEX AND VXST FUTURES TODAY. Today the VXST Index rose 30%, the VXST near-term futures rose from 13 to 15.6 (a 20% gain), and the VIX Index rose 15%. The table below provides a list of today’s price changes for 23 volatility indexes; visit www.cboe.com/volatility for more details.
Before investing in the potentially powerful VXST options and futures, investors are encouraged to do research about unique pricing and cost features. Please visit www.cboe.com/VXST to learn more about options strategies, important risk disclosures, charts and data.