VIX Futures Explained

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ProShares VIX Short-Term Futures ETF (VIXY)

Previous Close 34.60
Open 33.58
Bid 34.62 x 4000
Ask 34.63 x 800
Day’s Range 33.47 – 35.62
52 Week Range 10.80 – 64.56
Volume 3,532,360
Avg. Volume 6,920,857
Net Assets 222.93M
NAV 37.29
PE Ratio (TTM) N/A
Yield 0.00%
YTD Daily Total Return 203.21%
Beta (5Y Monthly) 1.00
Expense Ratio (net) 0.87%
Inception Date 2020-01-03

Best VIX ETFs

VIXY is the best short-term VIX ETF, VIXM is the best medium-term VIX ETF, and VXX is the most liquid for frequent traders.

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ETFs that follow the CBOE Volatility Index, or VIX, surged Monday as growing fears of a spreading coronavirus sent U.S. markets reeling. On Monday, the iPath Series B S&P 500 VIX Short Term Futures ETN (VXX) increased 7.1%, ProShares VIX Short-Term Futures ETF (VIXY) advanced 6.8% and VelocityShares Daily Long VIX Short-Term ETN (VIIX) gained 7.8% while the CBOE Volatility Index, or the so-called VIX, jumped 17.2% to 17.2 and touched its highest level since October. Potential investors should keep in mind that VIX-related exchange traded products track VIX futures and not the spot price.

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While the equity markets were slowly pushing forward, the CBOE Volatility Index and VIX-related exchange traded funds jumped, potentially reflecting an increase in demand to hedge against swings ahead .

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Top 10 Things To Know About VIX Options

VIX options use the CBOE Volatility Index (VIX) as its underlying asset . VIX options were the first exchange-traded options that allowed investors to trade the market volatility. VIX options can be used as a hedge against sudden market decline, but also as speculation on future moves in volatility .

Here are 10 important things about VIX options.

  1. VIX options settle in cash and trade in the European style. European style options cannot be exercised until expiration. The options can be opened or closed anytime before expiration. You don’t need to worry about ending up with an unwanted position in VIX after expiration. If your VIX options expire In-The-Money (ITM), you get a cash payout. The payout is the difference between the strike price and the VRO quotation on the expiration day (basically the amount the option is ITM). For example, the payout would be $2.50 if the strike price of your call option strike was $15 and the VRO was $17.50.
  2. Expiration Days: VIX options do not expire on the same days as equity options. The Expiration Date (usually a Wednesday) will be identified explicitly in the expiration date of the product. If that Wednesday is a market holiday, the Expiration Date will be on the next business day. On the expiration Wednesday the only SPX options used in the VIX calculation are the ones that expire in 30 days. Last Trading Day for VIX options is the business day prior to the Expiration Date of each contract expiration. When the Last Trading Day is moved because of a Cboe holiday, the Last Trading Day for an expiring VIX option contract will be the day immediately preceding the last regularly scheduled trading day.
  3. The exercise-settlement value for VIX options (Ticker: VRO) is a Special Opening Quotation (SOQ) of VIX calculated from the sequence of opening prices during regular trading hours for SPX of the options used to calculate the index on the settlement date. The opening price for any series in which there is no trade shall be the average of that option’s bid price and ask price as determined at the opening of trading. Click here for Settlement Information for VIX options. For example:

Table courtesy of projectoption.com.

Contract Expirations: Up to six 6 weekly expirations and up to 12 standard (monthly) expirations in VIX options may be listed. The 6 weekly expirations shall be for the nearest weekly expirations from the actual listing date and standard (monthly) expirations in VIX options are not counted as part of the maximum six weekly expirations permitted for VIX options. Like the VIX monthlys, VIX weeklys usually expire on Wednesdays.

VIX Options Trading Hours are 8:30 a.m. to 3:15 p.m. Central time (Chicago time). Extended hours are 2:00 a.m. to 8:15 a.m. Central time (Chicago time). CBOE extended trading hours for VIX options in 2020. The ability to trade popular VIX options after the close of the market provides traders with a useful alternative, especially from overseas market participants looking to gain exposure to the U.S. market and equity market volatility. VIX options are among of the most actively traded contracts the options market has to offer.

VIX options are based on a VIX futures, not the spot index ($VIX) quote. Therefore VIX options prices are based on the VIX futures prices rather than the current cash VIX index. To understand the price action in VIX options, look at VIX futures. This can lead to unusual pricing of some VIX strategies. For example, VIX calendars can trade at negative values. This is something that can never happen with equity options.

Hedging with VIX options: VIX can be used as a hedging tool because VIX it has a strong negative correlation to the SPX – and is generally about four times more volatile. For this reason, traders many times would buy of out of the money calls on the VIX as a relatively inexpensive way to hedge long portfolio positions. Similar hedges can be constructed using VIX futures or the VIX ETNs.

VIX is a mean-reverting index. Many times, spikes in the VIX do not last and usually drop back to moderate levels soon after. So, unless the expiration date is very near, the market will take into account the mean-reverting nature of the VIX when estimating the forward VIX. Hence, VIX calls are many times heavily discounted whenever the VIX spikes.

VIX options time sensitivity: VIX Index is the most sensitive to volatility changes, while VIX futures with further settlement dates are less sensitive. As a result, longer-term options on the VIX are less sensitive to changes implied volatility. For example, between September 2nd and October 10th 2008, the following movements occurred in each volatility product:

S&P 500 VIX Apr ’20 (VIJ20)

S&P 500 VIX Futures Market News and Commentary

The S&P 500 Index ($SPX) this morning is up +1.89%, the Dow Jones Industrials Index ($DOWI) is up +2.39%, and the Nasdaq 100 Index ($IUXX) is up +0.84%.

U.S. stock indexes this morning have extended Monday’s rally with the S&P 500 and Dow Jones Industrials at 3-1/2 week highs and the Nasdaq 100 at a 4-week high. Global stock markets are moving higher today on hopes that the pandemic in hotspots may be slowing. Italy, France and Germany today announced lower numbers of new coronavirus cases, and China reported no new deaths for the first time since the pandemic emerged, although Spain did report an uptick in deaths. Confirmed cases of the coronavirus have risen above 1,370,000 globally with deaths exceeding 76,000.

Comments today from White House adviser Kudlow were bullish for stocks when he said credit markets look much better today than two weeks ago and that “the president would like to reopen the economy as soon as he can, and we are planning internally.”

indices Futures News

Edgard Cabanillas – Alpine Trading LLC 28 minutes ago

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Price downtrend line has been negated and fledgling uptrend in place–suggesting market has bottomed out.

Alan Bush – ADM Investor Services Tue Apr 7, 8:59AM CDT

The Dow Jones posted its third-biggest point gain ever on Monday.

Bill Baruch – Blue Line Futures Tue Apr 7, 7:53AM CDT

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Anton Kolhanov – Kolhanov.com Tue Apr 7, 6:27AM CDT

The uptrend may be expected to continue, while pair is trading above support level 2721, which will be followed by reaching resistance level 2812

Tfm Intelligence Solutions – Total Farm Marketing Tue Apr 7, 5:46AM CDT

Grains mixed overnight looking for stability from crude and stocks

Stocks: 15 20 minute delay (Cboe BZX is real-time), ET. Volume reflects consolidated markets. Futures and Forex: 10 or 15 minute delay, CT.

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The All Futures page lists all open contracts for the commodity you’ve selected. Intraday futures prices are delayed 10 minutes, per exchange rules, and are listed in CST. Overnight (Globex) prices are shown on the page through to 7pm CST, after which time it will list only trading activity for the next day. Once the markets have closed, the Last Price will show an ‘s’ after the price, indicating the price has settled for the day. The page will always show prices from the latest session of the market.

End-of-Day prices are updated at 8pm CST each evening, and includes the previous session volume and open interest information.

The Cash Contract is listed as the first contract at the top of the page.

Data Updates

For pages showing Intraday views, we use the current session’s data, with new price data appear on the page as indicated by a “flash”. Stocks: 15 minute delay (Cboe BZX data for U.S. equities is real-time), ET. Volume reflects consolidated markets. Futures and Forex: 10 or 15 minute delay, CT.

The list of symbols included on the page is updated every 10 minutes throughout the trading day. However, new stocks are not automatically added to or re-ranked on the page until the site performs its 10-minute update.

Page Sort

Pages are initially sorted in a specific order (depending on the data presented). You can re-sort the page by clicking on any of the column headings in the table.

Views

Most data tables can be analyzed using “Views.” A View simply presents the symbols on the page with a different set of columns. Site members can also display the page using Custom Views. (Simply create a free account, log in, then create and save Custom Views to be used on any data table.)

Each View has a “Links” column on the far right to access a symbol’s Quote Overview, Chart, Options Quotes (when available), Barchart Opinion, and Technical Analysis page. Standard Views found throughout the site include:

    Main View: Symbol, Name, Last Price, Change, Percent Change, High, Low, Volume, and Time of Last Trade.

Technical View: Symbol, Name, Last Price, Today’s Opinion, 20-Day Relative Strength, 20-Day Historic Volatility, 20-Day Average Volume, 52-Week High and 52-Week Low.

Performance View: Symbol, Name, Last Price, Weighted Alpha, YTD Percent Change, 1-Month, 3-Month and 1-Year Percent Change.

  • Fundamental View: Available only on equity pages, shows Symbol, Name, Weighted Alpha, Market Cap, P/E Ratio. Earnings Per Share, Beta, Return on Equity, and Price/Sales
  • Data Table Expand

    Unique to Barchart.com, data tables contain an “expand” option. Click the “+” icon in the first column (on the left) to “expand” the table for the selected symbol. Scroll through widgets of the different content available for the symbol. Click on any of the widgets to go to the full page.

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    Horizontal Scroll on Wide Tables

    Especially when using a custom view, you may find that the number of columns chosen exceeds the available space to show all the data. In this case, the table must be horizontally scrolled (left to right) to view all of the information. To do this, you can either scroll to the bottom of the table and use the table’s scrollbar, or you can scroll the table using your browser’s built-in scroll:

    • Left-click with your mouse anywhere on the table.
    • Use your keyboard’s left and right arrows to scroll the table.
    • Repeat this anywhere as you move through the table to enable horizontal scrolling.
    FlipCharts

    Also unique to Barchart, FlipCharts allow you to scroll through all the symbols on the table in a chart view. While viewing FlipCharts, you can apply a custom Chart Template, further customizing the way you can analyze the symbols. FlipCharts are a free tool available to Site Members.

    Download

    Download is a free tool available to Site Members. This tool will download a .csv file for the View being displayed. For dynamically-generated tables (such as a Stock or ETF Screener) where you see more than 1000 rows of data, the download will be limited to only the first 1000 records on the table. For other static pages (such as the Russell 3000 Components list) all rows will be downloaded.

    Free members are limited to 5 downloads per day, while Barchart Premier Members may download up to 100 .csv files per day.

    Should you require more than 100 downloads per day, please contact Barchart Sales at 866-333-7587 or email [email protected] for more information or additional options about historical market data.

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