Due to low demand, the CBOE discontinued VXST options and futures. The VXST index, renamed the VIX9D, continues to be active. The CBOE went on to introduce weekly versions of its popular 30-day VIX futures which have been marginally successful.
On October 1st, 2013 the CBOE introduced the VXST index. VXST, later renamed to VIX9D. It uses the same methodology as the CBOE’s VIX® index except that it computes the market’s 9-day expectation of volatility rather than the 30-day. VXST options on VXST futures started trading April 10, 2014.
Some of the tickers related to the VXST are:
The CBOE publishes two intermediate calculations (VSTN & VSTF) that are used to compute the VIX9D index. These two indexes do a VIX style calculation with just the nearest SPX weekly options (VSTN) and the next available set of SPX weekly options (VSTF). The VXST is a variance (not linear) interpolation between these two indexes that gives a 9-day expectation of volatility.
The VIX9D calculation uses the same option series utilized in the VSTF—the SPX weekly options that will expire in 9 days. These indexes are analogous to the VIN and VIF used in the VIX calculation. For more on this see Calculating the VIX index—the “easy” part.
The full ticker symbology for VXST futures is given here. For CBOE delayed quotes the symbol is constructed with one of the 5 preambles: 1VSW, 2VSW, 3VSW, 4VSW 5VSW followed by a “/” and then the futures month and year code (see below for details). So for example the VXST futures expiring 26-Feb-2014 will have the symbol: 4VSW/G4. The futures are numbered by the week of the month that they expire, so the futures expiring the first week of the month will have the 1VSW preamble, 2nd week 2VSW, and so on.
VXST options started trading April 10, 2014 and were discontinued when the futures were discontinued. The most important thing to remember with VXST (and VIX) options is that the underlying is not the index, but rather the future that expires on the same day as the options. As with VIX options the last day of trading is the day before settlement, which is typically a Wednesday. For more on trading VXST options see 13 Things You Should Know About VXST options.