VXST Index, Futures Quotes and Expiration Dates


Updated: Dec 16th, 2016 | Vance Harwood | @6_Figure_Invest

Update

Due to low demand, the CBOE discontinued VXST options and futures.  The VXST index itself continues to be active.   The CBOE went on to introduce weekly versions of its popular 30 day VIX futures which have been reasonably successful.

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VXST Indexes

On  October 1st, 2013 the CBOE introduced the VXST index. VXST uses the same methodology as the CBOE’s VIX® index except that it gives 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:

Quote Provider

Index

Futures Symbols

Weekly
Settlement (SOQ)

Calc
Near
Week

Calc
Far Week

CBOE

VXST

1VSW/<> 2VSW/<>
3VSW/<>
4VSW/<>
5VSW/<>

<> = mo code + yr (see below)

SVRO

VSTN

VSTF

Yahoo Finance

^VXST

 ^SVRO

^VSTN

^VSTF

Google Finance

CBOEINDEX:VXST

CBOEINDEX:VSTN

CBOEINDEX:VSTF

Schwab

$VXST

 $SVRO

$VSTN

$VSTF


The CBOE publishes two intermediate calculations (VSTN & VSTF) that are used to the compute the VXST 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.

At expiration the VXST 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.

VXST Futures

On February 13th, 2014 the CBOE started trading futures on their new VXST based index.

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

VXST options started trading April 10, 2014.    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.

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Friday, December 16th, 2016 | Vance Harwood