VXST Futures—Not a Bad Proxy for the VIX index

Update:  On June 18, 2015 the CBOE announced that they would be discontinuing VXST futures and options.  These products have not achieved significant volumes so this wasn’t a surprising outcome. As an alternative solution to the desire for options better tracking the VIX the CBOE has added weekly expirations of futures and options to the already hugely popular 30 day VIX futures.  This approach has …

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VXST Index, Futures Quotes and Expiration Dates

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. _______________________________________________________________________________________ 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 …

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Graphical Representation of CBOE’s VIXMO Calculation (Redirected)

The dynamically updated chart above uses delayed quotes from Google Finance.  It details the interpolation / extrapolation process that computes the 30 day VIXMO from two close-in months of SPX options (VINMO and VIFMO).  This calculation is the legacy version of the VIX that was used from 23-Sept-2003 through 5-Oct-2014.  On October 6th, 2014 the CBOE modified the calculation to start using SPX weekly options …

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