New VIX Weeklys – More Responsiveness in Recent Weeks – by Matt Moran

VIX® Weeklys futures began trading at CBOE Futures Exchange (CFE®) on July 23, 2015. VIX Weeklys options are expected to begin trading at CBOE® on October 8, 2015. One of the most important features of the new VIX Weeklys is the fact that these products have the potential to provide more trading precision and responsiveness for investors.

Note in the first chart below that the VIX Weekly futures (Wk 34, expiring on August 26) generally were much more responsive than the VIX futures with standard expiration in September and October. In the three trading days ending on August 24, the S&P 500 Index fell 9% and the VIX Weekly futures (Wk 34) rose 147%.

1 - VIX fut AugIt is interesting to compare the charts above and below and note that the SPX put-call ratio jumped as the VIX Index rose.
2 - Put call Aug
More Precision and Responsiveness. The addition of weekly expirations to standard monthly futures and options expirations offers volatility exposures that more precisely track the performance of the VIX Index. The closer VIX futures and options are to expiration, the more closely they generally track the VIX Index. By ‘filling the gaps’ between monthly expirations, investors may obtain new opportunities to establish short-term VIX positions, and fine-tune the timing of their hedging and trading activities.

Ticker Symbols. Quotes for VIX Weeklys will be listed within the existing VIX futures and options chains. More information is at www.cboe.com/VIXWeeklys.

The posts on this blog are opinions, not advice.
Please read our disclaimer for Indices.

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