VIX Futures – Prices and Record Volume

FRIDAY, DEC. 7 – People often ask me where they can find comparisons of the prices of the popular VIX® (spot) Index and the VIX futures. A good place to start is near the top of the VIX microwebsite at ,

which has the following table that is updated intraday with delayed price quotes —

The middle row above denotes that the delayed quote for the VIX Dec. ’12 futures was 16.01, and it fell 0.39 today.

The table below has the VIX futures settlement prices, open interest and trading volume by expiration date.  Note that the VIX futures prices rise from 16.00 for the Dec. ’12 futures, to 22.70 for the Aug. ’13 futures.

Another blog post today with more details on VIX futures and concerns about the fiscal cliff is entitled “Unusual Twist In VIX Futures Term Structure Of Late.”


In November 2012 the average daily volume (A.D.V.) in VIX futures reached a new record of 130,202 contracts, an increase of 233 percent over the 39,144 contracts per day November 2011, and up 12 percent versus the A.D.V. of 116,375 contracts in October 2012.


Introducing the CBOE Low Volatility Index (LOVOL)

Nov. 29, 2012 – Today CBOE introduced the new CBOE Low Volatility IndexSM (ticker: LOVOL), a benchmark index designed for investors whose preferences have shifted from investing in riskier assets to lower-volatility assets. The LOVOL Index aims to provide investors with the ability to replicate an investment strategy that is subject to less downside volatility in a portfolio of S&P 500 stocks, while still preserving the bulk of market gains.

The LOVOL Index is a blend of two of CBOE’s popular strategy benchmark indexes –

The CBOE LOVOL Index measures the performance of a portfolio that overlays SPXTM and VIX® calls over the S&P 500 Index. The index holds a portfolio of S&P 500 stocks and simultaneously selling SPX calls and buying monthly VIX 30-delta calls on a monthly basis.


The backtested historical data time series for the LOVOL Index begins in March 2006, the month after the launch of VIX options.  In the period from March 31, 2006 through October 31, 2012, here are the percentage changes for select total return indexes – LOVOL up 40%, S&P 500 up 25%, Russell 2000 up 17%, and MSCI EAFE up 1%.

For the five-year period ending in October 31, 2012, the annualized return for the LOVOL Index was 2.9% (versus 0.4% for the S&P 500 total return index), and the standard deviation for the LOVOL Index was 13.6% (versus 19.1% for the S&P 500 index).

Since March 2006, the worst one-calendar-month drawdowns were down 9% for the LOVOL Index, down 16.8% for S&P 500, and down more than 20% for both the Russell 2000 and MSCI EAFE Indexes.



While the LOVOL Index uses options to help manage volatility, the S&P 500® Low Volatility Index measures the performance of the 100 least volatile stocks in the S&P 500. The index is designed to serve as a benchmark for low volatility or low variance strategies in the U.S. stock market. Constituents are weighted relative to the inverse of their corresponding volatility, with the least volatile stocks receiving the highest weights.


Subsequent to the 1993 introduction of the CBOE Volatility Index® (VIX®), CBOE introduced more than 20 volatility indexes that are posted at  After the 2002 introduction of the CBOE S&P 500 BuyWrite Index (BXMSM), CBOE introduced ten option-related benchmark indexes that are available at

CBOE will disseminate the CBOE LOVOL Index value every 15 seconds during the trading day. The index values will be available from quote data vendors and at the LOVOL webpage


Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options. The information in this document is provided solely for general education and information purposes. Past performance is not indicative of future results. No statement within this document should be construed as a recommendation to buy or sell a security or to provide investment advice.


Consumer Sentiment Index Reaches 5-Year High

A Bloomberg news story on Friday Nov. 9th noted –

“Confidence among U.S. consumers climbed to a five-year high in November, improving the prospects of bigger spending gains that will help spur the expansion.  The Thomson Reuters/University of Michigan preliminary consumer sentiment index rose to 84.9, the fourth straight increase and the highest since July 2007, from 82.6 in October. Economists projected an initial reading of 82.9 for November, according to the median estimate of 71 economists surveyed. … “


The chart below compares the movement of the consumer sentiment index to the movement of two indexes that are tied to investor sentiment – the S&P 500® (SPX) Index and CBOE Volatility Index (VIX®).  Over the past decade, the SPX is up about 50%, the consumer sentiment index is roughly unchanged, and the VIX is down about 32%.  One might think about different factors – unemployment, inflation, globalization, debt levels, entitlements, wars – that could have differing impacts on the stock indexes and consumer sentiment index.

On the topic of sentiment and investing, I found it interesting to read an October Barron’s interview of Gus Sauter, the Chief Investment Officer of Vanguard, who was quoted as follows:

“I’m 90%-plus [in equities]. I like the fact that everyone is worried about the stock market. That’s when the market is set up to do well. When people throw caution away, I get nervous.”


Please visit the links below for info on how you can implement bullish and bearish investment strategies –

SPX Options Volume Jumps to 1.15 Million Today

WED. NOV. 7 — Today, the day after the U.S. election, the trading volume for S&P 500® (SPX) options was a strong 1,153,017 contracts, the biggest volume day for SPX options since Sept. 14th.  For comparison purposes, the average daily volume for SPX options on the previous 8 trading days was 613,248.

Today the S&P 500 Index dropped 33.86 points to close at 1,394.53.

Today’s SPX trading volume included 520,237 calls and 632,780 puts for a put-call ratio of 1.22, the lowest daily SPX put/call ratio since Oct. 23.  Some observers try to glean hints as to changes in investor sentiment from put-call ratios.


Here are the daily closing levels for SPX on 4 recent select dates —

  • 14-Sep-12                   1,465.77
  • 5-Nov-12                     1,417.26
  • 6-Nov-12                     1,428.39
  • 7-Nov-12                     1,394.53

The VIX-and-more Blog noted —

“SPX Pullback Hits 5.9%, Fourth Longest Drawdown Since March 2009 Bull Began  The S&P 500 index fell as low as 1388 today, down 86 points or 5.9% from its September 14th high of 1474.  … Note that while a 5.9% drawdown is right in the middle of the pack in terms of the magnitude of the drop, the 36 days that it has taken for stocks to fall that far makes the current pullback the fourth longest in terms of peak-to-trough duration. …”


SPX 1-week Chart


As the SPX Index fell today, a number of related volatility indexes rose; for example, the CBOE Volatility Index® (VIX) rose 1.5 to 19.08, CBOE Equity VIX® on Apple (VXAPL) rose 2.1 to close at 33.24, and the CBOE Equity VIX® on Goldman Sachs (VXGS) rose 3.3 to close at 33.81.

VIX – 1-week Chart

Today’s strong volume totals included 216,567 VIX call options, 133,120 VIX put options, and about 179,000 VIX futures.

The put/call ratio for VIX options has risen each of the past 4 trading days —

  • 11/2/2012        0.27
  • 11/5/2012        0.48
  • 11/6/2012        0.49
  • 11/7/2012        0.61


To learn more about options and strategies to manage risk and enhance income, please visit these webpages —


Record Volume Month for VIX Futures

Nov. 1st – The CBOE Futures Exchange, LLC (CFE®) announced today that trading in futures on the CBOE Volatility Index® (VIX®) reached an all-time volume high for any month in its history.

During October, a record 2,443,878 VIX futures contracts changed hands, beating the September record of 2,400,552 contracts. VIX futures average daily volume (ADV) in October was 116,375 contracts, 172 percent over October 2011 and two percent over September 2012.

The three charts below all cover the same time periods beginning in January 2008. VIX futures average daily volume is up 87% in 2012 y-t-d over 2011.

It is interesting to compare the volume charts above to the price chart below.  Does VIX futures volume pick up in times of high volatility of volatility, or when VIX is at relatively low levels when investors believe they can buy some relatively cheap “insurance” against a big drop in stock prices?

Trading VIX – Trade-off between Liquidity, Beta Exposure and Roll Cost

Besides commodities, volatility is another example of the application of futures-based indices. Spot volatility, as measured by the VIX, is not tradeable as the index represents the weighted average of implied volatilities of various options on the S&P 500. Prior to the introduction of VIX futures on the Chicago Board Options Exchange in 2004, equity volatility was only traded by sophisticated counterparties by way of over-the-counter instruments, such as variance swaps. Since then, VIX futures and options have gradually gained acceptance but trading was confined principally to sophisticated players in the derivatives market. More recently, the ongoing economic downturn and the introduction of S&P VIX Futures indices in 2009 have made volatility a popular alternative asset class with many products offered in this space (Dash and Liu, 2010). Interestingly, the development of ETNs and ETFs linked to these indices has also significantly enhanced the liquidity of the underlying VIX futures.

It is well-known that implied volatility exhibits a strong, negative correlation with equity markets and often spikes up during market turmoil. To that end, volatility indices serve to provide directional exposure to spot VIX, either as a trading vehicle or as a hedging instrument to attenuate tail risk events. From this, it follows that the sensitivity to the spot VIX, namely the beta, has to be a critical factor in the design of volatility indices.  In addition, as in commodity indices, the liquidity of the underlying futures contracts as well as the costs associated with the rolling of the futures are also important considerations.

As can be observed in the figure below, the liquidity of VIX futures, as measured by average daily trading volume, is concentrated in the one-month and two-month contracts, and drops quickly thereafter. Moreover, the volatility beta of the VIX futures indices and the roll costs fall as maturities lengthen. These characteristics indicate that there are trade-offs between liquidity, beta exposure to spot VIX and roll costs.

This is an excerpt of an article published in the September/October issue of the Journal of Indexes Europe by Xiaowei Kang, Director, Index Research & Design at S&P Dow Jones Indices and Daniel Ung, Associate Director, Index Research & Design at S&P Dow Jones Indices.  The full article can be accessed at


25 Years Ago, the VXO Index Topped 150

Twenty-five years ago, on October 19, 1987, the S&P 500 Index (SPX) fell by 20.5%, and the CBOE S&P 100 Volatility Index (VXO) rose by 313% to close at an all-time daily closing high of 150.19.

Below are key values for seven trading days in October 1987 —


 15-Oct-1987                27.86

16-Oct-1987                36.37

19-Oct-1987               150.19

20-Oct-1987               140.00

21-Oct-1987                73.91

22-Oct-1987               102.22

23-Oct-1987                98.81



 15-Oct-87                        -2.3%

16-Oct-87                        -5.2%

19-Oct-87                        -20.5%

20-Oct-87                        5.3%

21-Oct-87                        9.1%

22-Oct-87                        -3.9%

23-Oct-87                        0.0%



Here are some key features of the VIX and VXO Indexes –

  •  START DATE. The CBOE S&P 100 Volatility Index was introduced in 1993 and has a price data history going back to January 1986; it originally had the ticker symbol VIX, but in 2003 its ticker symbol was changed to VXO.  The CBOE Volatility Index® (VIX®) was introduced in 2003 and has a price data history going back to January 1990.


  • UNDERLYING OPTIONS.  The CBOE Volatility Index (VIX) is a widely followed measure of market expectations of near-term volatility conveyed by S&P 500 (SPX) stock index option prices, while the VXO Index is measure of market expectations of near-term volatility conveyed by S&P 100 (OEX) index option prices.


  • DAILY PRICE LEVELS OF VIX AND VXO INDEXES.  In the period from Jan. 1990 through Sept. 2012 –
    • The average daily closing value was 20.49 for the VIX Index and 21.04 for the VXO Index;
    • The highest daily closing levels were 80.86 for the VIX Index and 87.24 for the VXO Index;
    • The lowest daily closing values were 9.31 for the VIX Index and 9.04 for the VXO Index.


Here are the % changes for four indexes in the 25-year time period from Oct. 19, 1987 through Oct. 19, 2012 —

  • 1583%                     CBOE S&P 500 PutWrite Index (PUT)
  • 1097%                     CBOE S&P 500 BuyWrite Index (BXM)
  •  345%                       CBOE S&P 500 95-110 Collar Index (CLL)
  • -89.4%                     CBOE S&P 100 Volatility Index (VXO)


Investor interest in volatility indexes and related tradable products has grown in recent years.  Last month all-time single-day trading volume records were set for both —

  • VIX futures on September 13, as 190,081 contracts traded; and
  • VIX options on September 11, as a reported 1,221,403 contracts changed hands.


Average daily volume for VIX futures in the first three quarters of 2012 was 86,022 (up 80% over the average daily volume in 2011).


In the future, could we experience a day in which the VIX rose more than 300 percent to triple-digit territory?  I have asked this question to some financial experts, and some experts note that (unlike in 1987) we now have official circuit breakers to slow down intraday moves. On Dec. 21, 2007, the VIX closed at 18.47, and many “experts” probably would have said that the chances of VIX rising to record-breaking levels above 70 or 80 within the following year (with circuit-breakers) were extremely unlikely.  However, on Oct. 24, 2008, the VIX did hit an intraday high of 89.53.

Here are some quotes from a book by Nassim Nicholas Taleb, The Black Swan: The Impact of the Highly Improbable —

“If you hear a ‘prominent’ economist using the word ‘equilibrium,’ or ‘normal distribution,’ do not argue with him; just ignore him, or try to put a rat down his shirt. … The inability to predict outliers implies the inability to predict the course of history …  ”


More info (including spreadsheets and bibliogpaphy) is available at –


CNBC ꞌWorldwide Exchangeꞌ Interview with David Blitzer on the 25th Anniversary of Black Monday

David Blitzer, Managing Director and Chairman of the S&P Index Committee, discusses Black Monday with CNBC.  Watch the video clip

VXAPL Index Up 97%, as Apple Puts Become More Expensive

October 5, 2012 – The CBOE Equity VIX® on Apple (VXAPL) has risen from an intraday low of 18.81 on August 13, 2012, to a closing value of 37.03 today, a rise of 97%.

An October 4th Bloomberg news article by Cecile Vannucci and Nikolaj Gammeltoft notes that —

“Apple Puts Jump to 10-Month High After IPhone Map Flaws.   Bearish Apple Inc. options are the most expensive in 10 months relative to bullish ones after the world’s biggest company sold fewer iPhones than forecast and apologized for faulty maps software.  Puts that pay should the iPad and MacBook Pro maker lose 10 percent cost 7.9 points more than calls betting on a 10 percent gain, according to one-month options data compiled by Bloomberg. The price relationship known as skew reached 8.04 on Oct. 2, the highest since November. The stock lost 4.1 percent since the iPhone 5 debut on Sept. 21. … “More and more people are hedging,” Oliver Pursche, co- manager of the GMG Defensive Beta Fund and president of Suffern, New York-based Gary Goldberg Financial Services, said yesterday in a phone interview.  …”


Here is a chart showing the daily closing values of the VXAPL Index and the CBOE Volatility Index® (VIX®). The indexes have diverged in the past month, and today’s closing values were 37.03 for VXAPL and 14.33 for the VIX, hwoch is designed to show the implied volatility for the S&P 500 Index (SPX).


For information on more than 20 CBOE volatility indexes (with strategies, charts, and a bibliography), please visit

Recap of Oct. 2nd Panel on Managing Risk and Yield

On October 2nd 85 financial professionals attended a panel discussion at CBOE on “Managing Risk and Yield in a Low Interest-rate Environment: Options-based and Low Volatility Strategies.”

The three panelists were —

  •  (1) Mr. Scott Maidel, CFA, CAIA, FRM, senior portfolio manager in the equity derivatives group for Russell Investments and co-portfolio manager of the new Russell Strategic Call Overwriting fund. Russell Investments has more than $150 billion in assets under management and is headquartered in Seattle, WA.
  • (2) Mr. John Gambla, CFA, FRM, PRM, a Senior Portfolio Manager for the Alternatives and Active Equity Investment Team at First Trust Advisors L.P. John is a portfolio manager for the new First Trust CBOE S&P 500 VIX Tail Hedge Fund (VIXH). First Trust Advisors, L.P. is headquartered in Wheaton, IL and has approximately $56 billion assets under management or supervision as of July 31, 2012.
  • (3) Mr. Edward McRedmond, Senior VP – Institutional & Portfolio Strategies, Invesco PowerShares, a firm headquartered in Wheaton, IL with franchise assets of over $65 billion that offers more than 140 ETFs, including the PowerShares S&P 500 BuyWrite Portfolio (PBP) and PowerShares S&P 500 Low Volatility Portfolio (SPLV).

The panelists considered a variety of topics on risk management, low volatility, and options-based strategies.  A panelist noted his expectation that options-based will continue to experience great growth over the next decade.  Two of the many charts presented are shown below.


As shown on the chart below, in the time period from March 31, 2006 through Sept. 28, 2012, the top performers of the indexes shown in terms of returns were the VXTH Index (up 51%) and the BXY Index (up 43%).


The paper by Russell Investments – “Capturing the Volatility Premium through Call Overwriting.” (July 2012) has several good charts on use of 1-month and 1-week options. Exhibit 1 of the paper showed risk and return for the BXM and BXY indexes. The paper notes that “Covered call writing has historically benefitted wealth creation and lowered overall wealth creation …”


In the picture below are (clockwise from top left) – John Gambla, Barry Feldman, Adam Cohen, Scott Maidel, Ed McRedmond, and Matt Moran.


For more information on indexes and research papers, please visit

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