Russell Rhoads, CFA Instructor The Options Institute Chicago Board Options Exchange, Incorporated. All rights reserved.
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1 Trading VIX Futures and Options Russell Rhoads, CFA Instructor The Options Institute 2010 Chicago Board Options Exchange, Incorporated. All rights reserved.
2 CBOE Disclaimer Options and futures involve risks and are not suitable for all investors. Prior to buying or selling options, an investor must receive a copy of Characteristics and Risks of Standardized Options. Copies may be obtained by contacting your broker by calling OPTIONS, or at In order to simplify the computations, commissions, fees, margin interest and taxes have not been included in the examples used in these materials. These costs will impact the outcome of all securities and futures transactions and must be considered prior to entering into any transactions. Investors should consult their tax advisor about any potential tax consequences. The information in this presentation, including any strategies discussed, is strictly for illustrative and educational purposes only and is not to be construed as an endorsement, recommendation, or solicitation to buy or sell securities or futures. Supporting documentation for any claims, comparisons, recommendations, statistics, or other technical data, will be supplied upon request. Past performance is not a guarantee of future results. CBOE, Chicago Board Options Exchange, CBOE Volatility Index, VIX and The Options Institute Logo are registered trademarks and SPX is a servicemark of CBOE. S&P, and S&P 500 are registered trademarks of the McGraw-Hill Companies, Inc. and are licensed for use by CBOE. Standard & Poor's does not promote, market, sell or endorse any product based upon its indices. ipath, ipath ETNs and the ipath logo are registered trademarks of Barclays Bank, PLC. Copyright 2010 Chicago Board Options Exchange, Incorporated. All rights reserved.
3 VIX Futures / Options Outline VIX Index History Defined - Calculation VIX Futures Contract Specs Settlement Spreads VIX Options Contract Specs Settlement Underlying VIX ETN s VXX & VXZ Options on VXX & VXZ VIX and S&P 500 Relationship VIX Diversification Benefits Short Term Relationships Summary / Q&A
4 VIX Index A Brief History of the VIX 1993 VIX introduced in a paper VIX calculation changed futures contracts introduced options on VIX begin trading binary options on the VIX mini-vix futures introduced ETNs on VIX introduced.
5 VIX Index The VIX CBOE Volatility Index. Measures S&P 500 implied volatility. Based on S&P 500 Option bid/ask quotes. Uses the nearby options with at least 8 days until expiration. Has been promoted as a fear index by the business media.
6 VIX Futures VIX Futures Value is $1000 x the level of the VIX Index. Trade the next 7 months of expiration. Expire on Wednesday 30 days before corresponding S&P 500 option expiration. Have very unique characteristics relative to other financial futures.
7 VIX Futures Mini VIX Futures Value is $100 times the VIX Index. Trade the next 3 months of expiration. Expire on Wednesday 30 days before corresponding SPX option expiration. Have very unique characteristics relative to other financial futures.
8 VIX Futures Pricing VIX Future June VIX = $26,900. Minimum price move =.05 or $50. +/ price change = +/- $1000. Mini-VIX June VIX = $2,690. Minimum price move =.05 or $5. +/ price change = +/- $100.
9 VIX Futures Expiration Months VIX Futures Next 7 Months Currently Jul, Aug, Sep, Oct, Nov, Dec, Jan Mini-VIX Next 3 Months Currently Jul, Aug, Sep
10 VIX Futures Unique Features Pricing is anticipatory, no cost of carry. Future price reflects market opinion of the future direction of the spot VIX Index. At times the VIX future price is higher than the index and at times it is lower.
11 VIX Index vs. Front Month Future Daily Chart 6/1/2007 9/30/ Index Future /1/07 6/15/07 6/29/07 7/13/07 7/27/07 8/10/07 8/24/07 9/7/07 9/21/07 Data Source Bloomberg
12 VIX Index vs. Front Month Future Daily Chart 4/1/2009 7/30/ Index Future /1/09 4/15/09 4/29/09 5/13/09 5/27/09 6/10/09 6/24/09 7/8/09 7/22/09 Data Source Bloomberg
13 VIX Index vs. June Future Daily Chart 3/1/2010-5/26/ Index Future /1/10 3/15/10 3/29/10 4/12/10 4/26/10 5/10/10 5/24/10 Data Source Bloomberg
14 VIX Index vs. June VIX 5 Minute Chart 5/13/ Index Future :35 10:35 11:35 12:35 13:35 14:35 15:35 Data Source Bloomberg
15 VIX Index vs. June VIX 5 Minute Chart 5/17/ Index Future :35 10:35 11:35 12:35 13:35 14:35 15:35 Data Source Bloomberg
16 VIX Futures Expiration Futures expire 30 days before the next month s normal option expiration. Example July 2010 VIX Futures Expire Wednesday July 21. Option Expiration is August 20.
17 VIX Futures Settlement Pricing VIX futures are AM settlement with a special calculation of the VIX Index taking place the morning after the end of trading for a futures contract. This is known as the Special Opening Quotation.
18 VIX Futures Special Opening Quotation (SOQ) This is a unique VIX index quote that involves only actual S&P 500 option trades. The regular VIX Index calculation uses the mid-point between bids and offers. The symbol for the SOQ is VRO.
19 Settlement History Settle Index Close Difference Future Close Difference June May Apr (0.20) Mar (1.01) (0.77) Feb (0.10) Jan Source
20 Settlement History Settle Index Close Difference Future Close Difference Dec (0.66) (0.51) Nov (0.01) Oct (0.08) (0.28) Sep Aug Jul (0.39) (0.57) Jun (1.65) (0.82) May (1.76) (1.46) Apr Mar (0.18) Feb (0.26) Jan (6.77) (8.02) Source
21 Settlement History Settle Index Close Difference Future Close Difference Dec (1.08) (1.15) Nov (0.42) Oct Sep Aug (0.45) (0.17) Jul (0.14) (0.03) Jun May (0.42) (0.21) Apr (1.00) (1.09) Mar (0.12) (0.28) Feb (0.56) Jan Source
22 Settlement History Settle Index Close Difference Future Close Difference Dec (0.56) (0.47) Nov Oct (1.69) (1.70) Sep (0.06) Aug (0.20) (0.19) Jul Jun May (0.38) (0.33) Apr (0.11) Mar (0.29) (0.08) Feb (0.39) (0.48) Jan (0.03) Source
23 VIX Spreads 5/20/ Min VXM0 VXQ0 VXN0 VXU :30 9:30 10:30 11:30 12:30 13:30 14:30 3 Data Source Bloomberg
24 VIX Spreads 5/26/ Min 34 VXM0 VXN0 33 VXQ0 VXU :30 9:30 10:30 11:30 12:30 13:30 14:30 Data Source Bloomberg
25 Spreads 5/27/ Min VXM0 VXQ0 VXN0 VXU :30 9:30 10:30 11:30 12:30 13:30 14:30 1 Data Source Bloomberg
26 Spreads Daily 5/3 5/ VXM0 VXQ0 VXN0 VXU /20 5/26 5/ /3/10 5/9/10 5/15/10 5/21/10 5/27/10 Data Source Bloomberg
27 VIX Options Introduced in 2006 Caught on very quickly as a method of trading volatility Currently second most actively traded index option series at the CBOE Have growing institutional following as hedging vehicle
28 VIX Options Characteristics European Style Wednesday Settlement Unusual Pricing Opening Price Quotation
29 VIX Options European Style European options are only allowed to be exercised on expiration. VIX options are cash settled at expiration.
30 VIX Options Wednesday Settlement Just like the VIX futures contracts, VIX options expire on the Wednesday 30 days before equity option expiration.
31 VIX Options Opening Price Quotation VIX Options are settled using the Special Opening Quotation on the morning following the last trading day for those options. This is identical to the settlement process for the VIX futures.
32 VIX Options Unusual Pricing It is not uncommon for VIX options to appear to be cheap or expensive when using the VIX Index as the underlying. When pricing options, the proper underlying instrument should be the corresponding VIX future price.
33 VIX Options Unusual Pricing VIX VIX August VIX August 30.50
34 VIX Options Unusual Pricing VIX VIX July VIX July 29.00
35 VIX Options - Open Interest 4,000,000 3,500,000 3,000,000 December 2009 July ,500,000 2,000,000 April ,500,000 1,000, ,000 0 Feb-06 Sep-06 Apr-07 Nov-07 Jun-08 Jan-09 Aug-09 Mar-10 Source
36 VIX ETNs VIX Exchange Traded Notes What is an ETN? Short Term Volatility - VXX Intermediate Term Volatility - VXZ Characteristics of these ETNs
37 VIX ETNs What is an ETN? ETN stands for Exchange Traded Note, it is an unsecured, unsubordinated debt security. They are created to replicate returns on an index minus fees. The trading in ETN s is very similar to that in ETF s (Exchange Traded Funds).
38 VIX ETNs ipath S&P 500 VIX Short-Term Futures ETN (VXX) Gives investors exposure to a daily rolling long position in the first and second month VIX futures contracts.
39 VIX ETNs ipath S&P 500 VIX Mid-Term Futures ETN (VXZ) Gives investors exposure to a daily rolling long position in the fourth through seventh month VIX futures contracts.
40 VIX ETNs Characteristics Introduced in Q Exchange traded on the NYSE Have a negative correlation to S&P 500 index returns Backed by Barclays Bank
41 VIX ETNs VXX Average Daily Volume Feb 09 May 09 Aug 09 Nov 09 Feb 10 May 10
42 VIX ETNs VXZ Average Daily Volume Feb 09 May 09 Aug 09 Nov 09 Feb 10 May 10
43 VIX ETNs VXX / VXZ Options May 28 first day of trading at CBOE First Day Volume for VXX Options > 20,000 First Day Volume for VXZ Options > 1,500 Options on March Cycle Current months - July, August, September, & December Dollar Strikes
44 VIX Diversification University of Massachusetts Paper Studied the 2008 market and the diversification benefits of VIX futures or options. Compared a variety of portfolios and combined exposure to the VIX. Results showed return and diversification benefits of including the VIX in a portfolio.
45 VIX Diversification University of Massachusetts Paper Full study available on the CBOE website.
46 VIX Index Common Question Why does the VIX only seem to go up when the S&P 500 goes down? or Why doesn t the VIX spike when the S&P 500 runs up rapidly?
47 VIX Index Common Answers Put Call Parity People and Panic
48 VIX vs. SPX 10 Worst S&P 500 Days 1/1/2007 5/14/2010 SPX VIX Index VIX Future 10/15/ % 25.61% 18.61% 12/1/ % 23.93% 13.61% 9/29/ % 34.48% 14.14% 10/9/ % 11.11% 14.79% 11/20/ % 8.89% 5.29% 11/19/ % 9.79% 9.79% 10/22/ % 31.14% 10.34% 10/7/ % 3.13% 11.93% 1/20/ % 22.86% 10.09% 11/5/ % 14.31% 8.12% Data Source Bloomberg
49 VIX vs. SPX /20/ /3/08 11/7/08 11/13/08 11/19/08 11/25/08 12/2/08 12/8/08 Data Source Bloomberg
50 VIX vs. SPX 5/6/ Min S&P 500 VIX Index :30 9:30 10:30 11:30 12:30 13:30 14: Data Source Bloomberg
51 VIX vs. SPX 5/6/ Min S&P 500 May VIX Future :30 9:30 10:30 11:30 12:30 13:30 14: Data Source Bloomberg
52 VIX vs. SPX 5/6/ Min VIX Index May VIX Future :30 9:30 10:30 11:30 12:30 13:30 14:30 Data Source Bloomberg
53 Trading VIX Futures & Options Summary Wide variety of VIX related products available Inverse relationship with SPX creates interesting opportunities Number of VIX related derivatives will continue to increase
54 Trading the VIX Summary The CBOE Website has more information on these and other products. Questions / Comments? rhoads@cboe.com
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