VIX Options and Futures

Introduction to VIX Options and Futures

The CBOE Volatility Index^® (VIX^®) is a key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices. Since its introduction in 1993, VIX has been considered by many to be the world's premier barometer of investor sentiment and market volatility.

Volatility Indexes at CBOE (4-page PDF)

Key Links

UMass paper on "VIX Futures and Options - A Case Study of Portfolio Diversification During the 2008 Financial Crisis" (July 2009):    Two-page summary    Full report     Press Release

Here is a timeline of some key events in the history of the VIX Index:

• 1993   The VIX Index is introduced in a paper by Professor Robert E. Whaley of Duke University.
• 2003   Methodology for VIX is revised.
• 2004   On March 26, 2004, the first-ever trading in futures on the VIX Index began on CBOE Futures Exchange (CFE).
• 2006   VIX options launched in February 2006.
• 2008   VIX Binary Options introduced.
• 2009   Mini-VIX futures introduced.

New VIX Methodology in 2003

• The CBOE began disseminating prices for a VIX Index with a new methodology (Acrobat .pdf) on September 22, 2003.
• The CBOE Volatility Index (VIX) now is an up-to-the-minute market estimate of expected volatility that is calculated by using real-time S&P 500 Index (SPX) option bid/ask quotes. VIX uses near-term and next-term out-of-the money SPX options with at least 8 days left to expiration, and then weights them to yield a constant, 30-day measure of the expected volatility of the S&P 500 Index.
• The long-term price history and delayed market price quotes are available. Please click the appropriate link below:

VIX (New VIX using SPX options) delayed price quote
VXO (Old VIX using OEX options) delayed price quote

Spreadsheets with Historical Price Data

Historical Daily Prices - Spreadsheet with Closing Prices for Several Indexes
Historical Month-end Prices - Spreadsheet with Closing Prices for Several Indexes
In addition, Market Data Express gives users access to more than 16 years of historical options data

Daily % Changes In Indexes

Updated Price Charts

CBOE Volatility Index® (VIX®) : www.cboe.com/VIX

Intraday


CBOE Volatility Index® (VIX®) : www.cboe.com/VIX

1 week


CBOE Volatility Index® (VIX®) : www.cboe.com/VIX

3 month


CBOE Volatility Index® (VIX®) : www.cboe.com/VIX

6 month


CBOE Volatility Index® (VIX®) : www.cboe.com/VIX

1 year


CBOE Volatility Index® (VIX®) : www.cboe.com/VIX

5 year


CBOE Volatility Index® (VIX®) : www.cboe.com/VIX

5 year % change vs. S&P 500 Index (SPX) *


* The S&P 500 Index (SPX) is a price index that does not include reinvested dividends.

VIX-related Benchmark Indexes

Testimonials from Investment Management Firms

"Rampart provides its clients with a variety of options-related programs such as the Rampart BXM Strategy, and volatility is a key factor in managing such programs. The VIX Index is an important and popular tool for measuring investor sentiment, and we appreciate the fact that the VIX methodology is being updated to better reflect expected volatility for S&P 500 (SPX) options."
- Ronald Egalka, President/CEO, Rampart Investment Mgt. Co., Boston

"Our firm uses VIX prices in risk management process and its asset allocation and pricing models. We appreciate the long track record and independent nature of the VIX index, and are very interested in exploring the possibility of using VIX futures on behalf of our clients for risk management purposes."
- Greg McMurran, CIO, Analytic Investors, Los Angeles

Click here for more options testimonials.

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