Mini VIX Futures (VM)

Mini VIX futures are generally the same as (big) VIX futures, except for a few differences, especially contract size, which is 10 times smaller.

Mini VIX vs. Big VIX Futures Differences

Ticker Symbol

Mini VIX = VM

Big VIX = VX (and in some platforms VIX)

Contract Size

Mini VIX: 100x the VIX index (100 dollars for 1 VIX point)

Big VIX: 1,000x the VIX index (1,000 dollars for 1 VIX point)

As a result, margin requirements are typically also much lower for mini VIX compared to big VIX.

Tick size of mini VIX futures is USD 5 (0.05 VIX points), compared to USD 50 for big VIX futures.

Notional value of 1 mini VIX futures contract is the same as notional value of 1 VIX option contract (options also have multiplier 100x the VIX index). Notional value of big VIX futures corresponds to 10 VIX option contracts or 10 mini VIX futures contracts.

Trading Hours

Mini VIX: 8:30 am – 3:15 pm Chicago time = 9:30 am – 4:15 pm New York time

Big VIX: 7:00 am – 3:15 pm Chicago time = 8:00 am – 4:15 pm New York time

(Big VIX futures trade 1.5 hours before equities open and close 15 minutes after equities close; mini VIX futures open at equties open and close 15 minutes after equities close)

Note: Big VIX futures trading hours will be expanded to cover an evening post-settlement session and morning European session. This change will not affect mini VIX trading hours. The expansion was first planned to start in 2 steps in May and June 2013, but it was postponed due to technical issues and it is now expected to start in late September, according to a CFE release.

Expiration Months Available at a Time

Mini VIX: Only up to 3 nearest months (and sometimes only 2 months) at a time – for example, at the beginning of August 2013 you can trade August 2013, September 2013, and October 2013 mini VIX contracts

Big VIX: Up to 9 nearest months in the monthly cycle (plus officially also up to 5 months in the February quarterly cycle, but that has not been used recently)

What Is the Same for Mini VIX and Big VIX Futures

Underlying asset: Future value of the VIX (CBOE Volatility Index)

Exchange: CBOE Futures Exchange (CFE) – official website

Expiration and settlement: 30 days before an S&P500 option expiration (see why), usually on Wednesday (last trading day on Tuesday). All VIX options and futures are cash settled. Settlement value is determined using VIX Special Opening Quotation. Here you can see the expiration calendar for VIX futures and options.

Here you can find official mini VIX contract specifications on CBOE (CFE) website.

Trading Mini VIX Futures in Practice

Liquidity is much (big way) lower than liquidity of big VIX futures. The nearest month usually trades with bid-ask spread of only 1 tick (same as big VIX futures), but sometimes the quotes by market makers (usually 10×10 or 30×30) suddenly disappear and sometimes don’t re-appear for hours. (I am writing this in March 2013)

(August 2013 update: most of the time it’s been 3 ticks bid-ask spread in the last months)

Most market participants don’t have much motivation for trading mini VIX instead of big VIX futures. Examples of reasons to trade mini VIX include especially the following:

1) You have a small portfolio and the risk represented by 1 big VIX futures contract is too big for you. Or you are new to VIX futures and want try them with a small size.

2) You have a position in VIX options which is not a multiple of 10 (see Contract Size above on this page).

3) You take advantage of a mispricing of mini VIX futures against other VIX derivatives. In practice (March 2013) it is very rare to discover a mispricing between mini VIX futures and big VIX futures that can be traded. Sometimes there can be an arbitrage opportunity in mini VIX futures vs. deep in the money VIX call options (I was lucky a few times), although it is usually not worth the risk (you execute the legs separately), margin, and effort, especially when you have a bigger portfolio.

More Resources

VIX futures contract specifications and research

VIX futures historical data – links to free data download

VIX futures curve – explanation of the term structure of VIX futures, contango, backwardation, and recent VIX curve chart

Trading the VIX – the specifics, benefits, and risks of trading VIX derivatives

VIX start page – all resources for anything related to the VIX index, including Macroption pages and research and links to external resources