What VIX Futures Are
VIX futures are futures on CBOE Volatility Index, better known as the VIX and sometimes nicknamed the Fear Index, as it tends to spike when stocks fall sharply and investors are fearful. CBOE Volatility Index measures implied volatility of near term options on S&P500 stock index.
VIX futures were introduced on 26 March 2004 as one of the first innovations in the now rapidly growing volatility derivatives market. They have gained solid popularity and liquidity in the recent years and now 30,000 – 40,000 or more VIX futures contracts are traded on most days.
Why Trade VIX Futures
VIX futures can be used for hedging equity portfolios (the VIX Index has strong negative correlation to S&P500) or as a pure volatility speculation vehicle. Because of the specific characteristics of VIX Index and its derivatives (including highly skewed distribution of VIX Index value changes, its mean reverting nature, and unsuitability of commonly used analytical models for analyzing the VIX), VIX futures and other VIX derivatives offer wide opportunities for researching and trading.
VIX Futures Curve
The following is a chart of VIX futures curve – a useful tool for comparing prices of individual VIX futures contract months and getting an idea about future volatility expected by the market.
More information about VIX futures curve and an explanation and charts of contango vs. backwardation is available here: VIX Futures Curve.
VIX Futures Quotes
Delayed VIX futures quotes are available on the official website of CFE.
VIX Futures Historical Data
Here you can find basic instructions for getting VIX futures historical data from CFE (it’s free).
VIX Futures Contract Specifications
The following is for a quick first orientation only. Macroption is not related to or affiliated with CBOE or CFE in any way. For official detailed and up-to-date information, please visit the official website of CBOE Futures Exchange (CFE).
CFE – CBOE Futures Exchange
The official name of VIX futures as stated on the website of CFE is CBOE Volatility Index (VIX) Futures.
Underlying asset and settlement
The underlying for VIX futures is the VIX – CBOE Volatility Index. Because the VIX itself can’t be bought or sold (it’s just a number), there can’t be any kind of physical delivery and VIX futures are cash settled.
The final settlement date is 30 days before the third Friday of the following month, providing that the time period between VIX futures settlement and the respective S&P500 options expiration is constant 30 days (the time period used for VIX Index calculation). VIX futures expiration is therefore usually on Wednesday (unless there’s public holiday interfering with the regular conventions) and the last trading day of VIX futures is the day before – usually Tuesday.
Here you can find VIX futures expiration calendar and expiration dates history.
The final settlement value of VIX futures is determined by opening prices of the respective S&P500 options – the so called Special Opening Quotation (SOQ) of VIX.
The ticker symbol of VIX futures is VX, but the symbols VIX or VI are also used in some trading platforms or market data sources.
Contract size and tick size
The contract multiplier of VIX futures is 1,000. The value of one VIX futures contract is 1,000 times the respective forward VIX Index value (in USD).
Tick size is 0.05 VIX points = 50 dollars. In some cases (spreads, block trades) it is 0.01 points (10 dollars).
Currently VIX futures trade almost round the clock during the work week. The main trading session (“Regular” hours) is from 8:30 to 15:15 Chicago time = 9:30 to 16:15 New York time = when US equity markets are trading). VIX futures also trade during “extended” hours from 17:00 Chicago time on Sunday until the 15:15 Friday close, with just 15 minutes breaks every day from 15:15 to 15:30. Liquidity is low outside the regular hours, although it can be slightly higher when the European markets open.
Contract months available
The cycle on VIX futures is monthly. There are up to nine serial contract months available at a time.
Mini VIX Futures (Now Delisted)
There was also a mini version of VIX futures, trading under the symbol VM on CFE. It was very illiquid and CFE delisted it in January 2014. Here you can find more details on Mini VIX Futures (VM).