S&P 500 VIX Short-Term Futures Index

S&P 500 VIX Short Term Futures Index Basic Idea

S&P500 VIX Short-Term Futures Index is the shortest maturity index in the S&P500 VIX Futures Index Series, calculated and published by S&P Dow Jones Indices. The index, like the other indices in the series, models the outcome of holding (and constantly rolling) a long position in VIX futures.

Big advantage of these indices is that they are investable, unlike the underlying spot VIX index itself. This is also why the S&P500 VIX Short-Term Futures Index (and not the VIX directly) is being replicated by many VIX ETFs and ETNs.

All Indices in the S&P 500 VIX Futures Index Series

There are currently 6 indices in the S&P500 VIX Futures Index Series. All of them have the same logic: holding long positions in VIX futures contracts and constantly rolling them in order to maintain a constant maturity. The differences among individual indices are in the length of the maturity and the particular contract months used:

  1. S&P 500 VIX Short-Term Futures Index – constant maturity 1 month, long the first and the second VIX futures contract months
  2. S&P 500 VIX 2-Month Futures Index – constant maturity 2 months, long the second and the third VIX futures contract months
  3. S&P 500 VIX 3-Month Futures Index – constant maturity 3 months, long the third and the fourth VIX futures contract months
  4. S&P 500 VIX 4-Month Futures Index – constant maturity 4 months, long the fourth and the fifth VIX futures contract months
  5. S&P 500 VIX Mid-Term Futures Index – constant maturity 5 months, long the fourth, fifth, sixth, and seventh VIX futures contract months (rolling from the fourth to the seventh)
  6. S&P 500 VIX 6-Month Futures Index – constant maturity 6 months, long the fifth, sixth, seventh, and eighth VIX futures contract months (rolling from the fifth to the eighth)

All indices come in two versions: Excess Return (usually denoted ER) and Total Return (TR). The Total Return version also includes interest accrued on the notional value of the index based on the 3-month US Treasury rate and reinvestment into the index.

Official Information

S&P500 VIX Futures Index Series factsheet (pdf):

us.spindices.com/documents/factsheets/fs-sp-500-vix-futures-index-series-ltr.pdf

Official page of the index:

us.spindices.com/indices/strategy/sp-500-vix-short-term-index-mcap

Bloomberg Ticker Symbols

S&P 500 VIX Short-Term Futures Index: SPVXSP (excess return version), SPVIXSTR (total return version)

S&P 500 VIX 2-Month Futures Index: SPVIX2ME, SPVIX2MT

S&P 500 VIX 3-Month Futures Index: SPVIX3ME, SPVIX3MT

S&P 500 VIX 4-Month Futures Index: SPVIX4ME, SPVIX4MT

S&P 500 VIX Mid-Term Futures Index: SPVXMP, SPVIXMTR

S&P 500 VIX 6-Month Futures Index: SPVIX6ME, SPVIX6MT