VIX Term Structure

VIX term structure is the term used by CBOE for a set of calculated expected S&P500 Index volatilities based on S&P500 options of different time to maturity. The methodology of the calculation is the same as that used for the VIX Index itself. The difference is that VIX Index is one number measuring expected volatility for 30 days ahead, while VIX Term Structure is a set of several numbers measuring expected volatility for different time periods.

VIX Term Structure vs. VIX Futures Curve

VIX term structure (or VIX futures term structure) is also the name frequently used for VIX futures curve. That is not totally incorrect, because every futures curve is technically a term structure (of a futures market). However, there are important differences between VIX term structure (as used by CBOE) and VIX futures curve, although the two are closely related.

One thing that VIX term structure and VIX futures curve have in common is that both are tools for measuring or displaying market's expectations regarding future volatility of S&P500 Index for different time periods.

Differences between the two are the following:

  • The time periods of future volatility which they compare are different.
  • The data (securities) used are different.

VIX Term Structure Data and Time Periods

VIX term structure uses S&P500 Index options with different maturities. Thereby, it compares expected volatility in time periods with the same starting point (today), but various different lengths (the length is always from today to the respective option maturity).

VIX Futures Curve Data and Time Periods

VIX futures curve, like other futures curves, uses the prices of different futures contract months. It compares VIX index values that the market expects at different points in the future (the points are expiration dates of individual VIX futures contracts). The VIX (CBOE Volatility Index) measures implied volatility of S&P500 Index options with average maturity of 30 days and can therefore be interpreted as expected S&P500 Index volatility in the time period from now to 30 days ahead.

Therefore, a particular VIX futures contract can be interpreted as the expected S&P500 Index volatility in the time period from the futures contract expiration date to 30 days later.

Contrary to VIX term structure, VIX futures curve compares expected volatility in time periods with constant length (30 days), but different starting points (the individual futures contract expirations).

For more information about VIX futures curve, including a chart, its interpretation, and how to get the data, see VIX Futures Curve.

VIX Term Structure Chart and Data

The latest VIX term structure (chart and data) is available on the official website of CBOE:

CBOE also provides historical data for VIX term structure (dating back to November 2010). You can use it for creating your own variations of VIX Index for different times to expiration. Besides the VIX (30 days), indices with own symbols exist for 9 days (VIX9D), 3 months (VIX3M, previously VXV), and 6 months (VIX6M), which are all just different maturities from the VIX Term Structure. With VIX term structure data, you can create similar indices for the other maturies as well.

You need to have an account on CBOE (which is free) and the process of downloading the data can seem a bit confusing at first. Here you can find detailed instructions for downloading VIX term structure historical data from CBOE website.

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