The CBOE will be launching its futures on its latest volatility index which will hopefully provide investors with a new contract that would embody short-term moves in options prices on the S&P 500.
The short-term measure was likewise developed last year in response to a surge of interest in weekly options on the same index as investors began implementing more targeted strategies surrounding market events such as government earnings announcements.
Moreover, the average daily volume in S&P 500 weekly nearly doubled in 2013 which doubled as daily average volume hit a records 197,126 contracts in total. The short-dated calls and puts represented nearly a quarter of the year’s total SPX options trading over the whole of the exchange.
The portion appears to be growing and as of last week’s representations were 50 % overall of the SPX options traded as a record 747,000 contracts changed hands.
CBOE statistical data reveal that from January 2011 to the mid-2013 the VIX traded in a 11.3 to 48 average range, while VXST similarly traded 10.2 and 68. The largest VIX leap over the same period which was 50 % corresponding to an 80 % short-dated version.
However, those gaps seems to be rather limited to the spikes. Throughout the relatively gentle backdrop of last year’s VIX moved in an 11.05-21.91 range with consequently VSXT moved in a range of 10.2-23.54.
The contracts will be moved over trading over CBOE’s CFE futures exchange with Spot Trading which acted as the designated primary market-maker when once established, the firm is hoping to launch options on the contracts.
Finally, trading volumes on futures and options linked to the established VIX which assesses the cost of a 30-day SPX options continued to expand at a fast rate. Last year saw new records for both products in terms of volumes at the CFE with some 68 % as 40m VIX futures contracts were traded. The VIX options trading increased up to as much as 29 % as 140 contracts changed their respective positions.