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VIX Futures, VIX Index, And SP Options Data

The basic listed option market began in 1973. While the value of the VIX, which is generally accepted as a broad measure of market volatility, is derived from prices of S&P 500 index options, it is not simply a weighted sum of underlying options (unlike other equity indexes like the S&P 500, where the index is a weighted sum of component prices).
When you understand the calculation of the spot VIX you can start to derive futures and options on it. The Spot VIX is the real-time calculation of the VIX based on the expected volatility of S&P 500 index options with more than 23 days and less than 37 days until expiration.



The data and prices on the website are not necessarily provided by any market or exchange, but may be provided by market makers, and so prices may not be accurate and may differ from the actual price at any given market, meaning prices are indicative and not appropriate for trading purposes.
Mr. McCarty was previously the Chief Equity and Option Strategist at Meridian Equity Partners, where he was best known for pointing out the unusual options activity that preceded exceptional stock price moves in individual equities including Bear Stearns, Fannie Mae and Freddie Mac as well as identifying noteworthy call buying preceding the public announcement of takeovers for companies including Barr Labs and EDS.

A few weeks ago I wrote an article in which I explained the rationale behind why I have initiated a short position in iPath S&P 500 VIX Short-Term Futures ETN ( VXX ). Over the past few trading sessions, I have added size to my short position in anticipation of declines in the index over the next few quarters.
Tests of the expectations hypothesis reveal that the slope of the VIX futures term structure predicts the direction but not the magnitude of the evolution of the short-end of the curve, but predicts neither the direction nor the magnitude of short-term changes in the long-end of the curve.
Since the Chicago Board Options Exchange (CBOE) introduced futures and, subsequently, options on its Volatility Index, or VIX, traders vix futures yahoo have asked why the contracts don't necessarily track the underlying in the same way other equity futures track their indexes.

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