Wednesday, September 5, 2007

VIX Futures and Recent Market Action

Raise you hand if you have been following VIX futures during the all the volatility we have had over the past month or so. Hmmm. About what I thought. At least you are a relatively honest bunch. (Anyone wanting to dip a toe into the VIX futures water might want to check out my VIX Futures Starter Kit.)

With the chart below as a backdrop, consider that the February 27th VIX spike – and all the subsequent volatility – had virtually no impact on expectations of where the VIX would be in February 2008.

Fast forward five months to the increased volatility at the end of July and we see that the VIX February 2008 futures rose in advance of the cash VIX spike and peaked before the cash VIX top of 37.50 (intra-day) on August 16 (reflected here with the 30.83 close.) While the February futures settlement date is still 5 ½ months out, the VIX futures have persisted in the 20s and currently sit at 21.48, not too far at all from the 22.65 peak on August 17th.

Going forward, think about the VIX futures six months out as a fair proxy for what market participants think about structural weakness in the economy and in our financial institutions and the difference between the cash VIX and these futures as a gauge of fear and panic in the markets. Also consider that the best opportunities for trading the VIX are likely to be when there is the widest gap between how the markets are pricing the cash and futures VIX.

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11 comments:

  1. AdamSeptember 5, 2007 at 12:34 PM

    is there a future 1 year out now? Just curious if that has moved much in all this.

    ReplyDelete
  2. Bill LubySeptember 5, 2007 at 12:41 PM

    Hi Adam,

    VIX futures go all the way out to August 08 right now (full list of VIX futures dates and symbols)

    You can download all this historical data here.

    Personally, I'd love to see something like a constant 6 month VIX, which could be constructed in the same manner that the 30 day VIX is calculated. Some day when things are really slow...

    Cheers,

    -Bill

    ReplyDelete
  3. AdamSeptember 5, 2007 at 1:16 PM

    yeah, that would actually make a lot of sense.

    thanks also, i don't get any VIX futures data on my system, just the options.

    ReplyDelete
  4. AnonymousSeptember 7, 2007 at 12:29 PM

    I wonder if there is a place to download front month continuous VIX futures historical daily data going back several years

    ReplyDelete
  5. Bill LubySeptember 7, 2007 at 2:15 PM

    anon,

    VIX futures were introduced on March 26, 2004, so there are only 3 1/2 years of historical data. Actually my link above ("historical data here") in my reply to Adam has the full set of VIX futures data since the introduction of the VIX. The full URL is: http://cfe.cboe.com/Products/historicalVIX.aspx

    Good luck,

    -Bill

    ReplyDelete
  6. AnonymousSeptember 7, 2007 at 4:15 PM

    Thank you, Bill. VIX historical data you refer to is not in front month continuous format. I will have to convert it. I just hoped to save some time. By the way, what happened on March 26, 2007? Did they divide the prices by 10?

    ReplyDelete
  7. Bill LubySeptember 9, 2007 at 9:44 AM

    anon,

    I haven't seen any handy depository for data in front month continuous format, but if I do, I'll mention it on the blog.

    As you surmised, on 3/26/06, the CBOE rescaled the VIX futures contract multiplier to match the VIX.

    Finally, if you have any conclusions you'd like to share about your continuous contract analysis, I'd be interested in hearing them.

    Cheers,

    -Bill

    ReplyDelete
  8. Beta Data BloggerSeptember 9, 2007 at 6:35 PM

    I contructed a file that I'm more than willing to share. Just send me an email..

    betadata2007@yahoo.com

    A summary of my findings is here:

    http://mktbetadata.blogspot.com/2007/09/basis-risk-in-vix-futures-contracts-my.html


    JC

    ReplyDelete
  9. Bill LubySeptember 9, 2007 at 9:03 PM

    Thanks for the offer, JC.

    Also thanks for reminding me of your post on the subject, which I can highly recommend and probably should have referenced above.

    Cheers,

    -Bill

    ReplyDelete
  10. UnknownJuly 6, 2009 at 2:25 PM

    JC and others:

    Does any of you have the latest front month continuous data on the VIX futures from past 2years or so? Can you share it with me?

    Also, does anyone know where I can get (buy) the tick data for the VIX futures? I know CBOE has the daily open/close data. I was looking for more granularity.

    Thanks.
    Chirag M

    ReplyDelete
  11. Bill LubyJuly 6, 2009 at 3:39 PM

    Ii am not aware of a data set of continuous contract VIX futures data, thought you can get EOD data from the CFE:
    CBOE Futures Exchange

    Market Data Express is actually a subsidiary of the CBOE. They are the best resource for historical options data and could probably help you out with questions about futures data.

    Market Data Express

    ReplyDelete

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