Periodically, I get a question about where to find VIX futures data. A few brokers (optionsXpress is one) have this information available via their web site and/or trading platform. The CBOE also provides VIX futures data at no charge through the CBOE Futures Exchange (CFE). Follow the link provided and click on the “Price and Volume Detail” tab to get information on all the VIX futures contracts for the previous trading day. The CFE also has a Historical Market Data page for those who are interested in detailed historical statistics.
I have clipped a snapshot of yesterday’s closing data to give a sense of what information is available. Note that most of the action is in the front three months, yesterdays futures were pricing in an 0.94 gain (a 17.06 futures settlement price vs. a 16.12 close in the VIX cash price) in the VIX over the next five days (October contracts expire a week from today), and volatility expectations from November 2007 to August 2008 are fairly uniform and muted.
If we do see volatility return to the markets soon, as I anticipate, I will compare a snapshot of VIX futures then with the current picture.