Wednesday, October 10, 2007

VIX Futures and Volatility Expectations

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.

6 comments:

z-stock said...

Vix bounced off it's 200 day.
That's not a significant buy signal to you?
zee
I thought for sure you're headline would be BUY VIX NOW...hmmm

Bill Luby said...

Hi z-stock,

I've been long the VIX for about a week and a half, not that it has done me any good yet...

I think we are considerably overdue for a pullback, the only question is when it is going to happen. Per my comments here, I'm am expecting a little ugliness within the week...and think it is indeed a good time to be long volatility.

I could scream "BUY VIX NOW," but I don't want to sound like a broken record.

Cheers,

-Bill

Anonymous said...

Bill,

concerning your recent blog and where to find VIX futures data: Use the following link you (and every interested reader) will receive VIX, VXD, VXN and RVX volatility index values and futures data (closing and settlement values, volume, open interest, among others) as well as -20 minutes delayed- bid and ask quotes (copy and paste the link within the quotas).
"http://futuresource.quote.com/quotes/custom.jsp?us=%24VIX%2CVX-CF%2C+%24VXD%2Cdv-cf%2C%24VXN%2CVN-CF%2C%24RVX%2CVR-CF%2C&mc=&selectedFields=low÷r=row&fields=desc%2Cmonthyear%2Cbid%2Cask%2Clast%2Ctime%2Clow%2Chigh%2Cvol%2Copenint%2Cnewsettle%2Cchgoldsettle"


Of special interest may be the fact that the VIX future which will expire in November is trading with a (huge) premium of 1.93 points above the VIX itself, the highest premium since May and forecasting increasing volatility within the next few weeks (link below).
"http://futuresource.quote.com/charts/micro.jsp?s=%3D%27VX+2%21-cf%27+-+%27%24VIX%27&s=&s=&s=&s=&s=&s=&s=&p=D&v=15&b=BAR&d=HIGH"

And last but not least the spread between the VIX front month (OCT' 07) and second month futures (NOV' 07) expiry has never been such high since May (1.58 points on October 9).
"http://futuresource.quote.com/charts/micro.jsp?s=%3D%27VX+2%21-cf%27+-+%27VX+1%21-cf%27&s=&s=&s=&s=&s=&s=&s=&p=D&v=15&b=BAR&d=HIGH"

P.s.: I beg your pardon for not being a native speaker.

Bill Luby said...

Excellent information, anonymous -- and no apologies needed for your excellent language skills.

From my previous searching, I concluded that FutureSource.com probably has the best set of free futures quotes available on the web. I will add the VIX futures link to the upper right hand corner of the blog for easy reference.

Regarding the front month - second month spread and the large November premium, these data points are all consistent with the "way too much complacency" theory, of which I am a strong supporter.

It will be interesting to see if any volatility spikes play out before VIX options and futures expire next Wednesday.

Thanks again and good trading,

-Bill

Felix said...

My fellow VIX bull,

I've not seen you post a new blog entry for almost a week, is everything OK? I'm hoping that it's nothing more serious than being busy because of the approach of the end of the OCT expiration cycle.

I must confess I'm missing my daily fix of reading your blog, and especially of your reporting of the current VWSI level (which I'm guessing is slightly negative right now).

Many thanks to anonymous for posting his links (even though they were a little difficult to copy) -- VERY USEFUL STUFF. I appreciate especially the VIX spread charting, as it figures into my trading this product. EXTREMELY COOOOL!

Hope all is well,

Felix aka thenakedtrader

Felix said...

Hmmmm, I just went back to your home page and you HAVE been posting... and the VWSI got back to neutral.

Strange... must be something with the way my browser caches this site, or something else I don't yet understand.

In any event, I'm glad I was worried for nothing! :)

Felix aka thenakedtrader

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