This video provides a background for CBOE VOLATILITY INDEX® (VIX®) option contracts. Below are some of the product specifications from the Chicago Board Options Exchange. For more information please review VIX Product Specifications on CBOE.com.
The CBOE Volatility Index – more commonly referred to as “VIX” – is a market estimate of expected volatility that is calculated by using S&P 500® Index (SPX) option bid/ask quotes. VIX uses nearby and second nearby options with at least 8 days left to expiration and then weights them to yield a constant, 30-day measure of the expected volatility of the S&P 500 Index.
Expiration Date of the Contracts:
The Wednesday that is thirty days prior to the third Friday of the calendar month immediately following the expiring month.
Exercise Style of the Contracts:
European – CBOE Volatility Index options generally may be exercised only on the Expiration Date.
Last Trading Day for the Contracts:
The Tuesday prior to the Expiration Date of each month.
Trading Hours for the Contracts:
8:30 a.m. to 3:15 p.m. Central Time (Chicago time). CBOE Volatility Index options will not open until the SPX opening rotation is completed.
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While implied volatility represents the consensus of the marketplace as to the future level of stock price volatility or probability of reaching a specific price point there is no guarantee that this forecast will be correct.
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