VIX (CBOE Volatility Index)
This is the main page of armadaoil coverage of the VIX (CBOE Volatility Index). Below you can find links to various pages providing information and resources for various things regarding the VIX, its futures, options, and ETNs.
Basic Information about the VIX Index
What Is VIX? – this page answers this and several other frequently asked questions about the VIX. If you are totally unfamiliar with the VIX and volatility indices in general, start here.
VIX Calculation – this page is a bit more advanced – it explains the calculation of the VIX index step-by-step. It focuses on the logic of the calculation rather than the exact mathematics (for those who also want the formulas, there is a link to the original CBOE VIX White Paper).
VIX Chart – this page contains a few charts of the VIX index, in case you need a basic idea of its range and behaviour. I don’t update it very frequently, but there are also links to websites where you can see the latest chart.
VIX Index Values and Relationship to S&P500
VIX All-Time High and VIX All-Time Low – overview of highest and lowest VIX values recorded in history – the highest/lowest close, the highest/lowest intraday value, number of days with VIX below 10 or above 80, long-term historical chart, and more statistics from VIX history
VIX-SPX Correlation – correlation of daily moves in VIX and S&P500 overall and in individual years, chart of 252-day trailing VIX-SPX correlation, relationship between average VIX value and VIX-SPX correlation
VIX and S&P500 in the Same Direction – statistics on the number of days when VIX moves in the same direction as S&P500 – up days, down days, and what happens on the next day
Trading the VIX
You may have already heard that the VIX index is quite specific as a trading vehicle. In fact, the index itself is not directly tradable (see explanation why), but you can trade it indirectly using futures, options, and exchange traded products (see details below).
Trading the VIX – this page summarizes the reasons why you may want to trade the VIX and the many specifics of doing so.
VIX Futures, Options, and Term Structure
VIX Futures – the main page and basic information about VIX futures, which includes contract specifications such as multiplier, tick size, contract months available, expiration and settlement, and trading hours, as well as various links to other pages and resources concerning VIX futures.
VIX Futures Curve – this page explains what the VIX futures curve is, how it looks, what contango and backwardation mean, and how they occur on the VIX.
VIX Term Structure – this page explains the VIX Term Structure, which is not the same as VIX futures curve as many people believe.
VIX Options – the main page and basic information about VIX options, which includes contract specifications, available strikes, exercising them, expiration and settlement, and other resources.
VIX Expiration Calendar (Futures & Options) – VIX expiration calendar for 2013 and 2014 and full history of VIX expiration dates since start of VIX futures trading (2004)
VIX and VIX Derivatives Historical Data
VIX Historical Data – this page provides links to CBOE pages where you can download the VIX index and VIX futures daily historical data for free. It also includes a few notes concerning navigation on the download pages and the differences between the individual files and symbols.
VIX Options Historical Data – basic instructions and links for getting historical data for VIX options
VIX COT (Commitment of Traders) Reports – the CFTC COT reports for VIX futures: where and how to get them
VIX Exchange Traded Products
VIX ETF & ETN List – lists of VIX exchange traded products that provide various kinds of exposures (long, 2x long, short, spreads) to various parts of the VIX futures curve; several lists arranged by exposure, by provider, list of most liquid VIX ETFs/ETNs, list of VIX ETFs/ETNs with available options, and list of all VIX ETFs/ETNs sorted by ticker symbol in alphabetical order, including discontinued products