VIX9D Index, Futures Quotes and Expiration Dates


Due to low demand, the CBOE discontinued VXST options and futures.  The VXST index, renamed the VIX9D, continues to be active. The CBOE went on to introduce weekly versions of its popular 30-day VIX futures which have been marginally successful.


VIX9D Indexes

On  October 1st, 2013 the CBOE introduced the VXST index. VXST, later renamed to VIX9D. It uses the same methodology as the CBOE’s VIX® index except that it computes the market’s 9-day expectation of volatility rather than the 30-day.  VXST options on VXST futures started trading April 10, 2014.

Some of the tickers related to the VXST are:

Quote ProviderIndexCalc
Far Week
Yahoo Finance^VIX9D^VXTN^VXTF
Google Finance^VIX9D^VXTN^VXTF

The CBOE publishes two intermediate calculations (VSTN & VSTF) that are used to compute the VIX9D index.  These two indexes do a VIX style calculation with just the nearest SPX weekly options (VSTN) and the next available set of SPX weekly options (VSTF).   The VXST is a variance (not linear) interpolation between these two indexes that gives a 9-day expectation of volatility.

The VIX9D calculation uses the same option series utilized in the VSTF—the SPX weekly options that will expire in 9 days.  These indexes are analogous to the VIN and VIF used in the VIX calculation.  For more on this see Calculating the VIX index—the “easy” part.

VXST Futures

On February 13th, 2014 the CBOE started trading futures on their new VXST based index. They were shut down in June 2015 due to low demand. You can find the historical trading data here.

The full ticker symbology for VXST futures is given here.  For CBOE delayed quotes the symbol is constructed with one of the 5  preambles:  1VSW, 2VSW, 3VSW, 4VSW  5VSW followed by a “/” and then the futures month and year code (see below for details).  So for example the VXST futures expiring 26-Feb-2014 will have the symbol:  4VSW/G4.  The futures are numbered by the week of the month that they expire, so the futures expiring the first week of the month will have the 1VSW preamble, 2nd week  2VSW, and so on.

VXST Options

VXST options started trading April 10, 2014 and were discontinued when the futures were discontinued.  The most important thing to remember with VXST (and VIX) options is that the underlying is not the index, but rather the future that expires on the same day as the options.   As with VIX options the last day of trading is the day before settlement, which is typically a Wednesday.   For more on trading VXST options see 13 Things You Should Know About VXST options.

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2 thoughts on “VIX9D Index, Futures Quotes and Expiration Dates”

  1. Hi –

    I noticed your excellent discussion, and I thought I’d ask you about something puzzling me. I’m trying to figure out what time period the VSTN and VSTF cover. The CBOE seems vague about it. One website said that VSTN is 5 day and VSTF is 13 day, but your discussion above suggests it’s not so clear cut. Some people have also told me, “No – the VSTN represents 3 day volatiliy.” Can you clear this confusion up for me?

    • Hi, VSTN and VSTF are intermediate calculations the CBOE uses to compute the VIX9D index value. The VIX9D is defined as a volatility index with a 9-day horizon (the VIX has a 30-day horizon). VIX style calculations are based on option prices. When there aren’t SPX (S&P 500) options available with exactly 9 days until expiration the VIX methodology uses the prices of options with expirations that bracket the 9-day horizon. For example, on November 1st, 2020 nine days in the future would be November 10th, which doesn’t have SPX options expiring on that day. The used for the VSTN/VSTF calculations expire on Fridays, so in this example, the VSTN would be based on 6-Nov-2020 options and VSTF would be based on 13-Nov-2020 options. Bottom line, the time horizon for the VSTN & VSTF indexes is variable, where VSTN has approximately between 3 and 8 days until expiration and VSTF has between 8 and 16 days until expiration.


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