Indicators

VIX

Indicators

VIX

Indicators

VIX

These indices track the performance of the futures contracts that settle to VIX®, the CBOE Volatility Index and the leading measure of the stock market’s expectation of volatility, as implied by S&P 500 options.

Indices

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Long-Term

The S&P VIX® Long-Term Futures Indices measure the return of a daily rolling long position in the fourth, fifth, sixth, and seventh month VIX futures contracts. The index series is designed to offer directional exposure to volatility through publicly traded futures markets.

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Short-Term

The S&P VIX® Short-Term Futures Indices utilize prices of the next two near-term VIX futures contracts to replicate a position that rolls the nearest month VIX futures to the next month on a daily basis in equal fractional amounts. This results in a constant one-month rolling long position in first and second month VIX futures contracts.

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Dynamic

The S&P Dynamic VIX® Futures Indices dynamically allocate between a short- and mid-term VIX futures strategy by monitoring the steepness of the implied volatility curve. They are designed to provide a cost-efficient exposure to forward implied volatility.

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Index-Linked Products

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Index Name Product Name Product Type
S&P 500 VIX Futures Enhanced Roll Lyxor S&P 500 VIX Futs EnhRoll ETF C EUR ETF
S&P 500 VIX Mid-Term Futures Index ProShares VIX Mid-Term Futures ETF