VIX® Primer

The Basics

  • Introduction to VIX Futures
  • Contract Specifications
  • VIX Futures Quotes and Vendor Tickers
  • Fine Points of Final Settlement

Additional Features of VIX

  • Performance of VIX Futures
  • Fair Value of VIX Futures
  • Stacking and Rolling VIX Futures Positions
  • From VIX Futures to the Term Structure of Implied Volatility

Trading Applications

  • Trading the Direction of Implied Volatility
  • Implied Volatility Spreads
  • Hedging Market Risk and Portfolio Diversification
  • Hedging Implied Volatility Risk
  • Hedging or Spreading against Realized Volatility Risk

All About VIX

  • How is VIX Calculated? Step-by-Step Numerical Calculation
  • The Theory behind the VIX Calculation
  • VIX Volatility and Black-Scholes Volatility
  • Mathematical Derivation of VIX
  • VIX Bibliography

Historical Performance

  • Characteristic Patterns of VIX
  • Relationship between VIX and Other Assets
  • VIX and Realized Volatility

* The methodology of the CBOE Volatility Index® is owned by CBOE and may be covered by one or more patents or pending patent applications.