Adam Warner over at Daily Options Report discusses the differences between the cash VIX and futures VIX.
The best analogy is to the weather. Think of the *cash* VIX as today's weather, and the VIX futures as a contract that guesses the temperature 30 days forward from the day they expire. The same way a warm day in August will not help you call December weather, a blip up or down in the VIX will not likely impact Dec. VIX futures all that much.
Okay, so what are the cash VIX and future VIX values? If you go to the CBOE website and mouse over the VIX symbol in the upper left hand corner, you can see how cash VIX has changed throughout the day. And if you click on the VIX symbol, you will get the latest cash VIX quote (with the quote delay).
A list of futures symbols can be found at the CFE site. Simply click on the month of interest, and you will get the latest quotation.
As Adam mentions in his article, the current cash VIX is less than the futures VIXs. Thus, if the cash VIX were to pop, the futures VIX is unlikely to pop as much, because the futures VIX is already anticipating that over time the cash VIX will rise.
For those interested in learning more about the VIX, here are two articles that might be of interest:
The white paper provides more specificity on how the VIX is calculated.
Adam has repeatedly made the point that you should not look at the absolute value of the VIX, but rather look at it in context. For example, today's VIX is about 21. Is that high or low? The answer to that question depends upon how VIX has been trading recently. If you look at Yahoo!'s VIX chart, you will note that today's VIX is toward the lower end of its range for the past year. Part of the reason why it is lower is that we are in a very slow part of the year, just before Labor Day. As Adam points out, the futures VIX for September is about 23, which looks much closer to the middle of the values in previously referenced Yahoo! chart.
The point of this article was to provide additional information on the VIX. I have given you links to where you can find quotes on the cash and futures VIXs. And you can follow Adam's blog where he often discusses VIX values.
My photograph of the Mount Edith Cavell is hosted at Flickr. If you click on the picture, you will be taken to my Flickr account where you can see more pictures.
Update: 27 August 2008
Adam has another very salient post VIX Vx. VIX on this topic.
Leave a comment