CBOE Launches Volatility Product Microsite

By Lawrence G. McMillan

The CBOE has launched a microsite within the CBOE website that has information about all of the volatility-based Exchange Traded Products (ETPs).  The website is located at http://www.cboe.com/voletps.

VXX and XIV are two of the most liquid and popular ETPs (both are Exchange-Traded Notes), but there are many others.

There’s quite a bit of information on the site, so one can spend a while there attempting to absorb it all.  One useful section – especially for those not familiar with these ETPs is the FAQ (Frequently Asked Questions) section, where things like “roll cost” (the daily decay of long volatility products, like VXX) are explained.

The individual ETPs can be found under the section entitled “Information On Volatility Linked ETPs” There, all of the current ETPs are broken down into four categories.  Long, Short, Leveraged, and Strategy ETPs. Under each of those tabs, the individual ETPs are listed.  There are eight different long ETNs or ETFs, for example – five short-term (which is what most people are interested in) and three designated as “mid-term” by the CBOE.  Over the years, we have discussed most of these, but not all of them.

As for “short volatility” ETPs, there are four short-term ones (XIV and SVXY being the two most well-known).  Under “leveraged” ETPs, there are two “double $VIX” ETPs: UVXY and TVIX.  Under “Strategy ETPs” you can find things like VQT – a Barclay’s ETN that combines VXX protection for a long portfolio of SPX.  There are several others there as well.

In all of these cases, if one is interested in the product, further research must be done.  The actual construct of each ETP is not given on the CBOE site.  The prospectus should be downloaded and read.  Some of these have some very strange complications (which the CBOE’s FAQ section addresses quite well), but you should still have the prospectus.  

In addition to these products, there are a number of volatility based indices – mostly published by the CBOE – that measure various things.  For example, the four main volatility indices are $VXST (short-term; a 9-day volatility measure), $VIX (30 days), $VIX3M (93 days), and $VXMT (184 days).  There are quite a few others, and their information can be located at other places on the CBOE’s website.  Volatility futures are not covered on the microsite either, but information about them can be found at the CBOE Futures Exchange (CFE) website: http://cfe.cboe.com. 

Overall, this microsite is a useful overview of information on a large number of volatility products.  It is certainly worthwhile keeping the link handy in case you want to trade or compare the various, myriad vehicles through which volatility can be traded on the stock exchanges.■

This article was featured in the 1/5/2017 edition of The Option Strategist Newsletter.