Each Index underlying the Long ETNs is a total return index and is composed of futures contracts on the VIX Index
having a constant weighted average maturity ranging from one month to six months, depending on the series of the ETNs purchased, plus an interest component linked to the 91-day Treasury Bill rate.
As investors are increasingly looking for ways to access equity market volatility, this ETN offers them exposure while aiming to reduce the roll cost during calm markets and potentially providing enhanced beta to the VIX Index
during more volatile periods," said Eric Schlanger, Head of U.
Because the performance of the index is linked to the CBOE Volatility Index (the "VIX Index
"), the performance of the index will depend on many factors including, the level of the S&P 500[R] Index, the prices of options on the S&P 500[R] Index, and the level of the VIX Index
which may change unpredictably, affecting the value of futures contracts on the VIX Index
and, consequently, the level of the index.
CBOE offers a suite of more than three dozen volatility-related products and benchmarks based on the VIX Index
, including VIX options and futures contracts, which can be traded at CBOE and CBOE Futures Exchange (CFE[sup.
The VIX Index
has dropped below its six month average due to instabilities in the Middle East and rising oil prices.
Most notably, the VIX Index
has risen almost 440 basis points, indicating nervousness among investors.
The listing of VIX Weeklys options adds another tool to an array of long- and short-term trading strategies that can be executed on the VIX Index
, the world's premier benchmark of equity market volatility.
The company may elect to suspend the requirement if the VIX Index
is greater than or equal to 35 as measured on the average daily close of the VIX Index
over 10 consecutive days.
Market volatility increases substantially with the VIX index
rising to 20.
The addition of VIX weekly expirations to standard monthly expirations offers volatility exposures that more closely track the performance of the VIX Index
Among other things, Steve will watch the VIX index
to help signal complacency, which will be the time to take profits.
Over the past year, the values of VIX index
that characterises the stock market volatility have remained significantly below the historic average.