S&P 500 VIX Short-Term Futures Index

S&P 500 VIX Short Term Futures Index Basic Idea

S&P500 VIX Short-Term Futures Index is the shortest maturity index in the S&P500 VIX Futures Index Series, calculated and published by S&P Dow Jones Indices. The index, like the other indices in the series, models the outcome of holding (and constantly rolling) a long position in VIX futures.

Big advantage of these indices is that they are investable, unlike the underlying spot VIX index itself. This is also why the S&P500 VIX Short-Term Futures Index (and not the VIX directly) is being replicated by many VIX ETFs and ETNs.

All Indices in the S&P 500 VIX Futures Index Series

There are currently 6 indices in the S&P500 VIX Futures Index Series. All of them have the same logic: holding long positions in VIX futures contracts and constantly rolling them in order to maintain a constant maturity. The differences among individual indices are in the length of the maturity and the particular contract months used:

  1. S&P 500 VIX Short-Term Futures Index – constant maturity 1 month, long the first and the second VIX futures contract months
  2. S&P 500 VIX 2-Month Futures Index – constant maturity 2 months, long the second and the third VIX futures contract months
  3. S&P 500 VIX 3-Month Futures Index – constant maturity 3 months, long the third and the fourth VIX futures contract months
  4. S&P 500 VIX 4-Month Futures Index – constant maturity 4 months, long the fourth and the fifth VIX futures contract months
  5. S&P 500 VIX Mid-Term Futures Index – constant maturity 5 months, long the fourth, fifth, sixth, and seventh VIX futures contract months (rolling from the fourth to the seventh)
  6. S&P 500 VIX 6-Month Futures Index – constant maturity 6 months, long the fifth, sixth, seventh, and eighth VIX futures contract months (rolling from the fifth to the eighth)

All indices come in two versions: Excess Return (usually denoted ER) and Total Return (TR). The Total Return version also includes interest accrued on the notional value of the index based on the 3-month US Treasury rate and reinvestment into the index.

Official Information

Official page of the index and factsheet:

Bloomberg Ticker Symbols

S&P 500 VIX Short-Term Futures Index: SPVXSP (excess return version), SPVIXSTR (total return version)

S&P 500 VIX 2-Month Futures Index: SPVIX2ME, SPVIX2MT

S&P 500 VIX 3-Month Futures Index: SPVIX3ME, SPVIX3MT

S&P 500 VIX 4-Month Futures Index: SPVIX4ME, SPVIX4MT

S&P 500 VIX Mid-Term Futures Index: SPVXMP, SPVIXMTR

S&P 500 VIX 6-Month Futures Index: SPVIX6ME, SPVIX6MT


Related pages


wacc formularexcel profit formulayahoo finance symbolsdefinitional formula for variancehow to calculate sigma squaredoption implied volatilitydefine sharpe ratioleveraged etfs liststoxx 50 europehow to calculate standard deviation in excelstock rsi meaningprotective collar optionshort call payoffnegatives and positives calculatorwhat does kurtosis meanweighted average inventory costingvelocityshares dailyatr indicator explainedsquare numbers in excelstandard deviation calculator percentilewacc computationvelocitysharesoption straddlepercentile coefficient of kurtosiswhat happens when you square a negative numbercalculate emaskewness statisticsstock rsi calculatorvix tickerproshares short vix short-term futures etfshort call payoff diagramcalls and puts for dummiesstock excel spreadsheetfutures multipliermean revertingvix futures curvefinance tvixblack scholes options pricing modelweighted average cost of capital wacc formulaexcel goal seek macrostraddle positionstraddle strategy optionsparametric varmerits of harmonic meanindicative price meaningaverage standard deviation calculatorhow many shares in an option contractimplied volatility vbasell straddlenotepad optionsultra short etfsexcel computation formulastandard deviation finance calculatorwacc formula with preferred stockstdev skurtosis examplesmacd histogram formulavix index wikifinding the median in excelcalculation formula in excelvix 3x etfstraddle calculatorcalculate ss variance and standard deviationrules of multiplying square rootswww cboe compopular stock indexessample variance formula for grouped dataskewness statisticcontango vixusing natural log in exceloption profit loss calculatorpro shares ultraproshare short s&p 500leptokurtic platykurticskewness formula for ungrouped dataetc etfkurtosis formulawac method