CBOE adds short-term version of Vix to volatility suite
The new index, VXST, measures market expectations of S&P 500 volatility nine days into the future, rendering it more sensitive to short-term volatility swings than the Vix
The Chicago Board Options Exchange (CBOE) has launched a new index that tracks the short-term volatility of the S&P 500, it announced yesterday. The CBOE S&P 500 Short-Term Volatility Index (VXST) measures the market's expectations of stock market volatility nine days into the future. CBOE already calculates the Vix index, a widely followed benchmark that measures volatility expectations 30 days into the future.
VXST is calculated using the prices of options on the S&P 500 index that are due to
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