CBOE to publish Volatility Index term structure data on Web site
Chicago Board Options Exchange (CBOE) today announced that beginning Friday, January 14, the Exchange will launch a web page displaying CBOE Volatility Index (VIX) term structure data, calculated every 15 seconds throughout the trading day.
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The term structure of VIX refers to the characteristic differences in the volatility calculated for options of different maturities. The concept of term structure is essential in the pricing and trading of VIX futures and options, offering insight into expectations of market volatility in forward contract months conveyed by S&P 500 (SPX) index options prices.
In addition to point-in-time data, the website will allow users to create historical time series for VIX term structure values and construct their own versions of VIX based on differing times to expiration. Historical data is available throughout the week except between 7:00 a.m. and 7:10 a.m. Central time on weekdays and between 12:00 p.m. and 9:00 p.m. on Saturdays.