Volatility can change frequently and, sometimes, dramatically. Change can create opportunity. Today, many market participants view volatility not only as a concept, but as a tradeable measure.
Nasdaq-100 Volatility Index futures, or VOLQ futures, provide a way to hedge exposure to, or express a view on, the implied volatility of the Nasdaq-100 Index.
EQDerivatives has engaged portfolio managers and traders globally on how retail and institutional investors can apply VOLQ futures to express a view on the percent daily move of the Nasdaq-100, in arbitrage strategies and through effective portfolio hedging.
Express a view on changes in volatility without needing to manage strike prices, time decay, or the delta hedging of options.
Reduce risk by constructing hedges against market-moving events like earnings announcements, sharp market movements, political events, and more.
Gain a similar payoff profile to straddles or strangles without the same degree of rebalancing needed to maintain target exposure.
The VOLQ Index underlying the futures contract is an at-the-money focused approach to volatility measurement. The index is calculated based on the values of 32 Nasdaq-100 Index options: the two nearest in-the-money and out-of-the-money puts and calls for the next four weekly expirations.
VOLQ futures estimate the implied volatility of at-the money options with 30 days until expiration. Therefore, at any given time, the futures reflect an estimate of forward volatility, which is the expected volatility of the Nasdaq-100 Index for the 30-day period that starts on the futures expiration date.
|Underlying and multiplier||$1,000 x the Nasdaq-100 Volatility Index (VOLQ)|
|Current contract notional value||1000 X 27.00 = $27,000|
|Value of minimum tick||$50.00|
|Trading hours||CME Globex: Sunday – Friday 6:00 p.m. – 5:00 p.m. ET with a trading halt from 4:15 p.m. – 4:30 p.m. ET|
VOLQ futures are financially settled. On the day of final settlement price determination, the final settlement value will be available under ticker symbol VOLS Index on Bloomberg, or .VOLS on Reuters. This final settlement price with daily price history is available here.
While this value is produced daily, only the value on settlement date is relevant for determining settlement value. For example, if settlement date is the 21st of the month, the value produced on the morning of the 21st is the relevant value for settlement.
Read the latest EQDerivatives research on how portfolio managers and traders use VOLQ futures to express a view on the implied volatility of the Nasdaq-100 Index.