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.
The contract multiplier of the Nasdaq-100 Volatility Index futures has been reduced from 1,000 to 100 index points. At 1/10 of the original size, VOLQ futures is more accessible to traders of all sizes and provide market participants greater flexibility to manage their exposure to the implied volatility of the the Nasdaq-100 Index.
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.
|CONTRACT MULTIPLIER||100 Index Points|
|EXAMPLE CONTRACT VALUE||100 x $21.00 = $2,100|
|VALUE OF MINIMUM TICK||$5.00|
|TRADING HOURS||CME Globex: Sunday – Friday 6:00 p.m. – 5:00 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.
OpenMarkets Roundtable discusses why equity traders are preparing for prolonged volatility and what could be in store for Q4 2020.
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.