Glossary
Terms used on the VIX dashboard.
- VIX
- Cboe Volatility Index: the market’s expectation of S&P 500 volatility over the next 30 days, derived from S&P 500 option prices.
- F1
- Front-month VIX future: the monthly VIX futures contract with the nearest expiration. F2 is the following month, and so on.
- VVIX
- Volatility of the VIX, derived from VIX option prices. High values indicate that large VIX moves are expected.
- F1 − VIX
- Difference between the front-month future and the VIX. Positive in calm markets (contango), negative when near-term stress is priced in (backwardation).
- Term structure
- Prices of the VIX futures across expiration months.
- Contango / backwardation
- Contango: later expirations are priced higher than earlier ones, typical in calm markets. Backwardation: later expirations are priced lower, typical in times of stress.
- Roll-over
- Expiration of the front-month future. Afterwards the next contract becomes F1.