https://www.cboe.com/products/vix-i...ck-indexes/cboe-s-p-500-9-day-vol-index-vix9d Wow, I just got wind of this new index...which is basically a derivative of a derivative. It doesn't get much more volatile than that. Has anyone attempted to trade this CBOE vehicle ?
This is the old VXST. Not sure why it was re-named, but it keeps with the others, so....? In any event, while not trading it, I've used it for years to provide a little broader window on market outlook: per-strike IV, then VIX9D, then VIX. Good barometers.
Oooh, nice. Stealing. I've been looking at MAs for both it and VIX to get a rough idea of the vol term structure (to be used in further calculations.) Your approach is... a bit more directly applicable. Danke schön.
Well Tommy, you seem to be the knowing-F-it all. You should elucidate everything you know about this volatility metric,
That's because there isn't any, on June 18 2015 CBOE announced that they're pulling the plug on VXST options and futures (VXST=VIX9D). You can trade weekly VIX options now so that should do the trick.