{"id":46180,"date":"2023-04-19T13:49:05","date_gmt":"2023-04-19T11:49:05","guid":{"rendered":"https:\/\/staging.captrader.com\/blog\/vix-optionen\/"},"modified":"2024-11-29T10:25:20","modified_gmt":"2024-11-29T09:25:20","slug":"vix-options","status":"publish","type":"blog","link":"https:\/\/www.captrader.com\/en\/blog\/vix-optionen\/","title":{"rendered":"Risks and special features of trading VIX options"},"content":{"rendered":"

Trading VIX options offers investors the opportunity to hedge market risks and hedge an equity portfolio. In this blog post, Alexander Eichhorn takes a closer look at VIX options trading and how it works, highlights possible strategies and discusses the risks and special features.<\/p>\n\n\n\n

What is the VIX index?<\/h2>\n\n\n\n

The VIX is the best known Volatility index<\/a> weltweit. Er wird auch als \"Fear Index\" oder \"Angstindex\" bezeichnet, da er die erwartete Volatilit\u00e4t des US-Aktienmarkts (S&P 500) misst. Der VIX<\/a> wird von der Chicago Board Options Exchange (CBOE) berechnet und ver\u00f6ffentlicht. Er wird anhand von Optionspreisen mit 30 Tagen Restlaufzeit auf den S&P 500 berechnet. Ein hoher Wert weist oft auf einen unruhigen (fallenden) Markt hin, w\u00e4hrend niedrigere Werte auf einen gesunden Bullenmarkt schlie\u00dfen lassen.<\/p>\n\n\n\n

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How is the VIX index calculated?<\/h2>\n\n\n\n

Der VIX wird auf Basis der Preise von Optionskontrakten auf den S&P 500 (Index) berechnet. Dabei werden die Kurse von Put- und Call options<\/a> auf den S&P 500-Index ber\u00fccksichtigt. Der VIX gibt die erwartete Volatilit\u00e4t in Prozent an, die f\u00fcr den n\u00e4chsten 30-Tage-Zeitraum erwartet wird. Je h\u00f6her der VIX, desto gr\u00f6\u00dfer ist die erwartete Volatilit\u00e4t und damit auch die Unsicherheit auf dem Markt.<\/p>\n\n\n\n

If the S&P 500 rises, volatility (VIX) falls - if the S&P 500 falls, volatility (VIX) rises, as many traders say. As a volatility index, the VIX tells us - in simple terms - how strong the fluctuations we can expect in the S&P 500 will be. A rise in share prices is generally associated with falling volatility. Conversely, the VIX usually increases in times of falling share prices.<\/p>\n\n\n\n

Tip: You can find out more about the VIX index in this blog post<\/a>!<\/p>\n\n\n\n

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How can the VIX index be traded?<\/h2>\n\n\n\n

The VIX index itself is not tradable, but can be traded on the CBOE in the form of Futures<\/a> and options can be traded. There are also numerous ETFs and ETNs that track the VIX and thus offer an opportunity to trade the VIX indirectly. However, investors should note that the VIX is not a \"traditional\" asset like a share or a bond, and therefore has different risks and characteristics.<\/p>\n\n\n\n

As the VIX index itself is not tradable, traders and options traders must take a close look at the VIX index futures curve. All prices of futures and options products always refer to the respective VIX future and not to the VIX index!<\/p>\n\n\n\n

The forward structure curve shows the prices of successive forward contracts. Normally, the subsequent contract is more expensive than the current front contract due to a premium (storage costs, interest, forecast uncertainty) of the later delivery date. Such a forward structure curve is called \"contango\":<\/p>\n\n\n

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Image: Contango curve from 13.10.2021<\/a><\/figcaption><\/figure>\n<\/div>\n\n\n

There is also the rather unusual situation of the \"backwardation\" forward curve, where the front contract is the most expensive. In the following example, the VIX futures are in a backwardation situation during the 2008 financial crisis:<\/p>\n\n\n

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Image: Backwardation curve from 05.11.2008<\/a><\/figcaption><\/figure>\n<\/div>\n\n\n

During stronger price declines in the S&P 500, the VIX futures move from a contango to a backwardation forward curve. This change can be used to recognize high points at an early stage.<\/p>\n\n\n\n

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How VIX options trading works<\/h2>\n\n\n\n

In contrast to futures, options have a multiplier of 100. Although the options refer to the index, pricing follows the futures. Assuming an option writer writes a put on the VIX with an expiry date in February, the price of the February future is decisive for the pricing of the option and not the current price of the VIX index.<\/p>\n\n\n

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Figure: Example of a VIX option<\/figcaption><\/figure>\n<\/div>\n\n\n

Key facts about VIX options:<\/p>\n\n\n\n