15% Election Bump for VIX October Futures

This Index Insights Monthly Scorecard provides an update on the performance of dozens of indices that track the levels of volatility or the performance of hypothetical strategies that invest in options or futures.

Highlights:

• There was a 15% U.S. election bump in the VIX Futures term structure expiring in October 2024
• New FAQ and webinar replay available for Buffer Protect Indices
• Cboe VXTH Index rose 130% over 5-year period

15% Election Bump for October VIX Futures

A recently published Bloomberg News article noted that traders have begun trading the newest VIX Futures contract to hedge potential U.S. election risks and highlighted that the gap between September and October VIX Futures contracts are currently wider than in 2016 and 2020.

VIX Futures were in contango on January 31 and the October VIX Futures were priced at 20.65, 15% higher than the 17.90 price for September futures.

October VIX Futures can be used as a potential hedge against potential heightened volatility around the November 5, 2024, U.S. election.  

Source: Cboe Global Markets

The chart below shows the term structure for S&P 500® Index options using six of Cboe’s volatility indices: VIX1D^SM, VIX9D^SM, VIX® Index, VIX3M^SM, VIX6M^SM and VIX1Y^SM. The VIX Index hit its all-time high daily close of 82.69 on March 16, 2020, at the start of the COVID-19 pandemic. More recently, at the end of January 2024, the VIX1Y Index reached 19.76, 12.4% higher than the 17.58 value of the VIX6M Index, reflecting investors’ expectations about the possibility of higher expected volatility in early 2025.

Source: Cboe Global Markets

Cboe offers dozens of indices that track hypothetical strategies that use index options. The table below shows the changes for three Cboe indices and three benchmarks in 2020—the last U.S. election year.

• Cboe VIX Tail Hedge Index (VXTH^SM) – up 113.8% (VIX call options purchased in March 2020 by the hypothetical strategy tracked by the VXTH Index rose in value)
• Cboe S&P 500 Tail Risk Index (PPUT3M^SM) – up 23.9%
• Cboe Capped VIX Premium Strategy Index (VPN^SM) - up 2.3%

Source: Cboe Global Markets

Learn more about Portfolio Protection Using Cboe Indices, through our repository of information on index performance, white papers, webinars, option-buying strategy indices and profit-and-loss diagrams. 

Buffer Protect Strategies

Interest in buffer protect strategies has grown tremendously since Cboe introduced Buffer Protect Indices in 2016.

In 2022, three of Cboe’s key Buffer Protect indices had lower losses than those of some well-known stock and bond indices.

Notably, Cboe S&P 500 15% Buffer Protect Index Balanced Series (SPRFSM) had the least severe loss at 3.7%, followed by the Cboe S&P 500 Buffer Protect Index Balanced Series (SPRO^SM) which fell 7.7%, and the Cboe Russell 2000 Buffer Protect Index Balanced Series (RPRO^SM), which fell 10.6%.

Source: Cboe Global Indices

Learn More About Buffer Protect Indices

• Webinar Replay:Professor Oleg Bondarenko, University of Illinois Chicago; Professor Dmitriy Muravyev, Michigan State University joined Cboe’s Bill O’Keefe to discuss Buffer Protect Indices and Risk Reduction.
• Buffer Protect Indices FAQ

Monthly Scorecard for 30 Indices

Some of the highest five-year gains for Cboe strategy indices in the table below include:

• VXTH^SM – Cboe VIX Tail Hedge Index - up 130%
• VPN^SM - Cboe Capped VIX Premium - up 118.6%
• CALD^SM - Cboe Validus S&P 500 Dynamic Call BuyWrite Index - up 80.6%
• SPEN^SM - Cboe S&P 500 Enhanced Growth Index Balanced Series - up 80.5%

More Information

Learn more about Cboe Global Indices and related options and futures strategies.

• Cboe Global Indices
• Income Generation Strategies
• Portfolio Protection Strategies
• Cboe’s Insights Webinar Series Replays
• Cboe 2024 Risk Management Conference in Utah (October 15 – 18)
• Global Option-Writing Strategies to Reduce Risk and Enhance Income (White Paper by Wilshire)
• The VIX^® Index and Volatility-Based Global Indexes and Trading Instruments - A Guide to Investment and Trading Features (White Paper)
• Data and Access Solutions

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