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S&P VIX Futures Indices

Published in Strategy Indices

The S&P 500 Dynamic VIX Futures Index dynamically allocates between the S&P 500 Short-Term VIX Futures Index and S&P 500 Mid-Term VIX Futures Index, by monitoring the steepness of the implied volatility curve, to provide a cost-efficient exposure to forward implied volatility.

The S&P 500® VIX Futures Index Series is a suite of investable indices that offers investors directional exposure to volatility through publicly traded futures markets, and seeks to model the outcome of holding a long position in VIX futures contracts.

Key Features and Coverage on RIMES

For this data source, RIMES currently hosts approximately 70 indices, including:

  • S&P 500 Dynamic Vix Futures Index
  • S&P 500 VIX Futures 6-Month Index
  • S&P 500 VIX Mid-Term Futures Index
  • S&P 500 VIX Short-Term Futures Index

Data items available include Gross Index in USD and Excess Return in USD.

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