S&P VIX Futures Indices Methodology

Transcription

1 S&P VIX Fuures Indices Mehodology S&P Dow Jones Indices: Index Mehodology Ocober 017

2 Table of Conens Inroducion Highlighs Family Index Consrucion 4 Approaches 4 Calculaion of he VIX/VXEEM Fuures Index Excess Reurn (ER 5 Conrac Rebalancing 6 Calculaion of he VIX/VXEEM Fuures Index Toal Reurn (TR 7 Calculaion of he VIX Fuures Term-Srucure Excess Reurn (ER 7 Calculaion of he VIX Fuures Term-Srucure Toal Reurn (TR 8 Calculaion of he VIX Shor Term Fuures Daily Inverse Excess Reurn (ER 8 Calculaion of he VIX Shor Term Fuures Daily Inverse Toal Reurn (TR 8 Calculaion of he VIX Mid Term Fuures Daily Inverse Excess Reurn (ER 9 Calculaion of he VIX Mid Term Fuures Daily Inverse Toal Reurn (TR 9 Calculaion of he Consan Vega (3% and (6% VIX Shor Term Fuures Excess Reurn (ER 9 Base Dae 9 Hisorical Assumpions 10 Index Governance 11 Index Commiee 11 Index Policy 1 Announcemens 1 Holiday Schedule 1 Rebalancing 1 Unscheduled Exchange Closures and New Holidays 1 Delising of Fuures Conracs 13 Conac Informaion 13 Index Disseminaion 14 Tickers 14 FTP 14 Web sie 14 Disclaimer 15 S&P Dow Jones Indices: S&P VIX Fuures Indices Mehodology 1

3 Inroducion The S&P VIX Fuures Index Series seeks o model he oucome of holding long and/or shor posiions in VIX 1 fuures conracs or oher volailiy indices, as defined below. Highlighs Hisorically, he VIX Index has a negaive correlaion o he S&P 500 and is considered a useful ool o hedge agains he poenial downside of he broad equiy marke. While he spo VIX is difficul o replicae as a pracical maer, here is a marke in VIX fuures and opions, and invesors rade hem o express heir view on he S&P 500 s implied volailiy. Family The S&P VIX Fuures Index Series is comprised of he following indices: S&P 500 VIX Shor-Term Fuures Index. The index measures he reurn from a daily rolling long posiion in he firs and second monh VIX fuures conracs. S&P 500 VIX M Fuures Index. The index measures he reurn from a daily rolling long posiion in he second and hird monh VIX fuures conracs. S&P 500 VIX 3M Fuures Index. The index measures he reurn from a daily rolling long posiion in he hird and fourh monh VIX fuures conracs. S&P 500 VIX 4M Fuures Index. The index measures he reurn from a daily rolling long posiion in he fourh and fifh monh VIX fuures conracs. S&P 500 VIX Mid-Term Fuures Index. The index measures he reurn from a daily rolling long posiion in he fourh, fifh, sixh and sevenh monh VIX fuures conracs. S&P 500 VIX 6M Fuures Index. The index measures he reurn from a daily rolling long posiion in he fifh, sixh, sevenh and eighh monh VIX fuures conracs. S&P 500 VIX Fuures Term-Srucure Index. The index measures he reurn from a long posiion, wih 100% weigh, in he S&P 500 VIX Mid-Term Fuures Index and a shor posiion, wih 50% weigh, in he S&P 500 VIX Shor-Term Fuures Index. The weighs are rebalanced daily. S&P 500 VIX Shor Term Fuures Daily Inverse Index. The index measures he performance of he inverse of he S&P 500 VIX Shor-Term Fuures Index. S&P 500 VIX Mid Term Fuures Daily Inverse Index. The index measures he performance of he inverse of he S&P 500 VIX Mid-Term Fuures Index. S&P Emerging Markes Volailiy Shor-Term Fuures Index. The index measures he reurn from a daily rolling long posiion in he firs and second monh CBOE Emerging Markes ETF Volailiy Index (VXEEM fuures conracs. S&P 500 VIX Fron Monh Fuures Index. The index measures he reurn from a long posiion in he firs VIX fuures conrac ha rolls o he second monh conrac hree days prior o he expiraion day. 1 The VIX mehodology is he propery of he Chicago Board Opions Exchange ("CBOE". CBOE has graned Sandard & Poor s Financial Services LLC ("S&P", a license o use he VIX mehodology o creae he S&P 500 VIX Fuures Index. S&P Dow Jones Indices: S&P VIX Fuures Indices Mehodology

4 S&P 500 Consan Vega (3% and (6% VIX Shor Term Fuures Indices. Each index measures he reurn from a daily rolling long posiion in he firs and second monh VIX fuures conracs and provides a consan prese vega exposure of 3% and 6%, respecively. For cerain indices, a oal reurn version is calculaed which includes ineres accrual on he noional value of he index based on he hree-monh U.S. Treasury rae and reinvesmen ino he index. For a lis of oal reurn indices, please refer o Index Disseminaion. This mehodology was creaed by S&P Dow Jones Indices o achieve he aforemenioned objecive of measuring he underlying ineres of each index governed by his mehodology documen. Any changes o or deviaions from his mehodology are made in he sole judgmen and discreion of S&P Dow Jones Indices so ha he index coninues o achieve is objecive. S&P Dow Jones Indices: S&P VIX Fuures Indices Mehodology 3

5 Index Consrucion Approaches The indices model reurns from long VIX fuures posiions (and/or shor posiions in oher indices, as described in he Inroducion ha are rolled coninuously hroughou he period beween fuures las rade daes. The oal reurn version of he indices incorporaes ineres accrual on he noional value of he indices and reinvesmen ino he indices. Ineres accrues based on he hree-monh U.S. Treasury rae. S&P 500 VIX Shor-Term Fuures Index, S&P 500 VIX M Fuures Index, S&P 500 VIX 3M Fuures Index, and S&P 500 VIX 4M Fuures Index. The indices measure he reurn from a rolling long posiion in wo VIX fuures conracs wih adjacen mauriies. Each index rolls coninuously hroughou each monh from he shorer-erm VIX fuures conrac ino he longererm VIX fuures conrac. Please refer o Table 1 below. S&P 500 VIX Mid-Term Fuures Index and S&P 500 VIX 6M Fuures Index. The indices measure he reurn from a rolling long posiion in four VIX fuures conracs wih adjacen mauriies. Each index rolls coninuously hroughou each monh from he shores-erm conrac ino he longes-erm conrac while mainaining posiions in he oher wo conracs. S&P 500 VIX Fuures Term-Srucure Index. The index measures he reurn from aking a 100% long posiion in he S&P 500 VIX Mid-Term Fuures Index, and a 50% shor posiion in he S&P 500 VIX Shor-Term Fuures Index. The weighs of long and shor posiions are rebalanced daily. S&P 500 VIX Shor Term Fuures Daily Inverse Index. The index measures he performance of he inverse of he S&P 500 VIX Shor-Term Fuures Index. S&P 500 VIX Mid Term Fuures Daily Inverse Index. The index measures he performance of he inverse of he S&P 500 VIX Mid-Term Fuures Index. S&P Emerging Markes Volailiy Shor-Term Fuures Index. The index measures he reurn from a daily rolling long posiion in he firs and second monh VXEEM fuures conracs. The index rolls coninuously hroughou each monh from he firs monh VXEEM fuures conrac ino he second monh VXEEM fuures conrac. S&P 500 VIX Fron Monh Fuures Index. The index measures he reurn from a long posiion in he firs VIX fuures conrac. In he hree rading days prior o he fuures expiraion day, he index rolls o he second monh conrac, wih 1/3 of he porfolio being rolled each day. S&P 500 Consan Vega (3% and (6% VIX Shor Term Fuures Indices. Each index measures he reurn from a daily rolling long posiion in he firs and second monh VIX fuures conracs and provides a consan prese vega exposure of 3% and 6%, respecively. Each index rolls coninuously hroughou he monh o mainain a consan mauriy and adjuss is holdings of VIX fuures o mainain a consan vega exposure. S&P Dow Jones Indices: S&P VIX Fuures Indices Mehodology 4

6 Table 1: Underlying conracs and rolling conracs Index Underlying Conracs Roll Ou (m Roll In (n S&P 500 VIX Shor-Term Fuures Index 1 s, nd 1 s nd S&P 500 VIX M Fuures Index nd, 3 rd nd 3 rd S&P 500 VIX 3M Fuures Index 3 rd, 4 h 3 rd 4 h S&P 500 VIX 4M Fuures Index 4 h, 5 h 4 h 5 h S&P 500 VIX Mid-Term Fuures Index 4 h, 5 h, 6 h, 7 h 4 h 7 h S&P 500 VIX 6M Fuures Index 5 h, 6 h, 7 h, 8 h 5 h 8 h S&P Emerging Markes Volailiy Shor-Term Fuures Index 1 s, nd 1 s nd S&P 500 VIX Fron Monh Fuures Index 1 s 1 s nd S&P 500 Consan Vega (3% and (6% VIX Shor-Term Fuures Indices 1 s, nd 1 s nd Calculaion of he VIX/VXEEM Fuures Index Excess Reurn (ER On any business day of he underlying fuures,, he index ER is calculaed as follows: IndexER = IndexER 1+ ( CDR 1 (1 IndexER -1 = The Index Excess Reurn on he preceding business day, defined as any dae on which he index is calculaed. CDR = Conrac Daily Reurn, as deermined by he following formula: TDWO CDR = 1 ( TDWI 1-1 = The preceding business day. TDWO = Toal Dollar Weigh Obained on, as deermined by he following formula for each of he indices: n TDWO CRWi, 1 * DCRPi, i = m = (3 TDWI -1 = Toal Dollar Weigh Invesed on -1, as deermined by he following formula for each of he indices: n 1 = CRWi, 1 * DCRPi, 1 i = m TDWI (4 CRW i, = Conrac Roll Weigh of he i h VIX/VXEEM Fuures Conrac on dae. DCRP i, = Daily Conrac Reference Price of he i h VIX/VXEEM Fuures Conrac on dae. m n = The erm of he fuures conrac ha is rolled ou on dae. Please refer o Table 1. = The erm of he fuures conrac ha is rolled in on dae. Please refer o Table 1. S&P Dow Jones Indices: S&P VIX Fuures Indices Mehodology 5

7 Conrac Rebalancing For all he indices excep for he S&P 500 VIX Fron Monh Fuures Index, he Roll Period sars afer he close on he Tuesday prior o he monhly CBOE VIX/VXEEM Fuures Selemen Dae (he Wednesday falling 30 calendar days before he S&P 500 opion expiraion for he following monh, and runs hrough he Tuesday prior o he subsequen monh s CBOE VIX/VXEEM Fuures Selemen Dae. Thus, he indices are rolling on a coninual basis. On he business dae afer he curren Roll Period ends he following Roll Period begins. In calculaing he Excess Reurn of each of he indices, he Conrac Roll Weighs (CRW i, of each of he conracs in he index, on a given day,, are deermined as follows: S&P 500 VIX Shor-Term / M / 3M / 4M Fuures Index, S&P Emerging Markes Volailiy Shor-Term Fuures Index CRW m, = 100 * dr d CRW n, = 100 * d dr d d = The oal number of business days in he curren Roll Period beginning wih, and including, he saring CBOE VIX/VXEEM Fuures Selemen Dae and ending wih, bu excluding, he following CBOE VIX/VXEEM Fuures Selemen Dae. The number of business days says consan in cases of a new holiday inroduced inra-monh or an unscheduled marke closure. dr = The oal number of business days wihin a Roll Period beginning wih, and including, he following business day and ending wih, bu excluding, he following CBOE VIX/VXEEM Fuures Selemen Dae. The number of business days includes a new holiday inroduced inra-monh up o he business day proceeding such a holiday. Afer he close on he Tuesday, corresponding o he sar of he Roll Period, all of he weigh is allocaed o he shorer-erm (i.e. m h monh conrac. Then on each subsequen business day a fracion of he m h monh VIX/VXEEM fuures holding is sold and an equal noional amoun of he longer-erm (n h monh VIX/VXEEM fuures is bough. The fracion, or quaniy, is proporional o he number of m h monh VIX fuures conracs as of he previous index roll day, and inversely proporional o he lengh of he curren Roll Period. In his way he iniial posiion in he m h monh conrac is progressively moved o he n h monh one over he course of he monh, unil he following Roll Period sars when he old n h monh VIX/VXEEM fuures conrac becomes he new m h monh VIX/VXEEM fuures conrac and ges sold every day aferward as he process begins again. In addiion o he ransacions described above, he weigh of each index componen is also adjused every day o ensure ha he change in oal dollar exposure for he index is only due o he price change of each conrac and no due o using a differen weigh for a conrac rading a a higher price. S&P 500 VIX Mid-Term / 6M Fuures Index CRW m, = 100 * CRW i, = 100 CRW j, = 100 dr d CRW n, = 100 * d dr d S&P Dow Jones Indices: S&P VIX Fuures Indices Mehodology 6

8 Afer he close on he Tuesday, corresponding o he sar of he Roll Period, an equal weigh is allocaed o he m h, i h, j h and n h monh conracs. Then on each subsequen business day a fracion of he shores erm (i.e. m h monh VIX fuures holding is sold and an equal noional amoun of he longes-erm (i.e. n h monh VIX fuures is bough. The fracion, or quaniy, is proporional o he number of m h monh VIX fuures conracs as of he previous index roll day, and inversely proporional o he lengh of he curren Roll Period. In his way he iniial posiion in he m h monh conrac is progressively moved o he n h monh conrac over he course of he monh, unil he following Roll Period sar when he old i h monh VIX fuures conrac becomes he new m h monh VIX fuures conrac and ges sold every day aferwards as he process begins again. In addiion o he ransacions described above, he weigh of each index componen is also adjused every day o ensure ha he change in oal dollar exposure for he index is only due o he price change of each conrac and no due o using a differen weigh for a conrac rading a a higher price. For he S&P 500 VIX Fron Monh Fuures Index, he long posiion in he firs monh VIX fuures is rolled o he second monh VIX fuures conrac during he hree business days prior o he firs monh expiraion day, wih 1/3 of he porfolio being rolled on each day. Calculaion of he VIX/VXEEM Fuures Index Toal Reurn (TR A oal reurn version of each of he indices is calculaed, which includes ineres accrual on he noional value of he index based on he hree-monh U.S. Treasury rae, as follows: ( + CDR TBR IndexTR = IndexTR (5 IndexTR -1 = The index TR on he preceding business day. CDR = Conrac Daily Reurn as defined in equaion (. TBR = Treasury Bill Reurn, as deermined by he following formula: Dela 91 1 TBR = 1 ( * TBAR Dela = The number of calendar days beween he curren and previous business days. TBAR -1 = The mos recen weekly high discoun rae for 91-day U.S. Treasury bills effecive on he preceding business day. Generally he raes are announced by he U.S. Treasury on each Monday. On Mondays ha are bank holidays, Friday s raes apply. Calculaion of he VIX Fuures Term-Srucure Excess Reurn (ER The Term-Srucure Index is a composie index ha consiss of aking a long posiion on he S&P 500 VIX Mid-Term Fuures Index wih 100% weigh, and a shor posiion on he S&P 500 VIX Shor-Term Fuures Index wih 50% weigh. On any S&P 500 VIX Fuures Business Day,, he index ER is calculaed as follows: IndexER = IndexER 1+ ( ExcessReurn 1 (7 IndexER -1 = The Index Excess Reurn on he preceding business day, defined as any dae on which he index is calculaed, S&P Dow Jones Indices: S&P VIX Fuures Indices Mehodology 7

9 and ExcessReurn = W * ExcessReurn W * ExcessReurn (8 ( Long Long Shor Shor W Long = 100%, is he weigh of he long posiion. ExcessReurn Long = Excess Reurn of he long posiion in S&P 500 VIX Mid-erm Fuures Index. W Shor = 50%, is he weigh of he shor posiion. ExcessReurn Shor = Excess Reurn of he shor posiion in S&P 500 VIX Shor-erm Fuures Index. Calculaion of he VIX Fuures Term-Srucure Toal Reurn (TR A oal reurn version of he index is calculaed, which includes ineres accrual on he noional value of he index based on he hree-monh U.S. Treasury rae, as follows: ( + ExcessReurn TBR IndexTR = IndexTR 1 + IndexTR -1 1 (9 = The index s oal reurn on he preceding business day. ExcessReurn = Excess Reurn, as defined in equaion (8. TBR = Treasury Bill Reurn, as defined in equaion (6. Calculaion of he VIX Shor Term Fuures Daily Inverse Excess Reurn (ER The S&P 500 VIX Shor Term Fuures Daily Inverse Index measures he performance of he inverse of he S&P 500 VIX Shor-Term Fuures Index. On any S&P 500 VIX Fuures Business Day,, he index ER is calculaed as follows: and IndexER = IndexER 1+ ( ExcessReurn 1 (10 IndexER -1 = The Index Excess Reurn on he preceding business day, defined as any dae on which he index is calculaed, Excess Reurn = 1* VIXShorTermFuuresC (11 DR VIXShorTermFuuresCDR = Excess Reurn of he long posiion on he S&P 500 VIX Shor-erm Fuures Index, as calculaed in (. Calculaion of he VIX Shor Term Fuures Daily Inverse Toal Reurn (TR A oal reurn version of he index is calculaed, which includes ineres accrual on he noional value of he index based on he hree-monh U.S. Treasury rae, as follows: ( + ExcessReurn TBR IndexTR = IndexTR (1 IndexTR -1 = The index s oal reurn on he preceding business day. ExcessReurn = Excess Reurn, as defined in equaion (11. TBR = Treasury Bill Reurn, as defined in equaion (6. S&P Dow Jones Indices: S&P VIX Fuures Indices Mehodology 8

10 Calculaion of he VIX Mid Term Fuures Daily Inverse Excess Reurn (ER The S&P 500 VIX Mid Term Fuures Daily Inverse Index measures he performance of he inverse of he S&P 500 VIX Mid-Term Fuures Index. On any S&P 500 VIX Fuures Business Day,, he index ER is calculaed as follows: IndexER = IndexER 1+ ( ExcessReurn 1 (13 IndexER -1 = The Index Excess Reurn on he preceding business day, defined as any dae on which he index is calculaed, and Excess Reurn = 1* VIXMidTermFuuresCDR (14 VIXMidTermFuuresCDR = Excess Reurn of he long posiion on he S&P 500 VIX Mid-erm Fuures Index, as calculaed in (. Calculaion of he VIX Mid Term Fuures Daily Inverse Toal Reurn (TR A oal reurn version of he index is calculaed, which includes ineres accrual on he noional value of he index based on he hree-monh U.S. Treasury rae, as follows: ( + ExcessReurn TBR IndexTR = IndexTR (15 IndexTR -1 = The index s oal reurn on he preceding business day. ExcessReurn = Excess Reurn, as defined in equaion (14. TBR = Treasury Bill Reurn, as defined in equaion (6. Calculaion of he Consan Vega (3% and (6% VIX Shor Term Fuures Excess Reurn (ER The S&P 500 Consan Vega (3% and (6% VIX Shor Term Fuures Indices ER are calculaed as follows: IndexER IndexER + L ( TDWO TDWI 1 (16 = 1 1 TDWO = Toal Dollar Weigh Obained on, as defined in equaion (3 TDWI = Toal Dollar Weigh Invesed on, as defined in equaion (4 = Weigh of he long VIX fuures posiion, calculaed as: L Base Dae m L = * IndexER ( m = Consan vega The base daes of he S&P 500 VIX Fuures indices are December 0, 005 a base values of 100,000. The base dae of he S&P Emerging Markes Volailiy Shor Term Fuures Index is January 17, 01 a a base value of 100,000. S&P Dow Jones Indices: S&P VIX Fuures Indices Mehodology 9

11 Hisorical Assumpions Prior o April 008, no all consecuive firs o sevenh monh VIX fuures were lised. For he purpose of he hisorical S&P 500 VIX Fuures Index series calculaions, he following assumpions have been made in inerpolaing VIX fuures conrac prices from near-by lised conracs. When he i h fuure was no lised, bu i h +1 and i h -1 fuures were lised, he following inerpolaion has been assumed: DCRP ( DCRPi BDays( Ti Ti 1 i, = DCRPi 1, + + 1, DCRPi 1, BDays( Ti + 1 Ti 1 When i h and i h +1 fuures were no lised, bu i h + and i h -1 fuures were lised, he following inerpolaion has been assumed: DCRP BDays( Ti Ti 1 i, = DCRPi 1, + ( DCRPi +, DCRPi 1, BDays( Ti + Ti 1 When i h, i h +1 and i h + fuures were no lised, he following inerpolaion has been assumed: DCRP BDays Ti Ti + BDays( T T ( 1 i, = DCRPi 1, ( DCRPi 1, DCRPi, i 1 i T i = Las Trade Day of he i h VIX Fuures conrac BDays = Number of Business days beween VIX Fuures Las Trade Days S&P Dow Jones Indices: S&P VIX Fuures Indices Mehodology 10

12 Index Governance Index Commiee The Commodiies Index Commiee mainains he S&P VIX Fuures Indices. All members of he Commiee are full-ime professionals a S&P Dow Jones Indices. The Commiee mees quarerly. A each meeing, he Commiee reviews any significan marke evens. In addiion, he Commiee may revise index policy for iming of rebalancings or oher maers. S&P Dow Jones Indices considers informaion abou changes o is Indices and relaed maers o be poenially marke moving and maerial. Therefore, all Index Commiee discussions are confidenial. For informaion on Qualiy Assurance and Inernal Reviews of Mehodology, please refer o S&P Dow Jones Indices Commodiies Indices Policies & Pracices documen locaed on our Web sie, S&P Dow Jones Indices: S&P VIX Fuures Indices Mehodology 11

13 Index Policy Announcemens Announcemens of he daily index values are made afer he marke close each day. Holiday Schedule The index is calculaed daily from 3:00 AM EST o 4:5 PM EST, excluding holidays and weekends. A complee holiday schedule for he year is available a Rebalancing The Index Commiee may change he dae of a given rebalancing for reasons including marke holidays occurring on or around he scheduled rebalancing dae. Any such change will be announced wih proper advance noice where possible. Unscheduled Exchange Closures and New Holidays In siuaions where an exchange is forced o close early due o unforeseen evens, such as compuer or elecric power failures, weaher condiions or oher evens, S&P Dow Jones Indices calculaes he value of he index based on he mos recen prior closing fuures price published by he CBOE Fuures Exchange and he roll for ha day is carried o he nex CBOE business day as described in he Conrac Rebalancing secion. If an exchange fails o open due o unforeseen circumsances, S&P Dow Jones Indices may deermine no o publish he index for ha day. The daily roll percenage is deermined on he day when he index is fully rolled from he firs monh conrac o he second monh conrac, and says consan hroughou he monh. If he index is no calculaed or published due o unforeseen circumsances during he monh, he unrolled poion for ha day is carried o he nex CBOE business day. I does no change he daily roll percenage on he remaining days of he monh. In siuaions where an exchange inroduces a holiday during he monh of he index calculaion he index is no be published and he roll for ha day is carried o he nex CBOE business day as described in he Conrac Rebalancing secion. Please see example provided below: Normal Roll Unscheduled ER Calculaed Weighs Schedule Marke Closure ER Calculaed Weighs % Curren % Nex % Curren % Nex 10/5/ /5/ /6/ /6/ /9/ /9/01 Unscheduled Marke Closure 10/30/ /30/01 Unscheduled Marke Closure 10/31/ /31/ /01/ /01/ /0/ /0/ For more informaion on Unexpeced Exchange Closures, please refer o S&P Dow Jones Indices Commodiies Indices Policies & Pracices documen locaed on our Web sie, S&P Dow Jones Indices: S&P VIX Fuures Indices Mehodology 1

14 Delising of Fuures Conracs If one or more fuures conracs included in one of he indices is no longer lised, S&P Dow Jones Indices may choose o cease publicaion of he effeced index a ha ime. For informaion on Calculaions and Pricing Disrupions, Exper Judgmen, Daa Hierarchy and Error Correcions, please refer o S&P Dow Jones Indices Commodiies Indices Policies & Pracices documen locaed on our Web sie, Conac Informaion For quesions regarding an index, please conac: index_services@spglobal.com. S&P Dow Jones Indices: S&P VIX Fuures Indices Mehodology 13

15 Index Disseminaion Index levels are available hrough S&P Dow Jones Indices Web sie a major quoe vendors (see codes below, numerous invesmen-oriened Web sies, and various prin and elecronic media. Tickers Index Bloomberg Reuers S&P 500 VIX Shor-Term Fuures Index ER (Real-Time SPVXSPID.SPVXSPID S&P 500 VIX Shor-Term Fuures Index ER (End of Day SPVXSP -- S&P 500 VIX Shor-Term Fuures Index TR (Real-Time SPVIXSTR.SPVIXSTR S&P 500 VIX Shor-Term Fuures Index TR (End of Day SPVXSTR -- S&P 500 VIX Mid-Term Fuures Index ER SPVXMP.SPVXMP S&P 500 VIX Mid-Term Fuures Index TR (Real-Time SPVIXMTR.SPVIXMTR S&P 500 VIX Mid-Term Fuures Index TR (End of Day SPVXMTR -- S&P 500 VIX Fuures Term-Srucure Index ER SPVXTSER.SPXVXTSER S&P 500 VIX Fuures Term-Srucure Index TR SPVXTSTR -- S&P 500 VIX M Fuures Index ER SPVIXME.SPVIXME S&P 500 VIX M Fuures Index TR SPVIXMT.SPVIXMT S&P 500 VIX 3M Fuures Index ER SPVIX3ME.SPVIX3ME S&P 500 VIX 3M Fuures Index TR SPVIX3MT.SPVIX3MT S&P 500 VIX 4M Fuures Index ER SPVIX4ME.SPVIX4ME S&P 500 VIX 4M Fuures Index TR SPVIX4MT.SPVIX4MT S&P 500 VIX 6M Fuures Index ER SPVIX6ME.SPVIX6ME S&P 500 VIX 6M Fuures Index TR SPVIX6MT.SPVIX6MT S&P 500 VIX Shor Term Fuures Daily Inverse Index ER SPVXSPI.SPVXSIER S&P 500 VIX Shor Term Fuures Daily Inverse Index TR SPVXSPIT.SPVXSITR S&P 500 VIX Mid Term Fuures Daily Inverse Index ER SPVXMPI.SPVXMPI S&P 500 VIX Mid Term Fuures Daily Inverse Index TR SPVXMPIT.SPVXMPIT S&P Emerging Markes Volailiy Shor Term Fuures Index ER SPVXESP.SPVXESP S&P Emerging Markes Volailiy Shor Term Fuures Index TR SPVXESTR.SPVXESTR S&P 500 VIX Fron Monh Fuures Index ER SPVXFME.SPVXFME S&P 500 VIX Fron Monh Fuures Index TR SPVXFMT.SPVXFMT S&P 500 Consan Vega (3% VIX Shor Term Fuures Index ER SPVXSV3P.SPVXSV3P S&P 500 Consan Vega (6% VIX Shor Term Fuures Index ER SPVXSV6P.SPVXSV6P FTP Index reurns and daa are available via FTP subscripion. For produc informaion, please conac S&P Dow Jones Indices, Web sie For furher informaion, please refer o S&P Dow Jones Indices Web sie a S&P Dow Jones Indices: S&P VIX Fuures Indices Mehodology 14

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