VIX Futures
MacroVar provides historical data and statistical analysis of VIX Futures. The dynamics of the shape of the VIX futures curve are monitored daily and is one of the most important indicators used in MacroVar Risk management models. MacroVar models and database hold VIX futures data since 2004.
VIX Futures Data & Analytics
VIX futures active contracts
| VIX Contract | Symbol | Last | 1d % | 1w % | 1m % | Z-score | |
|---|---|---|---|---|---|---|---|
| S&P 500 VIX Nov '22 Futures | VIXF.VIX22 | 25.03 | 0 | 0 | 0 | 0 | |
| S&P 500 VIX December 2022 Futures | VIXF.VIZ22 | 25.03 | 0 | 0 | 0 | 0 | |
| S&P 500 VIX Jan '23 Futures | VIXF.VIF23 | 25.03 | 0 | 0 | 0 | 0 | |
| S&P 500 VIX Feb '23 Futures | VIXF.VIG23 | 25.03 | 0 | 0 | 0 | 0 | |
| S&P 500 VIX Mar '23 Futures | VIXF.VIH23 | 25.03 | 0 | 0 | 0 | 0 | |
| S&P 500 VIX April 2023 Futures | VIXF.VIJ23 | 25.03 | 0 | 0 | 0 | 0 | |
| S&P 500 VIX May 2023 Futures | VIXF.VIK23 | 25.03 | 0 | 0 | 0 | 0 | |
| S&P 500 VIX June 2023 Futures | VIXF.VIM23 | 25.03 | 0 | 0 | 0 | 0 | |
| EURIBOR 1 Week | EURIBOR.1week | 1.403 | 0.36 | 0.79 | 96.77 | 0 | |
| EURIBOR 1 Month | EURIBOR.1month | 1.686 | 11.36 | 19.32 | 52.03 | 0 | |
| EURIBOR 3 Months | EURIBOR.3months | 2.046 | 3.6 | 12.36 | 29.66 | 0 | |
| EURIBOR 6 Months | EURIBOR.6months | 2.479 | 3.03 | 5.85 | 17.88 | 0 | |
| EURIBOR 12 Months | EURIBOR.12months | 2.479 | 3.03 | 5.85 | 17.88 | 0 | |
| ESTER rate | ESTER | 1.4 | 0.14 | -0.14 | 0 | 0 | |
| BOE interest rate | uk.interestrate |
VIX Indicator
Market participants use extreme levels of the VIX as a contrarian market timing indicator for the equity market. High levels of VIX are usually considered as a capitulation signal that indicates under-valuation of stock prices and thus, potential buying opportunities. Conversely, abnormal low VIX levels indicate potentially excessivecomplacency and thus, may signal a market correction.
MacroVar monitors the dynaimcs of the VIX term structure in it’s Risk Managementmodels. Learn more on the VIX term structure model.
VIX Futures Data
The CBOE Futures Exchange (CFE) launched VIX futures in March 2004. During the first two years of trading of the VIX futures contracts (until March 8, 2006) there were four contracts listed. The CFE gradually increased the listed contracts series from four to six on March 9, 2006, to seven on April 24, 2006, to nine on October 23, 2006 and finally to ten on April 22, 2008.