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CBOE Dynamic Short VIX Futures

Index level: 2651.84 as of 12/14/2017

Main characteristics

Bloomberg code DSVIX
Inception date 08/31/2012
Return type Total Return
Currency USD
Calculated by CBOE

Objective

The Dynamic Short VIX Futures Index is a dynamic allocation between a hypothetical money market instrument and a dynamic strategy (the “Strategy”) designed to provide efficient short exposure to the first two nearby futures contracts on the VIX Index.

Mechanism

The Index tracks the performance of a hypothetical money market instrument in USD and a Strategy taking short positions on the 1st to 2nd VIX futures contracts.

When the VIX Future Term structure is in contango, the index hypothetically rolls short term futures to potentially generate a carry gain

           

When the VIX Future Term structure is in backwardation, the index doesn’t roll, which has the potential to avoid losses.

 


The CBOE Dynamic Short VIX Futures Index began publishing on August 31, 2012. Therefore, all data for the Index for the period prior to August 31, 2012 represent CBOE application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to August 31, 2012 consistent with the Index methodology. Results prior to August 31, 2012 may have been different had the Index actually been in existence. The Dynamic Short VIX Futures Index is the exclusive property of SG. SG has contracted with the Chicago Board Options Exchange Incorporated (“CBOE”) to maintain and calculate the Index. The VIX® is the property of the Chicago Board Options Exchange, Incorporated. The VIX® Index have been licensed for use by SG in connection with the Index. Neither CBOE nor any of its affiliates shall have any liability for any errors or omissions in calculating the Index.

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