Options Observer: Trade ATM Volatility in an Accessible Size with VOLQ Futures

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AT-A-GLANCE

Nasdaq-100 Volatility Index (VOLQ) futures give market participants trading access to at-the-money (ATM) volatility of the Nasdaq-100 index, without the requirement for continuous hedging of Greek exposures associated with options positions.  The VOLQ index underlying the futures approaches volatility measurement through a calculation based on the market prices of 32 Nasdaq-100 cash index options nearest to the ATM level. 

Generally, one can expect that VOLQ futures will move inversely to the Nasdaq-100 index, given the presences of negative skew in equities markets. Below is a sampling of market movements in NQ futures relative to the VOLQ index over a week in January 2022.  

Source: Bloomberg

• CME Group implemented a change to the VOLQ futures multiplier, from $1,000 to $100, on January 10. VOLQ futures are now more approachable to a wider variety of market participants, and traders can more easily hedge exposure to at-the-money volatility of the Nasdaq-100 index in precise increments.    
• Over 600 contracts traded during the first week since this change was implemented, a new record for the product. 
• Tick size for the product is .05 for outright contracts and .01 for calendar spreads.  The dollar value of these minimum tick widths are $5 and $1, respectively. 
• At current levels of the VOLQ index (25.00), the notional value of one VOLQ futures contract is roughly $2,500. 
• Margin offsets are available for traders expressing hedged views relative to other CME Group Equity Index futures and options products.
• Featured image provided by CME Group

This post contains sponsored advertising content. This content is for informational purposes only and not intended to be investing advice.