“I am trying to study the term structure of volatility. Volatility traders tend to talk about this a lot. Could we please get the VIX futures prices for front month, 3 month,1 year and 2 year VIX? These should be freely available in Bloomberg. Any insights that you may have about the term structure of volatility and its relevance to markets would be appreciated. Thank you”

Eoin Treacy's view Thank you for this question which others may also find of interest. There are 9 VIX futures traded on the CBOE. They are monthly contracts and run from February to September 2012. There are no 1-year or 2-year futures that I am aware of. I have added the 3-month and 6-month charts to the Chart Library. However, these are fairly esoteric requests and we are charged for each data packet we download. Therefore while I have added them to the Chart Library, if they are not being used by subscribers I will remove them, three months from now.

One could argue that there is potential for the spread between near and far dated volatility contracts to offer an insight into how market participants view upside or downside probabilities. However, outside of those who actually trade these spreads, I don't see how predicative they are. They appear to be coincident rather than lead indicators