$VIX Volatility Index ~ New Methodology $VXO Volatility Index ~ Original Formula INDX $VXB Volatility Index ~ Jumbo INDX $VXD Volatility Index ~ DJIA INDX $VXN Volatility Index ~ Nasdaq INDX $VXS Volatility Index ~ CBOE Options Settlement $QQV Volatility Index ~ Nasdaq 100 Trust $RVX Volatility Index ~ Russell 2000
$CPC CBOE Options Total Put/Call Ratio INDX $CPCE CBOE Options Equity Put/Call Ratio INDX $CPCI CBOE Options Index Put/Call Ratio INDX
CBOE INTRODUCES NEW VOLATILITY INDEXES; Two Based on the Popular CBOE Volatility Index (VIX), Re-launches New Version of CBOE S&P 500 VARB-X Strategy Benchmark
CHICAGO, November 12, 2007 - The Chicago Board Options Exchange (CBOE) today announced that it will publish three new benchmark indexes, the CBOE S&P 500 3-Month Volatility Index (VXV), the CBOE VIX Premium Strategy Index (VPD), and the CBOE Capped VIX Premium Strategy Index (VPN). In addition, CBOE will re-launch a new version of its CBOE S&P 500 VARB-X Strategy Benchmark (VTY).
Introduced in 1993, the CBOE Volatility Index, "VIX", is widely recognized as the premier benchmark of stock market volatility and investor sentiment, often referred to as the market's "fear gauge." In 2003, CBOE updated the VIX methodology, paving the way for exchange-listed products, and establishing volatility as a new, tradable asset class. Today, VIX options and VIX futures are among the most actively traded contracts at CBOE and the CBOE Futures Exchange (CFE), averaging close to 140,000 contracts combined per day.
Today's launch significantly expands the suite of CBOE's and S&P's volatility benchmarks. These new indexes quantify the potential returns of short volatility strategies or measure the market's expectation of 30-day volatility implicit in the prices of near-term index options. They will be leading barometers of investor sentiment and market volatility relating to the S&P 500 Index.
"With this year's rise in volatility and the steady growth of trading in CBOE's volatility complex, we are proud to offer new additions to our expanding family of volatility products. These new indexes will provide investors with a unique opportunity intent on capturing the 'volatility premium', said CBOE Chairman and CEO William J. Brodsky. "As a leader in product innovation, CBOE's success in creating a new asset class with volatility has lead to real value and real options for investors."
"Volatility has shown itself to be one of the most important concepts in understanding and managing risk," said Robert Shakotko, Managing Director of Portfolio Services at Standard & Poor's. "Standard & Poor's has made index development in this area a priority, and we are proud to be working with CBOE, our longtime exchange partner, to bring these new indices to the market."
The new indexes may be described as the following:
CBOE S&P 500 3-Month Volatility Index (VXV) Like VIX, the CBOE S&P 500 3-Month Volatility Index measures the market's expectation of future volatility conveyed by S&P 500 Index (SPX) option prices. This new index reflects three-month SPX implied volatility rather than the 1-month implied volatility measured by VIX. Investors will be able to use VIX and the CBOE S&P 500 3-Month Volatility Index to track the movement of the SPX volatility term structure in the first four listed contract months. VXV will be calculated every 15 seconds throughout the trading day.
CBOE VIX Premium Strategy Index (VPD) This index tracks the value of a portfolio that overlays a sequence of short one-month VIX futures on a money market account. The VIX futures are held until expiration and new VIX futures are then sold. The index will be calculated once per day after the close of trading.
CBOE Capped VIX Premium Strategy Index (VPN)
This index tracks the performance of a strategy that systematically sells 1-month VIX futures, capped by the purchase of a VIX call option. The index will be calculated once per day after the close of trading.
The CBOE S&P 500 VARB-XTM ("Volatility ARBitrage") Strategy Benchmark (VTY)
This new version of the VARB-X Benchmark capitalizes on the historical spread between implied and realized volatility by holding a rolling short position in three-month variance futures, subject to a set of objective risk-limiting guidelines. This index will be calculated once per day after the close of trading.
News 
Market Data 
Discover 
