CHICAGO--Inspired by the popularity of its index on stock-market volatility, the owner of the Chicago Board Options Exchange announced Wednesday that it will soon publish a first-of-its-kind index tied to U.S. interest-rate volatility. CBOE Holdings Inc. (CBOE) will publish a daily reading on swap rate volatility, to be called the SRVX Index, beginning Monday after 4 p.m. EDT. The index is "designed to offer fixed income options traders and portfolio managers a standardized and transparent measure of interest rate swap volatility," CBOE said in a news release. Monday's launch comes at a time when market participants expect interest-rate markets will be especially vulnerable to sudden price swings. Sunday's Greek government elections may decide whether the country will remain a member of Europe's monetary bloc. Also, investors have become increasingly anxious about credit conditions in Spain and Italy, and they fear that the U.S. economy is slowing down. Timing of the index launch is not connected to the Greek elections or other market-moving events, said CBOE spokesman Gary Compton. The index is based on one- and 10-year U.S. dollar-denominated swaps, which CBOE said are among the most actively traded contracts in the $14.5 trillion over-the-counter interest-rate-options market. CBOE will calculate the index based on data provided by major interdealer brokers in the swap option market, the news release said. The new benchmark is modeled after the CBOE Volaility Index, or VIX, that measures potential stock market moves based on option prices for the Standard & Poor's 500. CBOE does not currently plan to list futures or options tied to the new interest-rate-volatility index, said Mr. Compton. CBOE lists futures and options on the VIX, which was created by the exchange in 1993. Write to Howard Packowitz at howard.packowitz@dowjones.com
