- Cboe 1-Day Volatility IndexSM (VIX1DSM)
further expands Cboe's volatility index suite
- New index designed to reflect the current day's expected market
volatility
- Cboe marks 30th
anniversary of VIX Index launch in April
1993
CHICAGO, April 24,
2023 /PRNewswire/ -- Cboe Global Markets, Inc. (Cboe:
CBOE), the world's leading derivatives and securities exchange
network, today announced the launch of the Cboe 1-Day Volatility
Index (VIX1D).
Developed by Cboe Labs, the company's in-house innovation hub,
the VIX1D Index seeks to measure the expected volatility of the
S&P 500® Index over the current trading day (today); in other
words, single trading day volatility. Similar to the Cboe
Volatility Index® (VIX® Index), the VIX1D Index estimates expected
volatility by aggregating the weighted prices of P.M.-settled SPX
(SPXW) options with one- to zero- day expirations over a wide
range of strike prices. Specifically, the prices used to calculate
VIX1D Index values are midpoints of real-time, SPXW option bid/ask
price quotations.
"For decades, market participants looking to understand, measure
and manage volatility have turned to Cboe. We are committed to
continuing to innovate in the volatility space and we believe the
VIX1D Index will be a complementary addition for market
participants seeking to better understand current equity market
volatility or as they employ different trading strategies," said
Ed Tilly, Chairman of the Board and
CEO of Cboe Global Markets. "The development of the VIX1D Index is
another example of the strength of Cboe and S&P Dow Jones
Indices' long-standing relationship, highlighting the companies'
shared commitment to drive innovation through rigorous data
analysis and market solutions."
Launched 30 years after the original Cboe Volatility Index®
(VIX® Index) debuted in April 1993,
the VIX1D Index is a natural complement to the 30-day VIX Index and
Cboe's entire VIX Index suite, including the VIX 1-year, VIX
6-month, VIX 3-month and VIX 9-day Indices. The new, non-tradable
1-day volatility index is designed to provide real-time
information about the expected volatility of the current trading
day (today).
The VIX1D Index and the VIX Index use a similar methodology to
estimate expected volatility. The VIX1D Index has been designed to
account for the compressed measurement of expected volatility over
a single day and differs from the VIX Index in ways to account for
this. By its nature, the VIX1D Index is expected to generally
behave in a more volatile manner than indices that measure a longer
time horizon of expected volatility. This is because news events
that affect the S&P 500 Index on a given day are expected to
have a larger impact in short-dated SPX options than in longer
dated options when market participants have more time to react to
the news event.
For example, amid the recent collapse of two U.S. banks between
March 8, 2023, and March 13, 2023, the VIX Index rose from 19.11 to
26.52 (38.8%) while the backtested VIX1D Index rose from 15.30 to
40.19 (162.7%) over this period. On days of heightened
volatility, the VIX1D Index is expected to reflect short-term
impacts, whereas by its design, the VIX Index is expected to
continue to reflect expected volatility 30 days out.
"Cboe revolutionized investing with the creation of the VIX
Index in 1993 and has been at the forefront of the volatility space
ever since. As such, when we saw a market need to develop a
shorter-term measurement of expected volatility, we embodied that
same pioneering spirit to design the VIX1D Index," said
Rob Hocking, Senior Vice President
and Head of Product Innovation. "We believe the VIX1D Index will be
a useful tool for the growing group of investors utilizing same-day
options trading strategies to better understand the daily market
dynamics."
VIX1D Index data is available on Bloomberg and other data
vendors under the ticker VIX1D. Further information, including the
index's methodology can be found at www.cboe.com/indices.
The VIX1D Index is the second major initiative brought to market
by Cboe Labs after announcing plans to develop the Cboe
S&P 500 Dispersion Index at Cboe's Risk Management Conference
in October. Learn more about the company's cutting-edge innovation
hub and how it brings together financial market professionals and
academic experts to create solutions for real-world problems on its
new webpage: www.cboe.com/labs.
About Cboe Global Markets, Inc.
Cboe Global Markets (Cboe: CBOE), the world's leading
derivatives and securities exchange network, delivers cutting-edge
trading, clearing and investment solutions to people around the
world. Cboe provides trading solutions and products in multiple
asset classes, including equities, derivatives, FX, and digital
assets, across North America,
Europe and Asia Pacific. Above all, we are committed to
building a trusted, inclusive global marketplace that enables
people to pursue a sustainable financial future. To learn more
about the Exchange for the World Stage, visit www.cboe.com.
Media
Contacts
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Tim
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Kenneth Hill,
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+1-646-856-8734
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+44 (0)
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1-312-786-7559
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atu@cboe.com
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tcave@cboe.com
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khill@cboe.com
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CBOE-C
CBOE-OE
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SOURCE Cboe Global Markets, Inc.