- Four new Credit Volatility Indices (Credit VIX) developed
based on Cboe's proprietary VIX® Index methodology and
S&P Dow Jones Indices' CDX and iTraxx Indices
- Designed to provide a VIX Index-like measure for credit
market volatility
- New indices added to Cboe's growing volatility index suite
CHICAGO, Oct. 3, 2023 /PRNewswire/ -- Cboe Global
Markets, Inc. (Cboe: CBOE), the world's leading derivatives and
securities exchange network, and S&P Dow Jones Indices (S&P
DJI), the world's leading index provider, today announced plans to
launch four new Credit Volatility Indices (Credit VIX) on
Friday, October 13, 2023.
Credit Volatility Indices (Credit VIX)
- CDX/Cboe NA High Yield 1-Month Volatility Index (ticker symbol:
VIXHY)
- CDX/Cboe NA Investment Grade 1-Month Volatility Index (ticker
symbol: VIXIG)
- iTraxx/Cboe Europe Main 1-Month Volatility Index (ticker
symbol: VIXIE)
- iTraxx/Cboe Europe Crossover 1-Month Volatility Index (ticker
symbol: VIXXO)
This new series of indices, jointly developed by Cboe Labs, the
company's product innovation hub, and S&P DJI, are based on
Cboe's proprietary VIX® Index methodology and S&P
DJI's CDX and iTraxx Indices and aim to track the expected level of
volatility across the North American and European credit
markets.
The Cboe Volatility Index® (VIX®) is
considered by many to be the world's premier barometer of U.S.
equity market volatility. The VIX Index is based on real-time
prices of options on the S&P 500® Index (SPX) and is
designed to reflect investors' consensus view of future (30-day)
expected U.S. stock market volatility. The new Credit VIX
Indices aim to provide a comparable benchmark index for the credit
markets, so investors will have a broader view of volatility in
this important additional asset class.
"As we celebrate the 30th anniversary of the VIX
Index this year, we couldn't be more excited to continue our track
record of innovation and collaboration with S&P DJI by
extending the VIX Index methodology into the fixed income space,"
said Rob Hocking, Senior Vice
President and Head of Product Innovation at Cboe. "Interest in this
asset class continues to grow amidst a rising rate environment, and
we expect these indices will help investors better track credit
market volatility, manage corporate credit risk, or implement
yield-enhancement and hedging strategies. With the VIX family of
volatility indices covering equities, credit and various other
asset classes, investors can also look across our diverse product
set to compare trends and correlations across different markets in
a more consistent manner."
"This launch further strengthens our ongoing collaboration with
Cboe while providing additional insights into the level of expected
volatility for the fixed income marketplace," said Frans Scheepers, Head of Fixed Income, Currency
and Commodity Products at S&P Dow Jones Indices. "The Credit
VIX Indices are expected to provide new clear signals on bond
market sentiment, and act as a new barometer of corporate credit
risk in North America and
Europe. Designed to track the
level of uncertainty in global credit markets over various time
horizons, this new suite of indices is expected to allow market
participants to better track credit market volatility and manage
corporate credit risk."
Similar to the VIX Index, the new Credit VIX Indices are
designed to track near-term uncertainty around corporate credit
risk by measuring the market's expectation of how volatile credit
default swap (CDS) index spreads will be over the next 30 days.
Options with varying strikes convey different information about the
expected future movement in credit spreads; the Credit VIX
Methodology is designed to extract information from available
options strikes and distill it to one number that represents a
consensus view on near-term CDS index spread volatility.
Cboe's planned launch of the new Credit VIX Indices adds to its
suite of forward-looking option-implied volatility indices. The new
indices follow Cboe's recent launch of the Cboe 1-Day Volatility
Index (VIX1D) and the Cboe S&P 500 Dispersion
Index (DSPX), which were also developed in collaboration with
S&P DJI. To learn more about Cboe Labs, visit
https://www.cboe.com/labs/.
Cboe Media
Contact
|
|
S&P DJI Media
Contact
|
|
Cboe Analyst
Contact
|
Angela
Tu
|
|
Alyssa Augustyn
|
|
Kenneth Hill,
CFA
|
+1-646-856-8734
|
|
+1-773-919-4732
|
|
+1-312-786-7559
|
atu@cboe.com
|
|
alyssa.augustyn@spglobal.com
|
|
khill@cboe.com
|
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.
About S&P Dow Jones Indices
S&P Dow Jones Indices is the largest global resource for
essential index-based concepts, data and research, and home to
iconic financial market indicators, such as the S&P
500® and the Dow Jones Industrial
Average®. More assets are invested in products based on
our indices than products based on indices from any other provider
in the world. Since Charles Dow invented the first index
in 1884, S&P DJI has been innovating and developing indices
across the spectrum of asset classes helping to define the way
investors measure and trade the markets.
S&P Dow Jones Indices is a division of S&P Global
(NYSE: SPGI), which provides essential intelligence for
individuals, companies, and governments to make decisions with
confidence. For more information about S&P Dow Jones Indices,
please visit https://www.spglobal.com/spdji/en/.
CBOE-OE
CBOE-O
Cboe®, Cboe Global Markets®, Cboe
Volatility Index®, and (VIX®) are registered
trademarks of Cboe Exchange, Inc. The S&P 500 Index, CDX
Indices and iTraxx Indices are proprietary to S&P Dow Jones
Indices LLC. S&P®, S&P
500®, DSPX™, DSPBX™, S&P
100®, SPX®, SPY®, Select
Sector®, The 500, US 500, CDX and iTraxx are trademarks
of Standard & Poor's Financial Services, LLC and have been
licensed for use by Cboe Exchange, Inc. Cboe Exchange's derivatives
on the S&P DJI's indices, Credit VIX, Cboe 1-Day Volatility
Index (VIX1D), the Cboe S&P 500 Dispersion Index are not
sponsored, endorsed, marketed or promoted by S&P Dow Jones
Indices and S&P Dow Jones Indices does not have any liability
with respect thereto. All other trademarks and service marks
are the property of their respective owners. © 2022 Cboe Exchange,
Inc. All rights reserved.
Cboe Global Markets, Inc. and its affiliates do not recommend or
make any representation as to possible benefits from any
securities, futures or investments, or third-party products or
services. Cboe Global Markets, Inc. is not affiliated with S&P.
Investors should undertake their own due diligence regarding their
securities, futures and investment practices. This press release
speaks only as of this date. Cboe disclaims any duty to update the
information herein.
The chart in the press release is included for illustrative
purposes only. All information prior to an index launch date is
back-tested hypothetical data, not actual performance, and is based
on the index methodology in effect on the index launch date.
Back-tested data is created with hindsight, and actual
returns may differ significantly from back-tested returns.
Past performance is not an indication or guarantee of future
results.
Options involve risk and are not suitable for all investors.
Prior to buying or selling an option, a person must receive a copy
of Characteristics and Risks of Standardized Options (ODD). Copies
of the ODD are available from your broker or from The Options
Clearing Corporation, 125 S. Franklin
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IL 60606 (investorservices@theocc.com). The information in
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returns.
Nothing in this announcement should be considered a solicitation
to buy or an offer to sell any securities or futures in any
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Investors must consult their tax adviser or legal counsel for
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Cboe Global Markets, Inc. and its affiliates, to the maximum
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Cautionary Statements Regarding Forward-Looking
Information
This press release contains forward-looking statements within
the meaning of the Private Securities Litigation Reform Act of 1995
that involve a number of risks and uncertainties. You can identify
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SOURCE Cboe Global Markets, Inc.