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CBOE Introduces Short-Term Volatility Index

Stocks in this article: CBOE

CHICAGO and SINTRA, Portugal, Oct. 1, 2013 /PRNewswire/ -- Chicago Board Options Exchange, Incorporated ® (CBOE ®) today announced at the CBOE Risk Management Conference Europe in Sintra, Portugal that it has created a new benchmark volatility index – the CBOE S&P 500 Short-Term Volatility Index (ticker symbol: VXST SM).  CBOE began disseminating values for the new Short-Term Volatility Index today.

(Logo: http://photos.prnewswire.com/prnh/20121022/MM97794LOGO-b)

Like CBOE's flagship VIX ® Index, VXST reflects investors' consensus view of expected stock market volatility. Whereas VIX has a 30-day horizon, VXST looks out just nine days, making it particularly responsive to changes in short-term volatility triggered by market events, such as earnings, government reports and Fed announcements. 

Plans call for CBOE and CBOE Futures Exchange, LLC (CFE ®) to introduce VXST Weeklys options and futures. The launch dates for these tradable VXST products are yet to be determined, pending regulatory approval. 

"We are excited to tap into our expertise in measuring and trading volatility to develop the short-term volatility space.  As we learned with VIX futures and options, it all begins with the utility of the Index," said Edward T. Tilly, CBOE Chief Executive Officer. "VXST is designed to complement VIX.  Together the two indexes provide an unrivaled picture of expected market volatility. We look forward to drawing on our experience in developing SPX Weeklys SM to create VXST Weeklys futures and options." 

CBOE pioneered the Weeklys options product with the launch of weekly options on the S&P 500 ® Index (SPXW) in 2005. This year, average daily volume through September in SPXW has reached nearly 200,000 contracts, an increase of more than 125 percent over last year's record pace.

Initially, CBOE will disseminate the VXST Index value once daily at the end of each trading day at 3:15 p.m. ( Chicago time).  Plans call for disseminating VXST Index values every 15 seconds during the trading day by late this year. VXST Index values will be available on CBOE's website at http://www.cboe.com/VXST and through quote data vendors. 

Like the VIX Index, VXST is calculated using CBOE's proprietary VIX methodology, but whereas VIX is calculated using SPX monthly options, VXST is calculated using S&P 500 options that expire every Friday, including CBOE's highly successful SPXW options.

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