CHICAGO, May 23, 2013 /PRNewswire/ -- Chicago Board Options Exchange (CBOE) and CME Group (CME) have announced that, as part of an agreement between the exchanges, CBOE today began disseminating values for a new volatility benchmark index using futures options data on CME Group's 10-year U.S. Treasury note contract. The CBOE/CBOT 10-year U.S. Treasury Note Volatility IndexSM (ticker symbol VXTNYSM) is the first volatility index based on U.S. government debt to be calculated and disseminated by CBOE.
The index was developed with significant contributions from Antonio Mele and Yoshiki Obayashi of Applied Academics LLC.
CBOE and CBOE Futures Exchange (CFE) plan to offer trading on the 10-year Treasury Volatility Index in the future.
"We're pleased to introduce an interest rate volatility index based on one of CME Group's most active interest rate options products," CBOE Executive Vice President Richard DuFour said. "Interest rate derivatives also represent the largest asset class in the over-the-counter market. The addition of the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index to CBOE's already extensive list of volatility-related indexes broadens and diversifies the scope of asset classes on which users can measure volatility."
"CBOE's VIX index is a world-renowned measure of implied volatility, and we are very pleased to collaborate with CBOE on the development of an index based on CME Group's highly liquid 10-year U.S. Treasury note option contracts," said Derek Sammann, CME Group's Senior Managing Director of Interest Rate and FX Products. "We believe this CBOE/CBOT Volatility Index will serve as a strong benchmark to help our global customers manage their exposure to market volatility."
The value of the Index is derived from applying the proprietary CBOE Volatility Index (VIX) methodology to futures options data from CME Group's 10-year U.S. Treasury note contract. In 2012, more than 56 million 10-year U.S. Treasury Note futures options contracts changed hands at CME Group.
CBOE, the leading exchange in the volatility space and the home of volatility benchmarks, strategies and products, now calculates and disseminates benchmark data on over two dozen different volatility-related products, including the widely followed CBOE Volatility Index® (VIX®), the leading barometer of investor sentiment and stock market volatility. In addition to its suite of benchmarks and strategies, volatility options and futures contracts on VIX can be traded at CBOE and CFE, respectively.
For more information on the new volatility index, see www.cboe.com/VXTYN.
About CBOE Holdings, Inc.
CBOE Holdings, Inc. (NASDAQ: CBOE) is the holding company for Chicago Board Options Exchange (CBOE), CBOE Futures Exchange (CFE) and other subsidiaries. CBOE, the largest U.S. options exchange and creator of listed options, continues to set the bar for options and volatility trading through product innovation, trading technology and investor education. CBOE Holdings offers equity, index and ETP options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options and futures on the CBOE Volatility Index (the VIX Index). Other products engineered by CBOE include equity options, security index options, LEAPS options, FLEX options, and benchmark products such as the CBOE S&P 500 BuyWrite Index (BXM). CBOE Holdings is home to the world-renowned Options Institute and www.cboe.com, the go-to place for options and volatility trading resources. CBOE is regulated by the Securities and Exchange Commission (SEC), with all trades cleared by the OCC.
About CME Group As the world's leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com) is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through its CME Globex® electronic trading platform and its trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the world's leading central counterparty clearing providers, which offers clearing and settlement services across asset classes for exchange-traded contracts and over-the-counter derivatives transactions. These products and services ensure that businesses everywhere can substantially mitigate counterparty credit risk.
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SOURCE Chicago Board Options Exchange; CME Group