CBOE Introduces Short-Term Volatility Index
- VXST Measures Short-Term Volatility, Complements VIX
- VXST Weeklys Futures and Options to Follow
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: VXSTSM). CBOE began disseminating values for the new Short-Term Volatility Index today.
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 WeeklysSM 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.
A complete overview of the VXST Index, including an educational video, can be found at http://www.cboe.com/VXST.
For remarks by CBOE CEO Edward T. Tilly about VXST and other announcements presented at the CBOE RMC Europe, see http://www.cboe.com/AboutCBOE/mediahub/speeches/RMCTilly.pdf.
CBOE is the home of volatility trading. An innovator in the volatility space and leading creator of measures that track market volatility, CBOE currently publishes data on more than two dozen volatility-related benchmarks and strategies, including indexes that track broad-based indexes, sector and commodity-related ETFs, individual equities and others. Additional information on CBOE's volatility products can be found at http://www.cboe.com/Volatility
About CBOE Holdings
CBOE Holdings, Inc. (NASDAQ: CBOE) is the holding company for Chicago Board Options Exchange (CBOE), the 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 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®, Chicago Board Options Exchange®, CFE®, FLEX®, LEAPS®, CBOE Volatility Index® and VIX® are registered trademarks, and BuyWriteSM, BXMSM, Execute SuccessSM, SPXSM, The Options InstituteSM and VXSTSM are service marks of Chicago Board Options Exchange, Incorporated (CBOE). Standard & Poor's®, S&P® and S&P 500® are registered trademarks of Standard & Poor's Financial Services, LLC and have been licensed for use by CBOE and CFE.