CME Group Announces Publication and Dissemination of Volatility Indexes for Corn and Soybeans
CHICAGO, June 2, 2011 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced it will publish volatility indexes for CBOT Corn and Soybeans beginning Monday, June 6. CME Group currently publishes and disseminates the CBOE/NYMEX WTI Crude Oil Volatility Index (OIV) and the CBOE/COMEX Gold Volatility Index (GVX). The CME volatility index calculations are performed by the Chicago Board Options Exchange (CBOE) based on the methodology developed for the CBOE Volatility Index®, or VIX®. CBOT Corn and Soybean futures and options contracts are listed with, and subject to, the rules and regulations of CBOT.
"Growing global demand for food and tight supplies in the physical grain markets have led to increased volatility in corn and soybeans this year," said Tim Andriesen , Managing Director, Agricultural Commodities and Alternative Investments, CME Group. "By making volatility index data available for CBOT Corn and Soybeans, we're providing our customers with an effective tool to help them monitor volatility in the agricultural commodities markets."
The indexes use CBOT's real-time options market bid/ask quotes on CME Globex® as inputs and will offer direct, effective ways to measure market expectations of near-term, implied price volatility of the underlying assets. Corn VIX and Soybean VIX data will measure expected implied volatility over the next 30-day period, providing market participants with a direct way to track volatility in the underlying assets.
The CBOE/CBOT Corn Volatility Index and CBOE/CBOT Soybean Volatility Index are being created under a seven-year licensing agreement with CBOE, which gives CME Group worldwide rights to disseminate values on volatility indexes on a variety of asset classes.
Beginning Monday, June 6, these new volatility index values will be available on www.cmegroup.com/vix and via the CME Group quote vendor systems.
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 for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort®. These products and services ensure that businesses everywhere can substantially mitigate counterparty credit risk in both listed and over-the-counter derivatives markets.
CME Group is a trademark of CME Group Inc. The Globe Logo, CME, Globex and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc. CBOT and the Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago, Inc. NYMEX, New York Mercantile Exchange and ClearPort are registered trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other trademarks are the property of their respective owners.
CBOE®, Chicago Board Options Exchange®, CBOE Volatility Index® and VIX® are registered trademarks of Chicago Board Options Exchange, Incorporated.
SOURCE CME Group
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