CBOE Now Disseminating Calculations on Two New Volatility Benchmarks Based on CME Group Exchange Products

CHICAGO, Sept. 20 /PRNewswire/ -- The Chicago Board Options Exchange (CBOE) announced that it has begun disseminating calculations on two new volatility benchmark indexes based on options on futures contracts presently listed on CME Group exchanges. The CBOE/NYMEX WTI Volatility Index (ticker symbol OIV) and the CBOE/COMEX Gold Volatility Index (ticker symbol GVX) are the first in a series of new volatility benchmark indexes to be created as a result of the licensing agreement between CBOE and CME that was first announced in March 2010 (www.cboe.com/AboutCBOE/PressReleases.aspx).

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CBOE is calculating the new volatility benchmark indexes by applying its established CBOE Volatility Index® (VIX®) methodology to the prices from existing options on futures contracts on gold and crude oil products at CME Group exchanges.  CBOE is also the initial disseminator of the price data for each of the volatility benchmark indexes.

CBOE, which introduced the CBOE Volatility Index (VIX) methodology in 1993 as the first measure of volatility in the overall market, retains ownership of both the methodology and the two new volatility indexes that will be used by CME Group. The agreement also grants CME Group a worldwide license to trade futures and options on futures products based on the new indexes being calculated by CBOE.  At this time, these volatility indexes are benchmarks with tradable products available in the future.    

"CBOE's VIX and volatility-related products are increasingly being recognized as an emerging new asset class in the financial sector.  CBOE continues to broaden the appeal of volatility trading by creating innovative new products," said CBOE Executive Vice President Richard DuFour.  "These two new volatility benchmark indexes mark the first time that CBOE has applied its VIX methodology to non-CBOE product data, and further expands CBOE's VIX methodology and product line into highly active commodity sectors."

"CBOE's VIX methodology is the industry standard in gauging market sentiment," said Scot Warren, CME Group's Managing Director of Equity Index Products and Services.  "By combining this methodology with our option pricing, we will develop futures contracts that will allow our global customers to more efficiently and effectively hedge their exposure to market volatility across a wide range of asset classes."

Chicago Board Options Exchange (CBOE), the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education. CBOE offers equity, index and ETF options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options on the CBOE Volatility Index (VIX). 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's Hybrid Trading System incorporates electronic and open-outcry trading, enabling customers to choose their trading method.  CBOE's Hybrid is powered by CBOEdirect, a proprietary, state-of-the-art electronic platform that also supports the CBOE Futures Exchange (CFE), CBOE Stock Exchange (CBSX) and OneChicago. CBOE is home to the world-renowned Options Institute and www.cboe.com, named "Best of the Web" for options information and education.

CBOE, a wholly-owned subsidiary of CBOE Holdings, Inc. (Nasdaq: CBOE), is regulated by the Securities and Exchange Commission (SEC), with all trades cleared by the AAA-rated Options Clearing Corporation (OCC).

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CBOE®, Chicago Board Options Exchange®, CBSX®, CBOE Stock Exchange®, CFE®, CBOEdirect®, Hybrid®, CBOE Volatility Index®, and VIX® are registered trademarks, and CBOE Futures Exchange(SM) and SPX(SM) are servicemarks of Chicago Board Options Exchange, Incorporated. Standard & Poor's®, S&P®, S&P 100®, S&P 500®, Standard and Poor's Depositary Receipts®, and SPDR® are registered trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Chicago Board Options Exchange, Incorporated.  NYMEX®, COMEX® and WTITM are trademarks of CME Group, Inc.

SOURCE Chicago Board Options Exchange