CBOE Introduces Short-Term Volatility Index
CHICAGO and SINTRA, Portugal, Oct. 1, 2013
- 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: 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.
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
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 BuyWrite(SM), BXM(SM), Execute
Success(SM), SPX(SM), The Options Institute(SM) and VXST(SM) 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.
Contact: Media, Gail Osten, +1-312-786-7123, email@example.com, or Gary Compton,
+1-312-786-7612, firstname.lastname@example.org; or Analysts, Debbie Koopman,
Press spacebar to pause and continue. Press esc to stop.