An $18 Billion Debt ETF Powers Revamp of VIX-Like Rates Gauge
- First attempt foiled by CME Group, which supplied options data
- New indexes gauge Treasury ETF and interest-rate swaps vol
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Cboe Global Markets Inc. brought U.S. stock-market volatility trading to the masses 16 years ago with futures on the VIX index. Replicating that success with interest rates has been elusive, but the firm is going back to the drawing board to try again.
Trading of futures on Cboe’s 10-Year U.S. Treasury Note Volatility Index languished even as volatility soared in March and volume surged in Treasury futures and options listed at CME Group Inc. Cboe blames an unconventional design it was in the process of fixing. Then, last month, CME declined to renew the pricing data that the index was based on.