CBOE volatility products

From MarketsWiki
Revision as of 16:39, 30 May 2010 by GailOsten (Talk | contribs)

(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
Jump to: navigation, search

Template:Infobox Midpage Need Sponsor Right CBOE's volatility indexes are key measures of market expectations of near-term volatility conveyed by stock index option prices. The indexes measure the market's expectation of 30-day volatility implicit in the prices of near-term index options. The indexes are quoted in percentage points, just like the standard deviation of a rate of return, e.g. 19.36. CBOE disseminates the index values continuously during trading hours. The indexes are leading barometers of investor sentiment and market volatility relating to key stock indexes.

The Chicago Board Options Exchange® (CBOE®) calculates and updates the prices of a number of volatility-related indexes. Some of the volatility index benchmarks are calculated with no options or futures products traded, while other have both or one product associated with them. VIX options are offered for trading on CBOE, while futures on the VIX are traded at the CBOE Futures Exchange (CFE®):

  • CBOE Volatility Index (benchmark ticker - VIX; options ticker - VIX; futures ticker - VX) www.cboe.com/VIX
  • CBOE NASDAQ-100 Volatility Index (benchmark ticker - VXN; no futures or options) www.cboe.com/VXN
  • CBOE S&P 100 Volatility Index (benchmark ticker - VXO; options VXO; no futures) www.cboe.com/VXO
  • CBOE S&P 500 3-Month Volatility Index (benchmark ticker - VXV; no options or futures) www.cboe.com/VXV
  • CBOE VIX Premium Strategy Index (benchmark ticker - VPD; no options or futures)www.cboe.com/VPD
  • CBOE Capped VIX Premium Strategy Index (benchmark ticker - VPN; no options or futures)www.cboe.com/VPN
  • CBOE S&P 500® VARB-XTM Strategy Benchmark (benchmark ticker - VTY; no options or futures) www.cboe.com/VTY

CBOE Crude Oil Volatility Index (benchmark ticker - OVX; no options or futures) www.cboe.com/OilVIX CBOE Gold Volatility Index (benchmark ticker - GVZ; no options or futures)www.cboe.com/GVZ CBOE EuroCurrency Volatility Index(benchmark ticker - EVZ; no options or futures) www.cboe.com/EVZ