Cboe Global Markets, Inc. (Cboe: CBOE | Nasdaq: CBOE), one of the world’s largest exchange holding companies, announced the launch of up-to-the-minute market estimates of one-year volatility, the Cboe One-Year Volatility Index (ticker: VIX1Y), calculated by using real-time prices of options in the S&P 500 Index (SPXSM).
“The introduction of VIX1Y will give traders the ability to track the relative movements of one-month and one-year expected volatility,” said Michael Mollet, Director of Product Development for Cboe Global Markets. “We also expect the one-year index to be a useful tool to monitor the market’s expectations for longer-term volatility for investors with longer-duration liabilities, such as insurance companies and pension funds.”
The dissemination of the long-term One-Year VIX Index, which is calculated based on the VIX Index methodology, comes during Cboe’s month-long celebration of the 25th anniversary of the Cboe Volatility Index (VIX Index). The original VIX Index, which Cboe began publishing in April 1993, measures the 30-day expected volatility of the S&P 500 Index.Cboe is exploring the development of a futures contract on the Cboe One-Year Volatility Index, which would be subject to regulatory review.
The VIX1Y uses SPX options on the March expiration cycle that reference most closely a 366-day maturity, then weights them to yield a constant measure of volatility in the S&P 500 Index over the period of approximately one year.
For information on VIX options and VIX futures, please see http://www.cboe.com/vix/. Follow the 25-year VIX anniversary celebration at #VIX25 on Twitter and at www.cboe.com/blogs/vix.
