CHICAGO and NEW YORK, Jan. 13, 2015 /PRNewswire/ — The Chicago Board Options Exchange® (CBOE®) announced today that it began disseminating values for three new volatility indexes that CBOE calculates using the prices of CME Dollar/Euro, Dollar/British Pound and Dollar/Japanese Yen futures options.
The CBOE/CME FX Euro Volatility IndexSM (ticker:ticker::EUVIX), the CBOE/CME FX British Pound Volatility IndexSM (ticker:ticker::BPVIX) and the CBOE/CME FX Yen Volatility IndexSM (ticker:ticker::JYVIX) are the first benchmarks to track the volatility of foreign exchange (FX) futures options. The underlying options are the most liquid FX options traded at the CME, and in 2014, accounted for a combined 80 percent of the over 15 million total currency options traded at CME.
“CBOE continues to broaden the scope of our highly popular volatility index franchise with foreign exchange volatility indexes, which offer investors the ability to measure pure FX volatility for the first time,” CBOE Holdings CEO Edward Tilly said. “CBOE calculates values of volatility indexes for a variety of asset classes and we’re pleased now to add some of the CME Group’s most active FX futures options products, and look forward to offering trading of these new FX volatility indexes in the future.”
Derivatives on foreign exchange constitute the second largest derivatives sector after interest rates. FX contracts account for approximately 10 percent of open interest and also 10 percent of total derivatives turnover. The increasing international diversification of asset portfolios has significantly increased trading of FX derivatives over the past few years, with average daily volume reaching $ 5.3 trillion per day in 2013. (BIS Triennial Survey 2013).
The value of each Index is derived from applying the proprietary CBOE Volatility Index® (VIX®) methodology to the CME Group’s FX options on Dollar/Euro, Dollar/BP and Dollar/Yen futures.
CBOE, the leading exchange in the volatility space and the home of volatility benchmarks, strategies and products, now calculates and disseminates benchmark data on over three dozen different volatility-related products, including the widely followed CBOE Volatility Index (VIX), the leading barometer of investor sentiment and stock market volatility. In addition to its suite of benchmarks and strategies, volatility options and futures contracts on VIX can be traded at CBOE and CFE, respectively.
For more information on CBOE’s new FX volatility indexes, see www.cboe.com/FX.
About CBOE Holdings
CBOE Holdings, Inc. (CBOE) is the holding company for Chicago Board Options Exchange (CBOE), 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 500 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 is regulated by the Securities and Exchange Commission (SEC), with all trades cleared by the OCC.
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CBOE®, Chicago Board Options Exchange®, CFE®, FLEX®, LEAPS®, Execute Success®, CBOE Volatility Index® and VIX® are registered trademarks and BuyWriteSM, BXMSM, EUVIXSM, BPVIXSM, JYVIXSM, CBOE/CME FX Euro Volatility IndexSM, CBOE/CME FX British Pound Volatility IndexSM, CBOE/CME FX Yen Volatility IndexSM, CBOE Futures ExchangeSM and The Options InstituteSM 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. CBOE has, with the permission of CME, used the CME trademark in the CBOE/CME FX Euro Volatility IndexSM, CBOE/CME FX British Pound Volatility IndexSM and CBOE/CME FX Yen Volatility IndexSM. CME makes no representation regarding the advisability of investing in any investment product that is based on such indexes. All other trademarks and service marks are the property of their respective owners.
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