Cboe Global Markets and S&P Dow Jones Indices to Launch New Credit VIX Indices on October 13
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- Four new Credit Volatility Indices (Credit VIX) developed based on Cboe's proprietary VIX® Index methodology and S&P Dow Jones Indices' CDX and iTraxx Indices
- Designed to provide a VIX Index-like measure for credit market volatility
- New indices added to Cboe's growing volatility index suite
Credit Volatility Indices (Credit VIX)
- CDX/Cboe NA High Yield 1-Month Volatility Index (ticker symbol: VIXHY)
- CDX/Cboe NA Investment Grade 1-Month Volatility Index (ticker symbol: VIXIG)
- iTraxx/Cboe Europe Main 1-Month Volatility Index (ticker symbol: VIXIE)
- iTraxx/Cboe Europe Crossover 1-Month Volatility Index (ticker symbol: VIXXO)
This new series of indices, jointly developed by Cboe Labs, the company's product innovation hub, and S&P DJI, are based on Cboe's proprietary VIX® Index methodology and S&P DJI's CDX and iTraxx Indices and aim to track the expected level of volatility across the North American and European credit markets.
The Cboe Volatility Index® (VIX®) is considered by many to be the world's premier barometer of
"As we celebrate the 30th anniversary of the VIX Index this year, we couldn't be more excited to continue our track record of innovation and collaboration with S&P DJI by extending the VIX Index methodology into the fixed income space," said Rob Hocking, Senior Vice President and Head of Product Innovation at Cboe. "Interest in this asset class continues to grow amidst a rising rate environment, and we expect these indices will help investors better track credit market volatility, manage corporate credit risk, or implement yield-enhancement and hedging strategies. With the VIX family of volatility indices covering equities, credit and various other asset classes, investors can also look across our diverse product set to compare trends and correlations across different markets in a more consistent manner."
"This launch further strengthens our ongoing collaboration with Cboe while providing additional insights into the level of expected volatility for the fixed income marketplace," said Frans Scheepers, Head of Fixed Income, Currency and Commodity Products at S&P Dow Jones Indices. "The Credit VIX Indices are expected to provide new clear signals on bond market sentiment, and act as a new barometer of corporate credit risk in
Similar to the VIX Index, the new Credit VIX Indices are designed to track near-term uncertainty around corporate credit risk by measuring the market's expectation of how volatile credit default swap (CDS) index spreads will be over the next 30 days. Options with varying strikes convey different information about the expected future movement in credit spreads; the Credit VIX Methodology is designed to extract information from available options strikes and distill it to one number that represents a consensus view on near-term CDS index spread volatility.
Cboe's planned launch of the new Credit VIX Indices adds to its suite of forward-looking option-implied volatility indices. The new indices follow Cboe's recent launch of the Cboe 1-Day Volatility Index (VIX1D) and the Cboe S&P 500 Dispersion Index (DSPX), which were also developed in collaboration with S&P DJI. To learn more about Cboe Labs, visit https://www.cboe.com/labs/.
Cboe Media Contact | S&P DJI Media Contact | Cboe Analyst Contact | ||
Angela Tu | Alyssa Augustyn | Kenneth Hill, CFA | ||
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About Cboe Global Markets, Inc.
Cboe Global Markets (Cboe: CBOE), the world's leading derivatives and securities exchange network, delivers cutting-edge trading, clearing and investment solutions to people around the world. Cboe provides trading solutions and products in multiple asset classes, including equities, derivatives, FX, and digital assets, across
About S&P Dow Jones Indices
S&P Dow Jones Indices is the largest global resource for essential index-based concepts, data and research, and home to iconic financial market indicators, such as the S&P 500® and the Dow Jones Industrial Average®. More assets are invested in products based on our indices than products based on indices from any other provider in the world. Since Charles Dow invented the first index in 1884, S&P DJI has been innovating and developing indices across the spectrum of asset classes helping to define the way investors measure and trade the markets.
S&P Dow Jones Indices is a division of S&P Global (NYSE: SPGI), which provides essential intelligence for individuals, companies, and governments to make decisions with confidence. For more information about S&P Dow Jones Indices, please visit https://www.spglobal.com/spdji/en/.
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SOURCE Cboe Global Markets, Inc.
