Cboe Global Markets and S&P Dow Jones Indices Plan to Launch New Cboe S&P 500 Constituent Volatility Index (VIXEQ)
Cboe Global Markets and S&P Dow Jones Indices have announced plans to launch the Cboe S&P 500 Constituent Volatility Index (VIXEQ). This new index, set to launch on November 4, is designed to measure the market cap weighted 30-day implied volatility of a basket of S&P 500 constituents. The VIXEQ Index will be a direct component in calculating the Cboe S&P 500 Dispersion Index (DSPX), which was launched in September 2023.
The VIXEQ Index is based on the Cboe S&P 500 Dispersion Basket Index (DSPBX) and uses an adaptation of Cboe's proprietary VIX® Index methodology. This initiative aims to provide investors with insights into market volatility and implied dispersion, offering a view of S&P 500 Index moves relative to its constituent companies. The announcement was made at Cboe's 39th annual global Risk Management Conference in Snowbird, Utah.
- Launch of new VIXEQ Index to measure market cap weighted 30-day implied volatility of S&P 500 constituents
- VIXEQ Index will be a component in calculating the Cboe S&P 500 Dispersion Index (DSPX)
- Provides investors with insights into market volatility and implied dispersion
- Offers potential opportunities for portfolio diversification
- None.
Insights
The planned launch of the Cboe S&P 500 Constituent Volatility Index (VIXEQ) represents a significant development in volatility measurement tools for investors and traders. This new index, building upon Cboe's established VIX methodology, aims to provide a more granular view of volatility within the S&P 500 constituents.
Key implications for investors include:
- Enhanced ability to analyze and trade dispersion between individual stocks and the broader index
- Potential for new volatility-based products and trading strategies
- Improved tools for portfolio risk management and diversification
The VIXEQ complements the previously launched Cboe S&P 500 Dispersion Index (DSPX), creating a more comprehensive suite of volatility and dispersion metrics. This could lead to increased trading activity in Cboe's volatility products, potentially boosting the company's revenue from data and trading fees.
While the immediate financial impact may be , the long-term strategic value for Cboe is substantial, reinforcing its position as a leader in volatility products and potentially attracting more institutional investors to its ecosystem.
The introduction of the VIXEQ Index signifies Cboe's continued innovation in the volatility space, addressing a growing demand for more sophisticated risk management tools. This move aligns with the broader trend of increased market complexity and the need for nuanced volatility measures.
Market implications:
- Potential increase in options trading volume on S&P 500 constituents
- Greater focus on single-stock volatility within the context of index movements
- Possible development of new ETFs or structured products based on the VIXEQ
For Cboe, this launch could strengthen its competitive position against other exchanges and index providers. It may also attract more market makers and high-frequency traders, potentially improving liquidity across Cboe's product suite.
The timing of the announcement at Cboe's Risk Management Conference suggests a strategic push to gain immediate attention from key industry players, which could accelerate adoption of the new index.
- The VIXEQ Index is a direct component in the calculation of the Cboe S&P 500 Dispersion Index
- New index aims to measure the market cap weighted 30-day implied volatility of a basket of S&P 500 constituent stocks
- Furthers Cboe's and S&P DJI's efforts to provide insight into market volatility and implied dispersion
Cboe and S&P DJI launched the Cboe S&P 500 Dispersion Index (DSPX Index) in September 2023 to provide the market a measure of expected dispersion in the S&P 500 Index over the next 30 calendar days. The DSPX Index is designed to give investors a view of S&P 500 Index moves relative to its constituent companies, providing investors with visibility into potential opportunities for portfolio diversification. The DSPX Index calculation is derived from prices of S&P 500 Index options and the single stock options of the S&P 500 Index's constituent companies.
The VIXEQ Index, which is expected to launch Monday, November 4, follows the launch of the DSPX Index and is developed based on the DSPBX Index. The DSPBX Index provides the representative universe of large-cap
"Since providing the industry with a first-of-its-kind forward-looking dispersion measure last year, Cboe and S&P Dow Jones Indices have been working to provide more insight into the relationship between the S&P 500 Index and single stock volatility, while expanding the utility of our implied dispersion indices," said Rob Hocking, Head of Product Innovation at Cboe. "When referenced alongside Cboe's volatility index suite, including our VIX Index and DSPX Index, the VIXEQ Index can help investors better understand dispersion opportunities and market volatility expectations. Cboe continues to strive to provide market participants the tools and measures needed in an evolving market."
While the VIX Index measures implied volatility by using SPX options prices, the VIXEQ Index will be based on single stock options prices. For each eligible S&P 500 constituent, as determined by the DSPBX Index, a VIX-like calculation is performed, and the results are then weighted by their market cap in the DSPBX Index. The market cap weighted equity variance calculations are summed and converted to the VIXEQ Index value.
"As an index provider, S&P DJI is dedicated to continuing to establish standards that help market participants understand and measure volatility," said Tim Brennan, Global Head of Capital Markets at S&P DJI. "We expect VIXEQ to provide a more refined glimpse into the volatility of the individual constituents within the world's most liquid equity benchmark. This latest collaboration between S&P DJI and Cboe speaks to the importance and acceptance of volatility tools more broadly and continues to underscore the S&P 500's ongoing strength as the best single gauge of the
Following its launch, the daily value of the VIXEQ Index is expected to be found at the Cboe Global Indices Feed and data vendors under the ticker VIXEQ. The VIXEQ Index adds to Cboe Global Indices' derivatives-based index offerings.
Cboe Labs, the company's innovation arm, plans to introduce more new products in the volatility space including developing a futures product on the DSPX Index to be listed on Cboe Futures Exchange (CFE), subject to regulatory review. The planned launch of DSPX Index futures may enable investors to manage their exposure and express views on the implied dispersion for the S&P 500 Index, or transfer risk between SPX options and options based on the underlying S&P 500 Index constituents. To learn more about Cboe Labs, visit https://www.cboe.com/labs/.
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 and FX, across
Media Contacts | Cboe Analyst Contact | |||||
Angela Tu | Tim Cave | Kenneth Hill, CFA | ||||
+1-646-856-8734 | +44 (0) 7593-506-719 | +1-312-786-7559 | ||||
CBOE-C
CBOE-OE
The Cboe S&P 500 Constituent Volatility Index (the "VIXEQ Index") is owned and calculated by Cboe Global Indices, LLC ("CGI") and published with the consent of S&P Dow Jones Indices LLC ("S&P DJI"). The VIXEQ Index is administered by S&P DJI. The VIXEQ Index is based on constituents of the S&P 500 Index, which is a product of S&P DJI. S&P®, S&P 500®, US 500, The 500, DSPX, DSPBX, iBoxx®, iTraxx®, and CDX® are trademarks of S&P Global, Inc. or its affiliates (together, "S&P") that have been licensed to CGI and its affiliates (together, "Cboe") for certain purposes. Cboe®, CFE®, VIX®, Cboe Global Markets®, and Cboe Futures Exchange® are registered trademarks of Cboe and VIXEQSM is a service mark of Cboe. All other trademarks and service marks are the property of their respective owners. Cboe products are not sponsored, endorsed, sold, or promoted by S&P DJI and S&P DJI shall have no liability in connection with the trading of any such products.
Trading in futures and options on futures is not suitable for all market participants and involves the risk of loss, which can be substantial and can exceed the amount of money deposited for a futures or options on futures position. You should, therefore, carefully consider whether trading in futures and options on futures is suitable for you in light of your circumstances and financial resources. You should put at risk only funds that you can afford to lose without affecting your lifestyle. For additional information regarding the risks associated with trading futures and options on futures and with trading security futures, see respectively the Risk Disclosure Statement Referenced in CFTC Letter 16-82 and the Risk Disclosure Statement for Security Futures Contracts. Certain risks associated with options, futures, and options on futures and certain disclosures relating to information provided regarding these products are also highlighted at https://www.cboe.com/us_disclaimers.
Cboe Global Markets, Inc. and its affiliates do not recommend or make any representation as to possible benefits from any securities, futures or investments, or third-party products or services. Investors should undertake their own due diligence regarding their securities, futures and investment practices. This press release speaks only as of this date. Cboe Global Markets, Inc. disclaims any duty to update the information herein. Nothing in this announcement should be considered a solicitation to buy or an offer to sell any securities or futures in any jurisdiction where the offer or solicitation would be unlawful under the laws of such jurisdiction. Nothing contained in this communication constitutes tax, legal or investment advice. Investors must consult their tax adviser or legal counsel for advice and information concerning their particular situation.
Cboe Global Markets, Inc. and its affiliates, to the maximum extent permitted by applicable law, make no warranty, expressed or implied, including, without limitation, any warranties as of merchantability, fitness for a particular purpose, accuracy, completeness or timeliness, the results to be obtained by recipients of the products and services described herein, or as to the ability of the S&P indices to track the performance of the general market or any segment thereof, and shall not in any way be liable for any inaccuracies or errors. Cboe Global Markets, Inc. and its affiliates have not calculated, composed or determined the constituents or weightings of the securities that comprise the S&P indices and shall not in any way be liable for any inaccuracies or errors.
Cautionary Statements Regarding Forward-Looking Information
This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 that involve a number of risks and uncertainties. You can identify these statements by forward-looking words such as "may," "might," "should," "expect," "plan," "anticipate," "believe," "estimate," "predict," "potential" or "continue," and the negative of these terms and other comparable terminology. All statements that reflect our expectations, assumptions or projections about the future other than statements of historical fact are forward-looking statements. These forward-looking statements, which are subject to known and unknown risks, uncertainties and assumptions about us, may include projections of our future financial performance based on our growth strategies and anticipated trends in our business. These statements are only predictions based on our current expectations and projections about future events. There are important factors that could cause our actual results, level of activity, performance or achievements to differ materially from those expressed or implied by the forward-looking statements.
We operate in a very competitive and rapidly changing environment. New risks and uncertainties emerge from time to time, and it is not possible to predict all risks and uncertainties, nor can we assess the impact of all factors on our business or the extent to which any factor, or combination of factors, may cause actual results to differ materially from those contained in any forward-looking statements.
Some factors that could cause actual results to differ include: the loss of our right to exclusively list and trade certain index options and futures products; economic, political and market conditions; compliance with legal and regulatory obligations; price competition and consolidation in our industry; decreases in trading or clearing volumes, market data fees or a shift in the mix of products traded on our exchanges; legislative or regulatory changes or changes in tax regimes; our ability to protect our systems and communication networks from security vulnerabilities and breaches; our ability to attract and retain skilled management and other personnel; increasing competition by foreign and domestic entities; our dependence on and exposure to risk from third parties; global expansion of operations; factors that impact the quality and integrity of our and other applicable indices; our ability to manage our growth and strategic acquisitions or alliances effectively; our ability to operate our business without violating the intellectual property rights of others and the costs associated with protecting our intellectual property rights; our ability to minimize the risks, including our credit, counterparty, investment, and default risks, associated with operating a European clearinghouse; our ability to accommodate trading and clearing volume and transaction traffic, including significant increases, without failure or degradation of performance of our systems; misconduct by those who use our markets or our products or for whom we clear transactions; challenges to our use of open source software code; our ability to meet our compliance obligations, including managing potential conflicts between our regulatory responsibilities and our for-profit status; our ability to maintain BIDS Trading as an independently managed and operated trading venue, separate from and not integrated with our registered national securities exchanges; damage to our reputation; the ability of our compliance and risk management methods to effectively monitor and manage our risks; restrictions imposed by our debt obligations and our ability to make payments on or refinance our debt obligations; our ability to maintain an investment grade credit rating; impairment of our goodwill, long-lived assets, investments or intangible assets; the impacts of pandemics; the accuracy of our estimates and expectations; litigation risks and other liabilities; and risks relating to digital assets, including winding down the Cboe Digital spot crypto market and transitioning digital asset futures contracts to CFE, operating a digital assets futures clearinghouse, cybercrime, changes in digital asset regulation, and fluctuations in digital asset prices. More detailed information about factors that may affect our actual results to differ may be found in our filings with the SEC, including in our Annual Report on Form 10-K for the year ended December 31, 2023 and other filings made from time to time with the SEC.
We do not undertake, and we expressly disclaim, any duty to update any forward-looking statement whether as a result of new information, future events or otherwise, except as required by law. Readers are cautioned not to place undue reliance on these forward-looking statements, which speak only as of the date hereof.
View original content to download multimedia:https://www.prnewswire.com/news-releases/cboe-global-markets-and-sp-dow-jones-indices-plan-to-launch-new-cboe-sp-500-constituent-volatility-index-vixeq-302279208.html
SOURCE Cboe Global Markets, Inc.
FAQ
When is the Cboe S&P 500 Constituent Volatility Index (VIXEQ) expected to launch?
What does the VIXEQ Index measure for CBOE?
How is the VIXEQ Index related to the Cboe S&P 500 Dispersion Index (DSPX)?
What is the purpose of the Cboe S&P 500 Dispersion Index (DSPX) launched by CBOE in September 2023?
