Cboe Global Markets Begins Publishing VIXTLT Index on August 12, 2024

Rhea-AI Summary

Cboe Global Markets (CBOE) has launched the VIXTLT Index, a new volatility measure for the U.S. Treasury market. This index, which began publishing on August 12, 2024, is designed to track 30-day expected volatility in real-time, similar to the VIX Index for equity markets. The VIXTLT Index is calculated using options on the iShares® 20+ Year Treasury Bond ETF (TLT), a highly liquid fund focused on long-term Treasury bonds.

This new index adds to Cboe's growing suite of volatility indices and derivatives-based offerings. It provides market participants with a tool to monitor expected volatility in the Treasury market, complementing the VIX Index for equities. By observing both indices, investors can gain insights into how volatility in these two major asset classes interacts during different market conditions. The VIXTLT Index is available in basis point measure, offering a familiar metric for fixed income market participants.

Positive

• Launch of VIXTLT Index expands Cboe's volatility index suite
• Provides a new tool for measuring U.S. Treasury market volatility
• Complements the VIX Index, allowing comparison between equity and Treasury volatility
• Uses highly liquid TLT options for calculation, ensuring reliable data

Negative

• None.

• Designed to provide VIX Index-like measure of U.S. Treasury market volatility
• VIXTLT Index calculated using highly liquid, listed options on the iShares® 20+ Year Treasury Bond ETF (TLT)
• Launch adds to Cboe's growing volatility index suite and derivatives-based index offerings
• VIXTLT Index available in basis point measure

CHICAGO, Aug. 12, 2024 /PRNewswire/ -- Cboe Global Markets, Inc. (Cboe: CBOE), the world's leading derivatives and securities exchange network, today announced it has begun publishing intraday values for the new Cboe 20+ Year Treasury Bond ETF Volatility Basis Point Index ("VIXTLT Index"). Leveraging Cboe's proprietary VIX® Index methodology, the VIXTLT Index provides market participants with the ability to track future (30-day) expected volatility in the U.S. Treasury market in real-time.

The VIXTLT Index is designed to be a U.S. Treasury market volatility measure comparable to the Cboe Volatility Index® (VIX®), which measures 30-day expected volatility of the U.S. equity market and is considered by many to be the world's premier barometer of U.S. equity market volatility. By monitoring the VIXTLT and VIX indices together, investors may be offered insight into how expected volatility of two of the most important asset classes react to each other during different volatility regimes.

The VIXTLT Index is calculated using listed options on the iShares® 20+ Year Treasury Bond ETF (TLT), a highly liquid exchange-traded fund (ETF) composed of U.S. Treasury bonds with remaining maturities exceeding twenty years that have a relatively high duration.

"The launch of the VIXTLT Index is another milestone in Cboe's offering of timely and transparent forward-looking volatility measures. Market participants have long sought a VIX-like gauge for U.S. Treasury volatility, and with the US election and the Federal Reserve's expected monetary policy shift looming, interest in this asset class remains high," said Rob Hocking, Head of Product Innovation at Cboe. "With both the VIXTLT and the VIX indices utilizing similar methodologies, investors will be able to gain a more like-to-like view of expected volatility in the bond and equity markets, potentially enabling them to make more informed decisions."

Demand for a real-time measure of U.S. Treasury market volatility has heightened over the past few years amid periods of bond market volatility and high inflation. To meet customer demand, VIXTLT is available in basis point volatility terms and aims to provide an absolute measure of volatility, a key concept in fixed income markets where risk is commonly perceived as the absolute change and not percentage. 

The VIXTLT Index was developed by Cboe Labs, the company's product innovation hub, with the administrator being Cboe Global Indices. The index is the latest addition to Cboe's growing volatility index suite, which recently welcomed the launch of four new Credit Volatility Indices (Credit VIX), and expands Cboe's offering of more than 450 derivatives-based indices. Notably in the fixed income space, Cboe Global Indices' Cboe TLT 2% OTM BuyWrite Index is the benchmark index for the iShares 20+ Year Treasury Bond BuyWrite Strategy ETF (TLTW).

VIXTLT Index data is available on data vendors under the ticker VIXTLT. To learn more, visit www.cboe.com/indices.

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 North America, Europe and Asia Pacific. Above all, we are committed to building a trusted, inclusive global marketplace that enables people to pursue a sustainable financial future. To learn more about the Exchange for the World Stage, visit www.cboe.com.

Media Contacts			Analyst Contact
Angela Tu	Tim Cave		Kenneth Hill, CFA
+1-646-856-8734	+44 (0) 7593-506-719		+1-312-786-7559
atu@cboe.com	tcave@cboe.com		khill@cboe.com

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FAQ

What is the VIXTLT Index launched by Cboe Global Markets (CBOE) on August 12, 2024?

The VIXTLT Index is a new volatility measure for the U.S. Treasury market, designed to track 30-day expected volatility in real-time, similar to the VIX Index for equity markets. It's calculated using options on the iShares® 20+ Year Treasury Bond ETF (TLT).

How does the VIXTLT Index benefit investors and market participants?

The VIXTLT Index provides a tool to monitor expected volatility in the Treasury market. When used alongside the VIX Index, it offers insights into how volatility in two major asset classes (equities and Treasuries) interacts during different market conditions.

What is the significance of Cboe (CBOE) using TLT options for the VIXTLT Index calculation?

Cboe uses options on the iShares® 20+ Year Treasury Bond ETF (TLT) because it's a highly liquid ETF composed of long-term U.S. Treasury bonds. This ensures reliable data for calculating the VIXTLT Index.

How is the VIXTLT Index measurement expressed for Cboe's (CBOE) fixed income market participants?

The VIXTLT Index is available in basis point measure, which is a familiar metric for fixed income market participants, making it easier for them to interpret and use the index.