Cboe Global Markets Issues Notification on Spot Volatility Indices
Cboe Global Markets (CBOE) announced a discrepancy between the calculated values of its spot Cboe Volatility Index® (VIX® Index) and the methodology outlined in its VIX White Paper. Although most calculations aligned with the White Paper, some instances resulted in the prior index value being disseminated instead of the current value. The company is investigating these discrepancies and believes that the impact on VIX futures and options remains minimal. Cboe plans to release an addendum to the VIX White Paper and will seek public consultation on any proposed changes.
- Initial assessment indicates that the VIX Index calculation aligns with the VIX White Paper in most instances.
- No impact on VIX tradable futures and options or the NAV of related products.
- Discrepancies in VIX Index calculations may affect market participants' trust.
- Instances of prior index values being disseminated could lead to confusion.
CHICAGO, July 30, 2021 /PRNewswire/ -- Cboe Global Markets, Inc. (Cboe: CBOE), a leading provider of global market infrastructure and tradable products, today announced that the company recently discovered instances where the spot Cboe Volatility Index® (VIX® Index) calculation differs from the calculation described in the VIX White Paper, which details the formula used for deriving values related to the VIX.
The spot VIX Index is disseminated in 15 second intervals and is not a tradable product. In certain instances, an index level was not produced at the applicable interval, resulting in the dissemination of the prior index value. Cboe is investigating the degree of impact and the number of instances with respect to which the redissemination occurred. Based on the company's initial assessment, Cboe believes that, in the vast majority of cases, the current VIX Index calculation yielded the same result as provided in the VIX White Paper. The calculation methodology used for the spot VIX Index is also used to calculate other spot volatility indices and therefore may impact them in a similar manner.
With respect to the VIX, these instances relate only to the spot VIX Index. Cboe believes the VIX tradable futures and options, as well as the NAV of products that track the daily closing prices of VIX futures, such as volatility ETPs, were not impacted. In addition, the calculation of the final settlement value for expiring VIX derivatives, which uses an independent process, was not impacted.
Cboe intends to publish an addendum to the VIX White Paper by Monday outlining this difference in methodology in further detail for market participants. In accordance with its index governance process, Cboe will promptly open a consultation on the planned changes for public comment.
About Cboe Global Markets, Inc.
Cboe Global Markets (Cboe: CBOE), a leading provider of market infrastructure and tradable products, delivers cutting-edge trading, clearing and investment solutions to market participants around the world. The company is committed to operating a trusted, inclusive global marketplace, providing leading products, technology and data solutions that enable participants to define a sustainable financial future. Cboe provides trading solutions and products in multiple asset classes, including equities, derivatives and FX, across North America, Europe and Asia Pacific. To learn more, visit www.cboe.com.
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Some factors that could cause actual results to differ include: the impact of the novel coronavirus ("COVID-19") pandemic, including changes to trading behavior broadly in the market; 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; our ability to protect our systems and communication networks from security risks, cybersecurity risks, insider threats and unauthorized disclosure of confidential information; increasing competition by foreign and domestic entities; our dependence on and exposure to risk from third parties; fluctuations to currency exchange rates; our index providers' ability to maintain the quality and integrity of their indices and to perform under our agreements; 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 attract and retain skilled management and other personnel; our ability to minimize the risks, including our credit 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; our ability to manage our growth and strategic acquisitions or alliances effectively; 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; and the accuracy of our estimates and expectations. 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, 2020 and other filings made from time to time with the SEC.
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SOURCE Cboe Global Markets, Inc.
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