Cboe Global Markets Launches 1-Day Volatility Index, Designed to Measure Volatility Over Current Trading Day
Cboe Global Markets has launched its new 1-Day Volatility Index (VIX1D) on April 24, 2023, marking an expansion of its volatility index suite. Developed by Cboe Labs, this index measures expected volatility of the S&P 500 Index for the current trading day, using P.M.-settled SPX options data. The VIX1D Index complements the original VIX Index, celebrating its 30th anniversary in April 2023. Notably, during the recent banking crisis from March 8 to March 13, 2023, the VIX Index significantly rose, but the VIX1D Index rose over 162%, illustrating its heightened sensitivity to short-term volatility. This initiative underscores Cboe's commitment to innovate in the volatility space and enhance trading strategies for investors.
- Launch of VIX1D Index enhances Cboe's volatility index offerings.
- VIX1D designed for real-time measurement of daily market volatility.
- Significant increase in VIX1D values during banking crisis demonstrates its effectiveness.
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- Cboe 1-Day Volatility IndexSM (VIX1DSM) further expands Cboe's volatility index suite
- New index designed to reflect the current day's expected market volatility
- Cboe marks 30th anniversary of VIX Index launch in April 1993
CHICAGO, April 24, 2023 /PRNewswire/ -- Cboe Global Markets, Inc. (Cboe: CBOE), the world's leading derivatives and securities exchange network, today announced the launch of the Cboe 1-Day Volatility Index (VIX1D).
Developed by Cboe Labs, the company's in-house innovation hub, the VIX1D Index seeks to measure the expected volatility of the S&P 500® Index over the current trading day (today); in other words, single trading day volatility. Similar to the Cboe Volatility Index® (VIX® Index), the VIX1D Index estimates expected volatility by aggregating the weighted prices of P.M.-settled SPX (SPXW) options with one- to zero- day expirations over a wide range of strike prices. Specifically, the prices used to calculate VIX1D Index values are midpoints of real-time, SPXW option bid/ask price quotations.
"For decades, market participants looking to understand, measure and manage volatility have turned to Cboe. We are committed to continuing to innovate in the volatility space and we believe the VIX1D Index will be a complementary addition for market participants seeking to better understand current equity market volatility or as they employ different trading strategies," said Ed Tilly, Chairman of the Board and CEO of Cboe Global Markets. "The development of the VIX1D Index is another example of the strength of Cboe and S&P Dow Jones Indices' long-standing relationship, highlighting the companies' shared commitment to drive innovation through rigorous data analysis and market solutions."
Launched 30 years after the original Cboe Volatility Index® (VIX® Index) debuted in April 1993, the VIX1D Index is a natural complement to the 30-day VIX Index and Cboe's entire VIX Index suite, including the VIX 1-year, VIX 6-month, VIX 3-month and VIX 9-day Indices. The new, non-tradable 1-day volatility index is designed to provide real-time information about the expected volatility of the current trading day (today).
The VIX1D Index and the VIX Index use a similar methodology to estimate expected volatility. The VIX1D Index has been designed to account for the compressed measurement of expected volatility over a single day and differs from the VIX Index in ways to account for this. By its nature, the VIX1D Index is expected to generally behave in a more volatile manner than indices that measure a longer time horizon of expected volatility. This is because news events that affect the S&P 500 Index on a given day are expected to have a larger impact in short-dated SPX options than in longer dated options when market participants have more time to react to the news event.
For example, amid the recent collapse of two U.S. banks between March 8, 2023, and March 13, 2023, the VIX Index rose from 19.11 to 26.52 (
"Cboe revolutionized investing with the creation of the VIX Index in 1993 and has been at the forefront of the volatility space ever since. As such, when we saw a market need to develop a shorter-term measurement of expected volatility, we embodied that same pioneering spirit to design the VIX1D Index," said Rob Hocking, Senior Vice President and Head of Product Innovation. "We believe the VIX1D Index will be a useful tool for the growing group of investors utilizing same-day options trading strategies to better understand the daily market dynamics."
VIX1D Index data is available on Bloomberg and other data vendors under the ticker VIX1D. Further information, including the index's methodology can be found at www.cboe.com/indices.
The VIX1D Index is the second major initiative brought to market by Cboe Labs after announcing plans to develop the Cboe S&P 500 Dispersion Index at Cboe's Risk Management Conference in October. Learn more about the company's cutting-edge innovation hub and how it brings together financial market professionals and academic experts to create solutions for real-world problems on its new webpage: 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, FX, and digital assets, 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.
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FAQ
What is the VIX1D Index launched by Cboe?
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How does the VIX1D Index compare to the traditional VIX Index?
What were the performance metrics for the VIX Index and VIX1D during the March 2023 banking crisis?
Who developed the VIX1D Index?
