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Chicago Board Options Exchange (CBOE) and CME Group (CME) have announced that, as part of an agreement between the exchanges, CBOE today began disseminating values for a new volatility benchmark index using futures options data on CME Group's 10-year U.S. Treasury note contract. The CBOE/CBOT 10-year U.S. Treasury Note Volatility IndexSM (ticker symbol VXTNYSM ) is the first volatility index based on U.S. government debt to be calculated and disseminated by CBOE.
The index was developed with significant contributions from Antonio Mele and Yoshiki Obayashi of Applied Academics LLC.
CBOE and CBOE Futures Exchange (CFE) plan to offer trading on the 10-year Treasury Volatility Index in the future.
"We're pleased to introduce an interest rate volatility index based on one of CME Group's most active interest rate options products," CBOE Executive Vice President Richard DuFour said. "Interest rate derivatives also represent the largest asset class in the over-the-counter market. The addition of the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index to CBOE's already extensive list of volatility-related indexes broadens and diversifies the scope of asset classes on which users can measure volatility."
"CBOE's VIX index is a world-renowned measure of implied volatility, and we are very pleased to collaborate with CBOE on the development of an index based on CME Group's highly liquid 10-year U.S. Treasury note option contracts," said Derek Sammann, CME Group's Senior Managing Director of Interest Rate and FX Products. "We believe this CBOE/CBOT Volatility Index will serve as a strong benchmark to help our global customers manage their exposure to market volatility."
The value of the Index is derived from applying the proprietary CBOE Volatility Index (VIX) methodology to futures options data from CME Group's 10-year U.S. Treasury note contract. In 2012, more than 56 million 10-year U.S. Treasury Note futures options contracts changed hands at CME Group.
CBOE, the leading exchange in the volatility space and the home of volatility benchmarks, strategies and products, now calculates and disseminates benchmark data on over two dozen different volatility-related products, including the widely followed CBOE Volatility Index® (VIX®), the leading barometer of investor sentiment and stock market volatility. In addition to its suite of benchmarks and strategies, volatility options and futures contracts on VIX can be traded at CBOE and CFE, respectively.
For more information on the new volatility index, see www.cboe.com/VXTYN.
