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Cboe Global Markets Issues Notification On Spot Volatility Indices

Date 30/07/2021

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.