The Chicago Board Options Exchange (CBOE) announced today that beginning on Monday, March 31, 2008, the Exchange will be publishing CBOE Volatility Index (VIX) Term Structure data.The information will be disseminated through CBOE's website, with the data set updated daily after the close of trading.In addition, daily historical values for the VIX Term Structure dating back to 1992 will also be available.
During 2007, trading activity in VIX options at CBOE totaled more than 23 million contracts traded, up 363% over the previous year; while trading in VIX futures increased 141% over 2006, as volume topped one million contracts traded for the first time ever at the CBOE Futures Exchange (CFE).Reflecting the volume growth in VIX options and futures, CBOE has seen increasing demand from investors seeking additional VIX-based calculations.The VIX Term Structure is one such formulation.
Analogous to calculating an implied volatility for S&P 500 Index (SPX) options by expiration, the VIX Term Structure is created by using the VIX methodology to calculate an index level for each SPX expiration currently traded.This new data service will provide useful comparisons between SPX options prices and the prices of options and futures based on the VIX Index.
For a complete overview of VIX Term Structure, including details on the construction and historical behavior of Term Structure values, see www.cboe.com/micro/vix/vixtermstructure.pdf.
CBOE, the largest U.S. options marketplace and creator of listed options, is regulated by the Securities and Exchange Commission (SEC).For additional information about the CBOE and its products, access the CBOE website at www.cboe.com.
