CBOE developed the VXN as it became apparent that there was a dramatic divergence between volatility in the Nasdaq market and the broad market beginning in early 1999. "This divergence signaled a need for a new measure of volatility to help investors make more informed trading decisions," said CBOE Chairman and CEO William J. Brodsky.
CBOE calculated historical prices of the VXN dating back to January 1995. Thus, CBOE’s VXN is the only such index that provides investors with a historical perspective.
CBOE will calculate and disseminate the new Index continuously throughout the trading day under the symbol VXN. VXN levels can be accessed through the CBOE website at www.cboe.com/quotes. By using real-time NDX index option quotes, the CBOE Nasdaq Market Volatility Index provides a real-time measure of volatility in the Nasdaq market.
"With the availability of a continuously updated volatility index on the Nasdaq, we expect the VXN will be the premier benchmark of market sentiment for Nasdaq-based markets" said Brodsky. CBOE developed and launched the Market Volatility Index, or CBOE VIXSM, in January 1993. The VIX was the first and only measure of market volatility and quickly became the standard for quoting volatility in the broad market.
In addition to NDX options, CBOE also offers a 1/10th size version of the NDX, the CBOE Mini-NDX (MNXSM) which is suitable for a broad range of portfolios. The VXN volatility index can also be used as a guide to assess volatility in the MNX as well as other tech-heavy indexes and sectors.
Following is a guide for symbols mentioned in this release:
- MNXSM - CBOE Mini-NDX. A 1/10th size version of the Nasdaq-100 Index®. Traded exclusively at CBOE.
- NDXSM - Options on the Nasdaq-100 Index. Traded exclusively at CBOE.
- OEX® - Options on the S&P 100 Index. Traded exclusively at CBOE.
- VIXSM - CBOE Market Volatility Index. Launched in January 1993.
- VXNSM - CBOE Nasdaq Volatility Index.
