The Chicago Board Options Exchange (CBOE) today announced it will begin trading options on the iPath® S&P 500® VIX® Short-Term Futures Index ETN (ticker symbol - VXX) and options on the iPath® S&P 500® VIX® Mid-Term Futures Index ETN (ticker symbol - VXZ) on Friday, May 28, 2010.
VXX is an exchange-traded note (“ETN”) based on the S&P 500 VIX Short-Term Futures™ Index, which is designed to provide access to equity market volatility through CBOE Volatility Index® (VIX) futures. Specifically, the S&P 500 VIX Short-Term Futures™ Index offers exposure to a daily rolling long position in the first and second month of VIX futures contracts and reflects the implied volatility of the S&P 500® Index one month later. The index futures roll continuously throughout each month from the first month of the VIX futures contract into the second month of the contract.
The VXZ ETN is based on the S&P 500 VIX Mid-Term Futures™ Index, which is designed to provide access to equity market volatility through CBOE Volatility Index® (VIX) futures. Specifically, the S&P 500 VIX Mid-Term Futures Index offers exposure to a daily rolling long position in the fourth, fifth, sixth and seventh month VIX futures contracts and reflects the implied volatility of the S&P 500 Index five months later. The Index futures roll continuously throughout each month from the fourth month VIX futures contract into the seventh month VIX futures contract.
The CBOE Volatility Index is based on real-time prices of options on the S&P 500 Index (ticker symbol - SPX), listed on the Chicago Board Options Exchange, and is designed to reflect investors' consensus view of future (30-day) expected stock market volatility. VIX futures, traded at the CBOE Futures Exchange (CFE), provide a pure play on implied volatility independent of the direction and level of stock prices and are increasingly used to hedge equity returns, to diversify portfolios, and to spread implied against realized volatility.
“The addition of VXX and VXZ options represents yet another dimension to CBOE's growing suite of Volatility related products,” said William J. Brodsky, CBOE Chairman and CEO. “We are especially pleased to introduce new Volatility products that will key off of CFE's VIX futures.”
CBOE also announced that Barclays Capital will be the off-floor Designated Primary Market Maker (DPM) and that Group One Trading, LP will be the on-floor Lead Market Maker (LMM) for VXX and VXZ options.
CBOE will initially list VXX options with $1 strikes ranging from 10 - 45, and VXZ options in $1 strikes from 75 - 105. VXX and VXZ options will trade on the March expiration cycle, with initial expirations in June, July, September and December. Additional information may be found at www.cboe.com/VXX and www.cboe.com/VXZ.
Chicago Board Options Exchange (CBOE), the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education. CBOE offers equity, index and ETF options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options on the CBOE Volatility Index (VIX), the world's barometer for market volatility. Other groundbreaking products engineered by CBOE include equity options, security index options, LEAPS, FLEX options, and benchmark products, such as the CBOE S&P 500 BuyWrite Index (BXM). CBOE's Hybrid Trading System incorporates electronic and open-outcry trading, enabling customers to choose their trading method. CBOE's Hybrid is powered by CBOEdirect, a proprietary, state-of-the-art electronic platform that also supports the CBOE Futures Exchange (CFE), CBOE Stock Exchange (CBSX) and OneChicago. CBOE is home to the world-renowned Options Institute and www.cboe.com, named “Best of the Web” for options information and education.
CBOE is regulated by the Securities and Exchange Commission (SEC), with all trades cleared by the AAA-rated Options Clearing Corporation (OCC).
