Derivatives and securities alternate community Cboe International Markets, Inc and S&P Dow Jones Indices (S&P DJI) as we speak introduced plans to launch 4 new Credit score Volatility Indices (Credit score VIX) on Friday, October 13, 2023.
Credit score Volatility Indices (Credit score VIX)
- CDX/Cboe NA Excessive Yield 1-Month Volatility Index (ticker image: VIXHY)
- CDX/Cboe NA Funding Grade 1-Month Volatility Index (ticker image: VIXIG)
- iTraxx/Cboe Europe Major 1-Month Volatility Index (ticker image: VIXIE)
- iTraxx/Cboe Europe Crossover 1-Month Volatility Index (ticker image: VIXXO)
This new sequence of indices, collectively developed by Cboe Labs, the corporate’s product innovation hub, and S&P DJI, are based mostly on Cboe’s proprietary VIX® Index methodology and S&P DJI’s CDX and iTraxx Indices and goal to trace the anticipated stage of volatility throughout the North American and European credit score markets.
The Cboe Volatility Index® (VIX®) is taken into account by many to be the world’s premier barometer of U.S. fairness market volatility. The VIX Index relies on real-time costs of choices on the S&P 500® Index (SPX) and is designed to replicate traders’ consensus view of future (30-day) anticipated U.S. inventory market volatility. The brand new Credit score VIX Indices goal to offer a comparable benchmark index for the credit score markets, so traders could have a broader view of volatility on this necessary further asset class.
“As we rejoice the thirtieth anniversary of the VIX Index this 12 months, we couldn’t be extra excited to proceed our monitor file of innovation and collaboration with S&P DJI by extending the VIX Index methodology into the mounted revenue area,” mentioned Rob Hocking, Senior Vice President and Head of Product Innovation at Cboe. “Curiosity on this asset class continues to develop amidst a rising charge surroundings, and we count on these indices will assist traders higher monitor credit score market volatility, handle company credit score danger, or implement yield-enhancement and hedging methods. With the VIX household of volatility indices overlaying equities, credit score and numerous different asset lessons, traders also can look throughout our various product set to check tendencies and correlations throughout totally different markets in a extra constant method.”
“This launch additional strengthens our ongoing collaboration with Cboe whereas offering further insights into the extent of anticipated volatility for the mounted revenue market,” mentioned Frans Scheepers, Head of Mounted Earnings, Foreign money and Commodity Merchandise at S&P Dow Jones Indices. “The Credit score VIX Indices are anticipated to offer new clear alerts on bond market sentiment, and act as a brand new barometer of company credit score danger in North America and Europe. Designed to trace the extent of uncertainty in international credit score markets over numerous time horizons, this new suite of indices is anticipated to permit market members to higher monitor credit score market volatility and handle company credit score danger.”
Just like the VIX Index, the brand new Credit score VIX Indices are designed to trace near-term uncertainty round company credit score danger by measuring the market’s expectation of how unstable credit score default swap (CDS) index spreads can be over the subsequent 30 days.
Choices with various strikes convey totally different details about the anticipated future motion in credit score spreads; the Credit score VIX Methodology is designed to extract info from obtainable choices strikes and distill it to 1 quantity that represents a consensus view on near-term CDS index unfold volatility.
Cboe’s deliberate launch of the brand new Credit score VIX Indices provides to its suite of forward-looking option-implied volatility indices. The brand new indices comply with Cboe’s current launch of the Cboe 1-Day Volatility Index (VIX1D) and the Cboe S&P 500 Dispersion Index (DSPX), which had been additionally developed in collaboration with S&P DJI.