Cboe to launch four new Credit Volatility Indices (Credit VIX)

Rick Steves

“The Credit VIX Indices are expected to provide new clear signals on bond market sentiment, and act as a new barometer of corporate credit risk in North America and Europe.”

Cboe Global Markets, Inc., in collaboration with S&P Dow Jones Indices, announced the introduction of four new Credit Volatility Indices (Credit VIX).

Set to launch on October 13, 2023, these indices are intended to act as key barometers of corporate credit risk, essentially expanding the VIX methodology into the fixed-income space.

“Interest in this asset class continues to grow amidst a rising rate environment”

“As we celebrate the 30th anniversary of the VIX Index this year, we couldn’t be more excited to continue our track record of innovation and collaboration with S&P DJI,” said Rob Hocking, Senior Vice President and Head of Product Innovation at Cboe. “Interest in this asset class continues to grow amidst a rising rate environment, and we expect these indices will help investors better track credit market volatility, manage corporate credit risk, or implement yield-enhancement and hedging strategies.”

The indices aim to mirror the market’s perception of expected near-term volatility in corporate credit risk, much like the traditional VIX measures anticipated equity market volatility. The development comes as financial markets navigate turbulent conditions, including recent bank collapses and persistent economic uncertainties. The new indices are:

CDX/Cboe NA High Yield 1-Month Volatility Index (VIXHY)
CDX/Cboe NA Investment Grade 1-Month Volatility Index (VIXIG)
iTraxx/Cboe Europe Main 1-Month Volatility Index (VIXIE)
iTraxx/Cboe Europe Crossover 1-Month Volatility Index (VIXXO)

“A new barometer of corporate credit risk in North America and Europe”

“The Credit VIX Indices are expected to provide new clear signals on bond market sentiment, and act as a new barometer of corporate credit risk in North America and Europe,” added Frans Scheepers, Head of Fixed Income, Currency and Commodity Products at S&P Dow Jones Indices.

The Credit VIX indices come at a crucial time for investors, particularly given the rise in volatility observed amid the COVID-19 pandemic and the 2023 collapse of two U.S. banks. For instance, the VIXHY Index jumped from 240.09 on March 2 to 394.15 on March 20 this year, and during the COVID-19 crisis, it surged to 1,263.97.

This new product suite is a compelling addition to Cboe’s existing roster of volatility indices and is aligned with the exchange’s strategy of providing more comprehensive analytical tools to market participants. It builds upon Cboe’s recent launches of the Cboe 1-Day Volatility Index (VIX1D) and the Cboe S&P 500 Dispersion Index (DSPX), also developed in association with S&P DJI.

The introduction of Credit VIX indices has the potential to significantly influence how market participants gauge credit risk. They offer the much-needed clarity and quantifiable measures that can aid in tactical decision-making, from hedging strategies to comparative analysis across different asset classes.

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