CME Group announces launch of new implied volatility indexes

First CVOL offerings to include 10-Year Treasury Note and G5 FX currency pair indexes

oanda

CME Group, the world’s leading and most diverse derivatives marketplace, today announced it began daily publication of a suite of new implied volatility benchmark indexes based on its innovative, proprietary CME Group Volatility Index (CVOL™) methodology.

Beginning with eight implied volatility indexes on its 10-Year Treasury Note futures and G5 FX currency pair futures, the CVOL family of indexes will be expanded to include benchmarks across all major asset classes in the first half of 2021.

“Traders already rely on CME Group’s deep and liquid options markets to monitor, hedge against, or express views on volatility across all major asset classes ahead of market-moving events,” said Derek Sammann, CME Group Senior Managing Director and Global Head of Commodities and Options Products.

“Our new suite of CME Group Volatility Indexes now make implied volatility information directly available to clients. Going forward, by applying the CVOL methodology to all of our futures benchmarks across asset classes, we will be able to deliver a precise and consistent measure of volatility to market participants, ranging from Fixed Income and FX to Energy, Metals and Agricultural markets” he continued.

The CVOL indexes measure the 30-day forward-looking implied volatility of an underlying futures contract based on the information contained in the prices of CME Group’s robust options on futures markets.

The CVOL methodology incorporates every single strike price on the implied volatility curve, not just at-the-money options prices, to calculate a single volatility value called simple variance, which will allow clients to easily track and compare this metric across all available CVOL indexes.

Initially, the daily indexes will be available with two years of historical data on the seven individual treasury and FX volatility indexes, as well as an aggregate G5 FX currency index:

  • 10-Year Treasury CVOL Index (price and yield volatility indexes)
  • G5 FX CVOL Index
  • EUR/USD CVOL Index
  • GBP/USD CVOL Index
  • JPY/USD CVOL Index
  • AUD/USD CVOL Index
  • CAD/USD CVOL Index

In addition to the index volatility value, clients can access three additional indicators for each of the CVOL benchmark indexes to better understand market sentiment:

  • Up Variance – index on calls only
  • Down Variance – index on puts only
  • Skew – difference between Up Variance and Down Variance

CVOL is a family of benchmarks, designed on the basis of industry best practices and the IOSCO Principles for Financial Benchmarks. CME Group Benchmark Administration Limited (CBA) is the benchmark administrator with Chicago Mercantile Exchange Inc. (CME Inc.) providing Calculation Agent services.

CME Group Volatility Indexes will be available via our CVOL Index Visualizer tool, powered by QuikStrike and through CME Datamine, with calculations made daily, updated at the end of every trading session.

  • Read this next

    Retail FX

    eToro revives IPO plans after failed $10B SPAC merger

    Israeli social trading network eToro is actively exploring options for a public market listing, according to CEO Yoni Assia in an exclusive interview with CNBC.

    Digital Assets

    Meme Coin Communities Gear Up for the CoinMarketCap Crypto Awards

    CoinMarketCap’s Crypto Awards 2024, the first edition of a new annual event, is captivating the global crypto community. This is especially true for the Meme Coin Of The Year category, where voting has become a battleground for the most passionate and vibrant communities in the crypto space.

    Digital Assets

    Sui Recognized as 2024 Blockchain Solution of the Year at AIBC Eurasia Awards

    The Layer-1 Received the Top Honor at the Eurasia Awards While Experiencing a Period of Unprecedented Growth and Recognition

    Crypto Insider

    Vitalik Buterin, Sandeep Nailwal Lead Decentralized AGI Summit, Address Centralized AI Risks at ETHDenver

    Sentient and Symbolic Capital’s Decentralized AGI Summit will feature leading Decentralized AI authorities like Vitalik Buterin and Sandeep Nailwal.

    Digital Assets

    Aethir Unveils Its First Decentralized AI Node Sale

    Aethir, a leader in decentralized GPU cloud infrastructure, has announced its highly anticipated Node Sale.

    Market News

    Weekly data: Oil and Gold. How they might be affected in the short term?

    This preview of weekly data looks at USOIL and XAUUSD where economic data coming up later this week are the main market drivers for the near short-term outlook.

    Digital Assets

    BitForex goes offline after mysterious $57 million withdrawal

    BitForex, the Hong Kong-based cryptocurrency exchange, abruptly went offline following a mysterious withdrawal of $57 million from its hot wallets. Blockchain detective ZachXBT was among the first to spotlight this, revealing that BitForex has ceased withdrawal transactions and its team appears to be unresponsive.

    Digital Assets

    Should the largest Bitcoin trade be priced in BTC or USD?

    Three days ago, the Bitcoin network witnessed a staggering transaction of 26,139 BTC, valued at $1.347 billion. This recent transaction contrasts sharply with a notable event from 2011, where 500,000 BTC were moved, then valued at around $1.13 million.

    Market News

    EURUSD volatility abound as more Americans buy houses whilst Europe lags behind

    EURUSD volatility has been on the rise, reflecting contrasting trends between the United States and Europe, particularly in the housing market.

    <