The Chicago Board Options Exchange (CBOE) launched the EuroCurrency Volatility and Gold Volatility indexes in late July and announced plans to expand the volatility franchise to other commodity based exchange-traded fund (ETF), currencies and interest rates.
The CBOE EuroCurrency Volatility index applies CBOE’s VIX methodology to the CurrencyShares Euro Trust, an ETF, intended to reflect the U.S. dollar to euro exchange rate. The CBOE Gold Volatility index applies the VIX methodology to the SPDR Gold Shares ETF, and the exchange launched a Crude oil volatility index in July.
“What’s next? The agricultural commodities? It only makes sense,” asks Noel A. Blue, a broker and analyst at the CBOT. She says that volatility in the agricultural markets is high and likely to increase and that an agricultural volatility index at the CBOT, home of the ag futures market in the United States, would boost volume and revenue and offer liquidity providers an essential hedge tool. “We need something like this to use as a global fear gauge of food prices,” she says. “CBOE is going to implement it and we will lose the revenue.”
