CHICAGO, Sept. 20 /PRNewswire/ -- The Chicago Board Options Exchange (CBOE) announced that it has begun disseminating calculations on two new volatility benchmark indexes based on options on futures contracts presently listed on CME Group exchanges. The CBOE/NYMEX WTI Volatility Index (ticker symbol OIV) and the CBOE/COMEX Gold Volatility Index (ticker symbol GVX) are the first in a series of new volatility benchmark indexes to be created as a result of the licensing agreement between CBOE and CME that was first announced in March 2010.
CBOE is calculating the new volatility benchmark indexes by applying its established CBOE Volatility Index® (VIX®) methodology to the prices from existing options on futures contracts on gold and crude oil products at CME Group exchanges. CBOE is also the initial disseminator of the price data for each of the volatility benchmark indexes.
CBOE, which introduced the CBOE Volatility Index (VIX) methodology in 1993 as the first measure of volatility in the overall market, retains ownership of both the methodology and the two new volatility indexes that will be used by CME Group. The agreement also grants CME Group a worldwide license to trade futures and options on futures products based on the new indexes being calculated by CBOE. At this time, these volatility indexes are benchmarks with tradable products available in the future.
"CBOE's VIX and volatility-related products are increasingly being recognized as an emerging new asset class in the financial sector. CBOE continues to broaden the appeal of volatility trading by creating innovative new products," said CBOE Executive Vice President Richard DuFour. "These two new volatility benchmark indexes mark the first time that CBOE has applied its VIX methodology to non-CBOE product data, and further expands CBOE's VIX methodology and product line into highly active commodity sectors."
"CBOE's VIX methodology is the industry standard in gauging market sentiment," said Scot Warren, CME Group's Managing Director of Equity Index Products and Services. "By combining this methodology with our option pricing, we will develop futures contracts that will allow our global customers to more efficiently and effectively hedge their exposure to market volatility across a wide range of asset classes."