The following is from CBOE...
The Chicago Board Options Exchange, Incorporated® (CBOE®) today announced that it will begin disseminating values for a new volatility index benchmark — the CBOE EFA ETF Volatility Index (VXEFA) — on Monday, July 1. The VXEFA Index, the newest addition to CBOE's suite of volatility benchmarks, expands investors' ability to track market volatility of major geographic regions outside of the United States.
The new Index measures the volatility of the iShares MSCI EAFE Index Fund (EFA), an exchange traded product (ETP) that offers exposure to developed-market stocks in Europe, Australia, Asia and the Far East. Most recently, EFA options were the tenth-most-active ETP options class in 2013, averaging 82,000 contracts traded per day industry-wide.
The value of the VXEFA Index is derived by applying the CBOE Volatility Index® (VIX®) methodology to CBOE-listed options prices on EFA.
The new VXEFA Index complements other CBOE indexes that measure market volatility geographically. VXEFA, together with the VIX® and the CBOE Emerging Markets ETF Volatility Index (VXEEM) -- based on the iShares Emerging Markets Index Fund (EEM) -- offer retail and institutional investors, including asset managers, product issuers and hedge funds, the ability to measure equity volatility globally.
CBOE also disseminates values on country-specific market volatility in Brazil and China with the CBOE Brazil ETF Volatility Index (VXEWZ), based on the iShares MSCI Brazil Index Fund (EWZ), and the CBOE China ETF Volatility Index (VXFXI), based on the iShares Trust FTSE China 25 Index Fund (FXI).
For more information on the CBOE EFA ETF Volatility Index, including historical values of VXEFA from 2008 to present, see www.cboe.com/VXEFA.
CBOE, known as the home of volatility indexes, currently publishes data on more than two dozen volatility-related benchmarks and strategies. For additional information on CBOE's volatility indexes, go to www.cboe.com/volatility.