Cboe Global Markets introduces 1-Day Volatility Index
Leading derivatives and securities exchange network Cboe Global Markets, Inc. today announced the launch of the Cboe 1-Day Volatility Index (VIX1D).
Developed by Cboe Labs, the company’s in-house innovation hub, the VIX1D Index seeks to measure the expected volatility of the S&P 500® Index over the current trading day (today); in other words, single trading day volatility.
Similar to the Cboe Volatility Index® (VIX® Index), the VIX1D Index estimates expected volatility by aggregating the weighted prices of P.M.-settled SPX (SPXW) options with one- to zero- day expirations over a wide range of strike prices. Specifically, the prices used to calculate VIX1D Index values are midpoints of real-time, SPXW option bid/ask price quotations.
“For decades, market participants looking to understand, measure and manage volatility have turned to Cboe. We are committed to continuing to innovate in the volatility space and we believe the VIX1D Index will be a complementary addition for market participants seeking to better understand current equity market volatility or as they employ different trading strategies,” said Ed Tilly, Chairman of the Board and CEO of Cboe Global Markets. “The development of the VIX1D Index is another example of the strength of Cboe and S&P Dow Jones Indices’ long-standing relationship, highlighting the companies’ shared commitment to drive innovation through rigorous data analysis and market solutions.”
Launched 30 years after the original Cboe Volatility Index® (VIX® Index) debuted in April 1993, the VIX1D Index is a natural complement to the 30-day VIX Index and Cboe’s entire VIX Index suite, including the VIX 1-year, VIX 6-month, VIX 3-month and VIX 9-day Indices. The new, non-tradable 1-day volatility index is designed to provide real-time information about the expected volatility of the current trading day (today).
The VIX1D Index and the VIX Index use a similar methodology to estimate expected volatility. The VIX1D Index has been designed to account for the compressed measurement of expected volatility over a single day and differs from the VIX Index in ways to account for this.
By its nature, the VIX1D Index is expected to generally behave in a more volatile manner than indices that measure a longer time horizon of expected volatility. This is because news events that affect the S&P 500 Index on a given day are expected to have a larger impact in short-dated SPX options than in longer dated options when market participants have more time to react to the news event.
VIX1D Index data is available on Bloomberg and other data vendors under the ticker VIX1D.