CME announces cessation of three Eurodollar CVOL indices
International derivatives marketplace CME Group announces the pending cessation of three Eurodollar CVOL indices.
On Monday, March 6, 2023, the calculation and publication of the following three Eurodollar CVOL benchmarks and associated derivative indicators, which use Eurodollar futures and options as input data, will permanently cease as approved by the CVOL Oversight Committee.
- Eurodollar 90-day CVOL
- Eurodollar 1-year Mid-curve 90-day CVOL
- Eurodollar 2-year Mid-curve 90-day CVOL
CVOL is the global volatility benchmark index, derived from the world’s most actively traded options on futures, across major asset classes. It is available in real-time streaming and daily benchmarks.
CVOL replicates an equivalent simple variance options portfolio from equal weighted option strips which also produces its auxiliary indicators, DnVar, UpVar, Skew, Convexity and ATM.