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October 03, 2023 - Cboe Global Markets, Inc. and S&P Dow Jones Indices today announced plans to launch four new Credit Volatility Indices (Credit VIX) on Friday, October 13, 2023.
The new indices, jointly developed by Cboe Labs and S&P DJI, are based on Cboe’s proprietary VIX® Index methodology and S&P DJI’s CDX and iTraxx Indices. They aim to track expected volatility across North American and European credit markets.
The Cboe Volatility Index® (VIX®) tracks expected U.S. equity market volatility. The new Credit VIX Indices provide a comparable benchmark for credit markets.
“As we celebrate the 30th anniversary of the VIX Index this year, we couldn't be more excited to continue our track record of innovation and collaboration with S&P DJI by extending the VIX Index methodology into the fixed income space,” said Rob Hocking, Cboe Senior Vice President and Head of Product Innovation.
“This launch further strengthens our ongoing collaboration with Cboe while providing additional insights into the level of expected volatility for the fixed income marketplace,” said Frans Scheepers, S&P Dow Jones Indices Head of Fixed Income, Currency and Commodity Products.
Similar to the VIX Index, the Credit VIX Indices track near-term uncertainty around corporate credit risk by measuring expectations for volatility of credit default swap index spreads over 30 days.
The new indices add to Cboe’s suite of forward-looking option-implied volatility indices. More details are available at www.cboe.com/labs.
