Cboe Global Markets and S&P Dow Jones Indices to Launch New Credit VIX Indices on October 13

Cboe Global Markets and S&P Dow Jones Indices to Launch New Credit VIX Indices on October 13

Categories:
Tags:
Liquidity Finder logo picture.Liquidity Finder - Sam Low
|
Oct 3, 2023
|
|

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

|
|

Comments

Latest

Loading Comments

Please Sign In or Create Your FREE Account to Comment.

LiquidityFinder

LiquidityFinder was created to take the friction out of the process of sourcing Business to Business (B2B) liquidity; to become the central reference point for liquidity in OTC electronic markets, and the means to access them. Our mission is to provide streamlined modern solutions and share valuable insight and knowledge that benefit our users.

If you would like to contribute to our website or wish to contact us, please click here or you can email us directly at press@liquidityfinder.com.