UNITED STATES: CBOE Launches 1-Day Volatility Index

Tuesday April 25 2023

On 24^th April 2023, Cboe Global Markets, Inc. (Cboe: CBOE) announced the launch of the Cboe 1-Day Volatility Index (VIX1D).

The VIX1D Index seeks to measure the expected volatility of the S&P 500 Index over the current trading day. 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.

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.

VIX1D Index data is available on Bloomberg and other data vendors under the ticker VIX1D.

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