Wednesday November 18 2020

News Source: Global Exchanges

Focus: General - Global Exchanges

Type: General

Country: US

Link: https://bit.ly/2KiwczA




On 17th November 2020, the Chicago Mercantile Exchange (CME) Group announced that it began daily publication of a suite of new implied volatility benchmark indexes based on its innovative, proprietary CME Group Volatility Index (CVOL™) methodology. Beginning with eight implied volatility indexes on its 10-Year Treasury Note futures and G5 FX currency pair futures, the CVOL family of indexes will be expanded to include benchmarks across all major asset classes in the first half of 2021.

The CVOL indexes measure the 30-day forward-looking implied volatility of an underlying futures contract based on the information contained in the prices of CME Group’s robust options on futures markets. The CVOL methodology incorporates every single strike price on the implied volatility curve, not just at-the-money options prices, to calculate a single volatility value called simple variance, which will allow clients to easily track and compare this metric across all available CVOL indexes.

Initially, the daily indexes will be available with two years of historical data on the seven individual treasury and FX volatility indexes, as well as an aggregate G5 FX currency index:

  • 10-Year Treasury CVOL Index (price and yield volatility indexes)
  • G5 FX CVOL Index
  • EUR/USD CVOL Index
  • GBP/USD CVOL Index
  • JPY/USD CVOL Index
  • AUD/USD CVOL Index
  • CAD/USD CVOL Index

In addition to the index volatility value, clients can access three additional indicators for each of the CVOL benchmark indexes to better understand market sentiment:

  • Up Variance – index on calls only
  • Down Variance – index on puts only
  • Skew – difference between Up Variance and Down Variance

CVOL is a family of benchmarks, designed on the basis of industry best practices and the IOSCO Principles for Financial Benchmarks. CME Group Benchmark Administration Limited (CBA) is the benchmark administrator with Chicago Mercantile Exchange Inc. (CME Inc.) providing Calculation Agent services.

Click on the above link for further information.