CBOE To Introduce First Interest Rate-Based Volatility Index

June 13, 2012

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/PRNewswire/ -- The Chicago Board Options Exchange (CBOE) announced today that it will begin disseminating values for its first interest rate-based volatility index, the CBOE Interest Rate Volatility Index (ticker: SRVX), on Monday, June 18.  The SRVX Index is designed to offer fixed income options traders and portfolio managers a standardized and transparent measure of interest rate swap volatility.

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CBOE's Interest Rate Volatility Index measures expected basis-point volatility in the interest rate swap market. Specifically, the index is based on one-year/ten-year U.S. dollar-denominated swap options (swaptions), which are one of the most actively traded contracts in the $14.5-trillion notional over-the-counter (OTC) U.S. dollar interest rate option market.

"The CBOE Interest Rate Volatility Index extends the same benefits provided by our widely followed equity index volatility benchmarks to customers in the enormous fixed income market," CBOE Chairman and CEO William J. Brodsky said. "Interest rate swaps and swaptions together are the most actively traded derivatives in the OTC market, and we believe the CBOE Interest Rate Volatility Index will enable participants to more efficiently assess risk in this enormous asset class." 

The SRVX Index is calculated using data provided by major interdealer brokers in the swaption market, applied to a formula similar to the methodology for the CBOE Volatility Index (the VIX Index). CBOE initially will disseminate the SRVX Index value once a day after 3 p.m. Central Time. The index value will be available from quote data vendors and on CBOE's web site at www.cboe.com/SRVX.

The index was developed with significant contributions by Antonio Mele and Yoshiki Obayashi of Applied Academics LLC.

CBOE, known as the home of volatility indexes, currently publishes data on more than two dozen volatility-related benchmarks and strategies.

For more information on the CBOE Interest Rate Volatility Index, including a white paper, see www.cboe.com/SRVX.

CBOE, the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education. CBOE offers equity, index and ETF options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options on the CBOE Volatility Index (the VIX Index). Other products engineered by CBOE include equity options, security index options, LEAPS options, FLEX options, and benchmark products such as the CBOE S&P 500 BuyWrite Index (BXM). CBOE is home to the world-renowned Options Institute and www.cboe.com named "Best of the Web" for options information and education. CBOE is regulated by the Securities and Exchange Commission (SEC), with all trades cleared by the OCC.

CBOE®, Chicago Board Options Exchange®, FLEX®, LEAPS®, CBOE Volatility Index® and VIX® are registered trademarks, and BuyWrite(SM), BXM(SM), CBOE Interest Rate Volatility Index(SM), SRVX(SM) SPX(SM) and The Options Institute(SM) are service marks of Chicago Board Options Exchange, Incorporated (CBOE). Standard & Poor's®, S&P® and S&P 500® are registered trademarks of Standard & Poor's Financial Services, LLC and have been licensed for use by CBOE. 

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SOURCE CBOE