- VXTYN Futures Can Provide Hedge Against Interest Rate Volatility
CHICAGO, IL November 6, 2014 -- CBOE Futures ExchangeSM (CFE®) confirmed today that it will launch futures trading on the CBOE/CBOT 10-year U.S. Treasury Note Volatility IndexSM (ticker symbol: VXTYN) next week, on Thursday, November 13, 2014.
Futures on the VXTYN® Index offer customers a way to hedge pure interest rate volatility risk based on U.S. government debt with a single product for the first time. The VXTYN Index, on which futures on VXTYN are based, is calculated by applying the CBOE Volatility Index® (VIX® Index) methodology to futures options data from CME Group’s 10-year U.S. Treasury note contract -- one of CME Group’s most actively traded interest rate options products.
“The market for interest rate derivatives, by far the largest asset class in the over-the-counter market, is estimated to be 40 times the size of the equity market in terms of notional value outstanding. We’re excited to tap into this space for the first time with a product that will enable customers to better manage interest rate volatility risk,” CBOE CEO Edward T. Tilly said. “Leading up to the launch of VXTYN futures, we have worked closely with -- and received encouraging feedback from -- market participants most likely to trade VXTYN futures. We are also encouraged by the interest we’re seeing among ETP issuers, as well as from European and Asian customers who have exposure to U.S. interest rates, either directly or indirectly.”
Potential users of VXTYN futures could include mortgage-backed securities investors and other large credit managers seeking to hedge against adverse interest rate movements; large bond funds that are naturally long interest rate volatility and are seeking a yield-enhancing mechanism; and hedge funds, volatility arbitrage firms and global macro participants seeking to express their views on forthcoming monetary policy events or to capture mispricing anomalies between cross-asset volatility (e.g., fixed income versus equity volatility).
Three Lead Market Makers (LMMs) have been appointed to make markets in VXTYN futures when the contract launches. “We are very pleased to have this strong commitment from these firms early on,” Tilly added.
In May 2013, CBOE began calculating and disseminating VXTYN Index values as part of an agreement between CBOE and CME Group.
For more information on VXTYN futures and the VXTYN Index, see www.cboe.com/VXTYN.
CBOE, the leading exchange in the volatility space and the home of volatility benchmarks, strategies and products, now calculates and disseminates benchmark data on over three dozen volatility-related products, including the widely followed VIX Index, the world’s barometer of equity market volatility. In addition to its suite of benchmarks and strategies, volatility options and futures contracts on the VIX Index can be traded at CBOE and CFE, respectively. For more information on CBOE’s volatility products, go to www.cboe.com/Volatility.
About CBOE Futures Exchange
CBOE Futures Exchange currently offers nine contracts: CBOE Volatility Index (VIX Index) futures (VX), CBOE Short-Term Volatility Index (VXST) futures, S&P 500 Variance futures (VA), CBOE NASDAQ-100 Volatility Index (VXN) futures (VN), CBOE Russell 2000 Volatility Index (RVX) futures (VU), CBOE Gold ETF Volatility Index (GVZ) security futures (GV), CBOE Crude Oil ETF Volatility Index (OVX) security futures (OV), CBOE Emerging Markets ETF Volatility Index (VXEEM) security futures (VXEM) and CBOE Brazil ETF Volatility Index (VXEWZ) security futures (VXEW).
CFE, a wholly-owned subsidiary of CBOE Holdings, Inc. (NASDAQ: CBOE), offers an all-electronic, open-access market model, with traders providing liquidity and making markets. CFE is regulated by the Commodity Futures Trading Commission (CFTC) and all trades are cleared by the OCC. More information on CFE and its products, including contract specifications, can be found at: http://cfe.cboe.com/.
CBOE®, Chicago Board Options Exchange®, CFE®, Execute Success®, VXTYN®, CBOE Volatility Index® and VIX® are registered trademarks, and CBOE Futures ExchangeSM, CBOE Short-Term Volatility IndexSM, CBOE/CBOT 10-year U.S. Treasury Note Volatility IndexSM, CBOE Nasdaq-100 Volatility IndexSM, VXNSM, VNSM, CBOE Brazil ETF Volatility IndexSM, VXEWSM, VXEWZSM, CBOE Crude Oil ETF Volatility IndexSM, OVXSM, OVSM, CBOE Emerging Markets ETF Volatility IndexSM, VXEMSM, VXEEMSM, CBOE Gold ETF Volatility IndexSM, GVZSM, GVSM, CBOE Russell 2000 Volatility IndexSM, RVXSM, VASM, VUSM, VXSM , and VXSTSM 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 and CFE. Russell® and Russell 2000® are registered trademarks of Frank Russell Company and have been licensed for use by CBOE and CFE. Nasdaq® and Nasdaq-100® are registered trademarks of The Nasdaq Stock Market, Inc. and have been licensed for use by CBOE and CFE.
CBOT is a trademark of CME Group, Inc. (CME). CBOE has, with the permission of CME, used such trademark in the CBOE/CBOT 10 Year U.S. T-Note Volatility Index. CME makes no representation regarding the advisability of investing in any investment product that is based on such index.