CHICAGO, Nov. 27, 2013 /PRNewswire/ -- Chicago Board Options Exchange, Incorporated® (CBOE®) today announced that it has created a new benchmark volatility index — the CBOE Mid-Term Volatility IndexSM (ticker: VXMTSM). CBOE began disseminating values for the new Mid-Term Volatility Index today.
The CBOE Mid-Term Volatility Index is a measure of the expected volatility of the S&P 500® Index over a six-month time horizon. The VXMT index is calculated using the well-known CBOE Volatility Index® (VIX Index®) methodology, applied to S&P 500 Index (SPX) options that expire six to nine months in the future.
As investors become more sophisticated in their understanding of volatility and their use of volatility products, the VXMT index offers a "macro" view of market risk, a view driven more by the perceived risk of broad economic factors and less by event risk. As a result, the VXMT index tends to move like the VIX index (0.91 correlation), but with lower volatility (55 percent versus 116 percent since January 2008).
The VXMT index joins CBOE's other S&P 500 Index volatility benchmarks — the CBOE Short-term Volatility IndexSM (VXSTSM index), which measures nine days; the VIX index, which measures 30 days; and the CBOE 3-Month Volatility IndexSM (VXVSM Index) -- to create a live, streaming representation of expected volatility at key points along the S&P 500 Index option term structure.
CBOE is disseminating VXMT Index values generally every 15 seconds during the trading day. VXMT Index values are available on CBOE's website at www.cboe.com/VXMT and through quote data vendors.
More information on the VXMT Index can be found at www.cboe.com/VXMT.
CBOE is the home of volatility trading. An innovator in the volatility space and leading creator of measures that track market volatility, CBOE currently publishes data on more than two dozen volatility-related benchmarks and strategies, including indexes that track broad-based indexes, sector and commodity-related ETFs, individual equities and others. Additional information on CBOE's volatility products can be found at www.cboe.com/Volatility.
CBOE, the largest U.S. options exchange and creator of listed options, continues to set the bar for options and volatility trading through product innovation, trading technology and investor education. CBOE Holdings offers equity, index and ETP options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options and futures 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 BuyWrite Index (BXM). CBOE
Holdings is home to the world-renowned Options Institute and www.cboe.com, the go-to place for options and volatility trading resources.
CBOE®, Chicago Board Options Exchange®, CFE®, FLEX®, LEAPS®, CBOE Volatility Index® and VIX® are registered trademarks, and BuyWriteSM, BXMSM, CBOE Futures ExchangeSM CBOE Mid-Term Volatility IndexSM, CBOE Short-Term Volatility IndexSM, CBOE 3-Month Volatility IndexSM, Execute SuccessSM, SPXSM, The Options InstituteSM, VXSTSM and VXMTSM 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.