CBOE to publish data on new volatility indexes
* CBOE applies VIX methodology to new volatility indexes
* VIX methodology extended to commodity sectors
* Customers can hedge volatility exposure in other classes
CHICAGO, Sept 20 (Reuters) - The Chicago Board Options Exchange (CBOE.O) said on Monday it has created two new volatility benchmark indexes for CME Group Inc (CME.O) as part of a licensing agreement between the two exchanges.
CBOE said it calculated the new CBOE/NYMEX WTI Volatility Index .OIV and the CBOE/COMEX Gold Volatility Index .GVX by applying its proprietary methodology to the prices from existing options on futures contracts on crude oil and gold products listed on CME Group exchanges.
CBOE, the largest U.S. options exchange, is owned by CBOE Holdings Inc. The exchange is home to Wall Street's favorite measure of investor sentiment, the CBOE Volatility Index .VIX or VIX, a 30-day risk forecast of stock market volatility.
The new indexes are the first in a series of volatility benchmark indexes created from a deal struck between CBOE and CME, the biggest U.S. operator of futures exchanges, in March. For details, please see [ID:nN05205722].
CBOE said it is also the initial disseminator of the price data for each of the indexes.
"These two new volatility benchmark indexes mark the first time that CBOE has applied its VIX methodology to non-CBOE product data, and further expands CBOE's VIX methodology and product line into highly active commodity sectors," CBOE Executive Vice President Richard DuFour said in a statement.
By combining this methodology with CBOE's option pricing, the futures contracts will allow CME customers to more efficiently hedge their exposure to market volatility across a range of assets, said CME Group's Managing Director of Equity Index Products and Services Scot Warren.
CBOE, which introduced the VIX methodology in 1993 as the first measure of volatility in the overall market, is the owner of both the methodology and the two new volatility indexes that will be used by CME Group.
"The agreement also grants CME Group a worldwide license to trade futures and options on futures products based on the new indexes being calculated by CBOE," CBOE said. "At this time, these volatility indexes are benchmarks with tradable products available in the future."
CBOE offers volatility products, including cash-settled VIX options, VIX futures and options on volatility related exchange-traded notes. CBOE said it also plans to trade weekly options on VIX futures next week. (Reporting by Doris Frankel; Editing by Padraic Cassidy)
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