CBOE to offer oil price volatility index

CHICAGO, July 14 (Reuters) - The Chicago Board Options Exchange, the largest U.S. options market, said on Monday it will introduce a new crude oil volatility index -- a move that will expand its suite of volatility benchmark products into new non-equity asset classes.

The exchange will begin publishing the so-called CBOE Crude Oil Volatility Index .OVX or OVX on Tuesday.

The OVX or "Oil VIX," measures the market's expectation of 30-day volatility of crude oil prices based on options on the United States Oil Fund LP USO.A.

The new benchmark will apply the same methodology as CBOE's popular Volatility Index .VIX or VIX, Wall Street's main barometer of investor fear, which measures projected volatility for Standard & Poor's 500 index .SPX options prices, CBOE said.

The USO is an exchange-traded fund designed to track changes in crude oil prices.

Unlike most other ETFS and mutual funds, the USO is a commodity pool that invests in oil futures on the New York Mercantile Exchange, options on oil futures and forward contracts. It does not hold shares of individual companies.

By holding near-term futures contracts and cash, the performance of the fund is intended to reflect, as closely as possible, the spot price of West Texas Intermediate light, sweet crude oil, less USO expenses, CBOE said.

With the introduction of OVX, the first commodity-based volatility index, the exchange said it expands its volatility franchise to new, non-equity asset classes.

In the coming months, CBOE plans to develop volatility indexes based on other commodities such as gold and foreign currencies.

CBOE currently publishes data on nine different volatility-related benchmarks and strategies. (Reporting by Doris Frankel, editing by Mark Porter)