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Screenshot of a breaking news alert e-mail from Q2 2017
Cboe Global Markets, Inc. (Nasdaq: CBOE) has announced the launch of up-to-the-minute market estimates of one-year volatility, the Cboe
One-Year Volatility Index (ticker: VIX1Y), calculated by using real-time prices of options in the S&P 500® Index (SPXSM).
The introduction of VIX1Y will give traders the ability to track the relative movements of one-month and one-year expected volatility,” said Michael Mollet, Director of Product Development for Cboe Global Markets. “We also expect the one-year index to be a useful tool to monitor the market’s expectations for longer-term volatility for investors with longerduration liabilities, such as insurance companies and pension funds.
The dissemination of the long-term One-Year VIX Index, which is calculated based on the VIX Index methodology, comes during Cboe’s month-long celebration of the 25th anniversary of the Cboe Volatility Index® (VIX® Index). The original VIX Index, which Cboe began publishing in April 1993, measures the 30-day expected volatility of the S&P 500 Index. Cboe is exploring the development of a futures contract on the Cboe One-Year Volatility Index, which would be subject to regulatory review.
The VIX1Y uses SPX options on the March expiration cycle that reference most closely a 366-day maturity, then weights them to yield a constant measure of volatility in the S&P 500 Index over the period of approximately one year.