Wednesday, March 24, 2010

CME to Use VIX Methodology for New Crude Oil, Corn, Soybean and Gold Volatility Indices

Earlier this month, the Chicago Mercantile Exchange (CME) announced they are collaborating with the Chicago Board Options Exchange (CBOE) to bring to market four new volatility indices which are scheduled to be launched in the third quarter of 2010.

The CBOE will use the VIX methodology to calculate volatility indices for four commodities: crude oil; corn; soybeans; and gold.

Commenting on this new collaborative effort between the CBOE and the CME, CBOE Executive Vice President Richard G. DuFour noted, “VIX has become the accepted standard for measuring market volatility, and the new products that will result from this agreement illustrate the broad utility of this methodology.”

Personally, I find it difficult to disagree with DuFour’s assessment and am excited by the prospect of volatility indices being extended to the CME and commodities. Of course the CBOE has already rolled out two commodity-related volatility indices with the CBOE Crude Oil Volatility Index, also known as the “Oil VIX” (OVX) and the CBOE Gold Volatility Index, also known as the “Gold VIX” (GVX). Should the joint CME/CBOE volatility indices gain broad acceptance, I would not be surprised to see additional commodity-related volatility indices to follow.

For more on related subjects, readers are encouraged to check out:

Disclosure(s): none

blog comments powered by Disqus
DISCLAIMER: "VIX®" is a trademark of Chicago Board Options Exchange, Incorporated. Chicago Board Options Exchange, Incorporated is not affiliated with this website or this website's owner's or operators. CBOE assumes no responsibility for the accuracy or completeness or any other aspect of any content posted on this website by its operator or any third party. All content on this site is provided for informational and entertainment purposes only and is not intended as advice to buy or sell any securities. Stocks are difficult to trade; options are even harder. When it comes to VIX derivatives, don't fall into the trap of thinking that just because you can ride a horse, you can ride an alligator. Please do your own homework and accept full responsibility for any investment decisions you make. No content on this site can be used for commercial purposes without the prior written permission of the author. Copyright © 2007-2023 Bill Luby. All rights reserved.
Web Analytics