CBOE To Enhance VIX Index Methodology By Including SPX Weeklys Option Series

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Sep 04, 2014, 09:00 ET

CHICAGO and COUNTY WICKLOW, Ireland, Sept. 4, 2014 /PRNewswire/ -- Chicago Board Options Exchange, Incorporated (CBOE^®) announced today that starting on October 6, it plans to begin including SPX Weeklys^SM options series -- expiring every Friday, except the third Friday of each month -- in its CBOE Volatility Index^® (VIX Index^®) calculation. CBOE CEO Edward Tilly made the announcement during his address to attendees at the CBOE Risk Management Conference Europe, currently taking place outside of Dublin.

Currently, only S&P 500^® Index (SPX^SM) options with monthly expirations are used in the VIX Index calculation. The inclusion of SPX Weeklys into the VIX methodology will not alter the VIX formula. The addition of Weeklys options will simply allow VIX Index "spot" values to be calculated with S&P 500 Index option series that more precisely match the 30-day target timeframe for expected volatility that the VIX Index is intended to represent.

"The VIX Index continues to evolve to keep pace with changes in the underlying SPX options market," Tilly said. "We've seen SPX Weeklys options volume grow significantly over the past several years, and it now accounts for approximately one-third of all SPX options traded, averaging over 250,000 contracts traded per day so far this year. That healthy liquidity makes inclusion of Weeklys options a natural enhancement to our VIX Index calculation."

The addition of SPX Weeklys options to the VIX Index calculation will not impact the exchanges' VIX Index products. The final settlement value for VIX futures and options will continue to use the same VIX Index formula and the opening prices of standard (i.e., third Friday expiration) SPX option series.

About CBOE

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, Weeklys 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.

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CBOE^®, Chicago Board Options Exchange^®, CFE^®, Execute Success^®, FLEX^®, LEAPS^®, CBOE Volatility Index^® and VIX^® are registered trademarks, and BuyWrite^SM, BXM^SM, Weeklys^SM, SPX^SM and The Options Institute^SM 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.