Bloomberg News

Volatility Index for 10-Year Treasury Options Begun by CBOE, CME

May 23, 2013

The Chicago Board Options Exchange and the CME Group Inc. started an index that measures the pace of projected swings in U.S. 10-year Treasury futures.

The volatility index, based on options on the CME Group’s 10-year Treasury note futures, will be calculated and disseminated by the CBOE to gauge the expected level of swings in long-term Treasuries as signaled by the options market. More than 56 million options contracts on 10-year Treasury note futures traded last year on CME, the world’s largest futures exchange, according to a note published today.

As well as being CME’s most active interest-rate options, “interest-rate derivatives also represent the largest asset class in the over-the-counter market,” Richard Dufour, an executive vice president at the CBOE, wrote in the note. “We believe this CBOE/CBOT Volatility Index will serve as a strong benchmark to help our global customers manage their exposure to market volatility.”

CBOT, as the Chicago Board of Trade is known, is a CME Group exchange on which Treasury futures and options are traded.

The CBOE in coordination with the CBF, a futures exchange also among firms held by CBOE Holdings Inc. (CBOE:US), plans to eventually offer trading on the new volatility index.

To contact the reporter on this story: Liz Capo McCormick in New York at emccormick7@bloomberg.net

To contact the editor responsible for this story: Dave Liedtka at dliedtka@bloomberg.net


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