CME And CBOE To Create Volatility Indexes
CME Group and the Chicago Board Options Exchange have signed a seven-year agreement centered on the development of a family of options volatility indexes using the same methodology as that of the CBOE’s well-known VIX index.
The CBOE will develop, maintain and calculate the indexes in addition to having ownership rights; however, it has licensed those resulting indexes to CME to be used as the basis for futures and options on futures.
CME has said the indexes would cover multiple asset classes, but so far it appears that the initial indexes will track options on oil, gold, corn and soybeans. The first members of the new index family are expected to debut in the third quarter.
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