CBOE TO LAUNCH OPTIONS ON THE CBOE NASDAQ-100 VOLATILITY INDEX AND CBOE RUSSELL 2000 VOLATILITY INDEX ON SEPTEMBER 27, 2007
Chicago, IL and Montreux, Switzerland, September 6, 2007 - The Chicago Board Options Exchange (CBOE) announced today that it plans to launch options on the CBOE Nasdaq-100 Volatility Index (ticker symbol VXN) and the CBOE Russell 2000 Volatility Index (ticker symbol RVX) beginning Thursday, September 27, 2007, under licensing agreements with The Nasdaq Stock Market, Inc. and The Russell Investment Group.
These two new contracts expand the suite of volatility products offered exclusively at CBOE and the CBOE Futures Exchange (CFE). CBOE will now offer options on three of CBOE's volatility benchmarks, as VXN and RVX options will join the popular CBOE Volatility Index (VIX) options. Since their launch in February 2006, VIX options have already traded nearly 20 million contracts, making VIX options the most successful new product launch in CBOE history.
At the CBOE Futures Exchange, futures on six volatility products are currently offered for trading. Futures on the CBOE Nasdaq-100 Volatility Index (VXN) and the CBOE Russell 2000 Volatility Index (RVX) began trading at CFE on July 6, 2007. In their first full month of trading, RVX futures traded more than 6,000 contracts, the best new product debut ever at CFE, while volume in VXN futures was nearly 2,000 contracts during the first 30 trading days. CFE's other volatility products include: futures on the CBOE Volatility Index (VIX) and the CBOE DJIA Volatility Index (VXD), as well as CBOE S&P 500 3-month (VT) and CBOE S&P 500 12-month Variance (VA) futures.
"CBOE pioneered the volatility space with the creation of the CBOE Volatility Index (VIX), the preeminent measure of market volatility. Subsequently, CBOE's introduction of options and futures on VIX made volatility itself a tradable asset class. The growth of VIX futures and options has been impressive, and we are eager to expand our suite of volatility products. CBOE's introduction of options on the Nasdaq-100 Volatility and Russell 2000 Volatility Indexes follows the promising launch of the futures on those indexes in July. We are extremely pleased to provide investors with options on these widely-followed volatility benchmarks," said CBOE Chairman and CEO William J. Brodsky.
CBOE Volatility Indexes are designed to reflect investors' consensus view of expected volatility over the next 30 days in the respective underlying indexes, and as such, can be used as a benchmark of investor sentiment. CBOE Volatility Indexes are derived from options prices of each index traded at CBOE.
The CBOE Nasdaq-100 Volatility Index (VXN) is an up-to-the minute market estimate of expected volatility that is calculated by using real-time Nasdaq-100 Index (NDX) option bid/ask quotes. VXN uses nearby and second nearby options listed at CBOE with at least eight days left to expiration and then weights them to yield a constant, 30-day measure of the expected volatility of the Nasdaq-100 Index. The same methodology is applied to the CBOE Russell 2000 Volatility Index (RVX), which uses the real-time Russell 2000 Index (RUT) option bid/ask quotes.
Both VXN and RVX options will be cash-settled, European-style exercise, and are based on the value of the respective underlying Volatility Index. Trading hours will be 8:30 a.m. to 3:15 p.m. (Chicago Time). Group One Trading has been named the Designated Primary Market Maker (DPM) in both the VXN and RVX options. To learn more about CBOE's Volatility Indexes, including methodology, daily and historical data and charts, contract specifications, and other information, please visit www.cboe.com/volatility.
CBOE Volatility Index related to:
Underlying Index Options
Volatility Index
CBOE Options Ticker Symbol
CFE Futures Ticker Symbol
S&P 500 Index SPX
VIX
VIX
VX
Nasdaq-100 Index NDX
VXN
VXN
VN
Russell 2000 Index RUT
RVX
RVX
VR
Dow Jones Industrial Average DJX
VXD
(N/A)
DV |
