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CBOE Introduces "VIX Of VIX" Benchmark Index: Provides A Gauge For Measuring Volatility Of The VIX Index Itself

Date 14/03/2012

The Chicago Board Options Exchange (CBOE) announced today that it began publishing values for the CBOE "VIX of VIX" Index (ticker: VVIX(SM)) this morning. 

As its name implies, the CBOE's VIX of VIX Index tracks the volatility of the CBOE Volatility Index (the VIX Index), the world's most widely-followed market volatility index.

"Volatility traders are intrigued with the ability to formulate new strategies based on the relationship between the VIX Index and the volatility of the VIX Index," CBOE Chairman and CEO William J. Brodsky said. "The fact that our customers were looking for a way to measure the volatility of the VIX shows just how far the VIX Index has come. We're thrilled to introduce a product that tracks the volatility of the world's most- watched volatility index."     

VVIX reflects the market's consensus of expected volatility of the 30-day forward price of the VIX Index and provides new information for investors looking to formulate trading strategies based on the relationship between the VIX® Index and the volatility of the VIX Index.

The Index offers investors a way to gauge the risk premium in VIX Index option prices, much like the CBOE's VIX Index reflects the risk premium in S&P 500 Index options (SPX) prices.

VVIX is calculated using the same methodology as the VIX Index, which is derived from the price of a portfolio of out-of-the-money VIX option puts and calls.

CBOE, known as the home of volatility indexes, currently publishes data on two dozen volatility-related benchmarks and strategies. In addition to the CBOE "VIX of VIX" Index, since early 2011 CBOE has added 12 volatility indexes and one volatility strategy index, and CBOE and CBOE Futures Exchange (CFE) have collectively added  six new volatility products.

For more information on the CBOE VIX of VIX Index, including a white paper, see www.cboe.com/VVIX.