CBOE CREATES TWO NEW VOLATILITY INDEXES TIED TO GOLD AND EURO
The Chicago Board Options Exchange (CBOE) announced that on Friday, August 1, 2008, the Exchange will begin publishing two new Volatility benchmarks -- the CBOE Gold Volatility Index (ticker symbol GVZ) and the CBOE EuroCurrency Volatility Index (ticker symbol EVZ).These indexes are benchmarks designed to measure the expected volatility of the respective underlying assets; they are not tradable instruments.GVZ and EVZ values will be disseminated every 15 seconds daily through all major data vendors.
The CBOE Gold Volatility Index (GVZ) will measure the market's expectation of 30-day volatility of gold prices by applying the well-known CBOE Volatility Index (VIX) methodology to options on the SPDR Gold Shares exchange-traded fund (ticker symbol GLD), spanning a wide range of strike prices.
The CBOE EuroCurrency Volatility Index (EVZ) will measure the market's expectation of 30-day volatility of the Euro/U.S. dollar exchange rate by applying the VIX methodology to options on the CurrencyShares Euro Trust (ticker symbol FXE).
The launch of these two new asset class Volatility benchmarks follows the introduction of the CBOE Crude Oil Volatility Index (ticker symbol OVX) on July 15, 2008, and extends the Exchange's Volatility franchise into new asset classes, including exchange-traded funds (ETFs) that directly hold commodities.In the coming months, CBOE plans to develop additional Volatility indexes that will track other commodity-based ETFs, currencies and interest rates.
CBOE also currently publishes data on nine other equity-related Volatility benchmarks and strategies, including: the CBOE Volatility Index (VIX), which is based on the S&P 500 Index; CBOE DJIA Volatility Index (VXD);CBOE Nasdaq Volatility Index (VXN); CBOE Russell 2000 Volatility Index (RVX); CBOE S&P 100 Volatility Index (VXO); CBOE S&P 500 3-Month Volatility Index (VXV); CBOE VIX Premium Strategy Index (VPD); CBOE Capped VIX Premium Strategy Index (VPN); and the CBOE S&P 500 VARB-X Strategy Benchmark (VTY).
In total, CBOE now disseminates information on 12 Volatility benchmarks and strategies.The Exchange also trades three different Volatility options -- VIX, RVX and VXN -- and six different Volatility futures at the CBOE Futures Exchange (CFE) -- VIX, RVX, VXN, VXD, and CBOE S&P 500 3-Month and 12-Month Variance futures.
CBOE OPTIONS ON SPDR® GOLD TRUST (GLD) VOLUME HITS RECORD: 128,500 CONTRACTS
The Chicago Board Options Exchange (CBOE) hit a record daily trading volume of 128,523 contracts in options on the SPDR Gold Trust (CBOE ticker symbol: GLD), topping the 92,987 contract traded on July 11. The contract was introduced six weeks ago, on June 2.
The SPDR Gold Trust (formerly known as streetTRACKS® Gold Trust) is an exchange-traded fund that seeks to reflect the performance of the price of gold bullion, less the Trust's expenses. The SPDR Gold Trust issues SPDR Gold Shares that represent a fractional, undivided interest in gold bullion held by the SPDR Gold Trust.SPDR Gold Shares first began trading on the New York Stock Exchange in November 2004.
CBOE's GLD options trade on the March expiration cycle, with initial expirations in June, July, September and December. Position limits are 250,000 option contracts. The Designated Primary Market Maker (DPM) in GLD options is CTC, LLC.
