ISE Announces Record Daily Trading Volume
The International Securities Exchange (ISE) announced that its options exchange set a new record daily trading volume of 7,903,304 optionscontracts on September 18, 2008, an increase of 14.2% over the previous record of 6,920,132 contracts traded on November 8, 2007.
CBOE TO INTRODUCE NEW S&P 500 THREE-MONTH REALIZED VOLATILITY OPTIONS THIS OCTOBER
New Contract Provides Accessible Way to Capture Differences Between Realized and Implied Volatilities
The Chicago Board Options Exchange (CBOE) announced that the Exchange plans to launch CBOE S&P 500 Three-Month Realized Volatility options (ticker symbol: RUH) on October 21, 2008.RUH options are exchange-traded options contracts based on the three-month realized, or historical, volatility of the S&P 500 Index.
Realized volatility is a statistical measure of the variability of price returns relative to an average (mean) price return. Three-month realized volatility of the S&P 500 Index is the square root of three-month realized variance, which is calculated with a standardized formula that uses continuously compounded daily S&P 500 returns for a three-month period assuming a mean daily price return of zero, and is annualized assuming 252 business days per year.
"CBOE continues to define the volatility space by developing cutting-edge products to measure and trade volatility.We are pleased to further expand our suite of product offerings with the introduction of the CBOE S&P 500 Three-Month Realized Volatility options," said CBOE Chairman and CEO William J. Brodsky."RUH options will offer investors flexibility in trading and managing volatility risk by providing a convenient and accessible way to capture the differences between realized and implied volatilities through a listed product."
CBOE's RUH options will trade on the March expiration cycle, with introductory expirations in March 2009, June 2009 and September 2009. Strike price intervals for RUH options will be in one-point increments. The Designated Primary Market Maker (DPM) in RUH options will be Group One Trading, LLC.
The launch of RUH options expands CBOE's suite of volatility products.CBOE currently publishes data on 12 different Volatility-related 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-100 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 addition, earlier this summer CBOE launched a trio of new volatility benchmarks that expanded the Exchange's volatility franchise into new asset classes, including exchange traded-funds (ETFs) that directly hold commodities - the CBOE Crude Oil Volatility Index (OVX), CBOE Gold Volatility Index (GVZ) and CBOE EuroCurrency Volatility Index (EVZ).
