The Chicago Board Options Exchange (CBOE) has launched three new volatility indices based on three of CME’s FX futures options.
The volatility indexes will use the prices of CME Dollar/Euro, Dollar/British Pound and Dollar/Japanese Yen futures options, which represent the most liquid FX options traded on the exchange.
In 2014, the products accounted for a combined 80% of the 15 million total currency options traded at CME.
CBOE is most known for its Volatility Index futures and options, which track the real-time prices of options on the S&P500 Index.
“CBOE continues to broaden the scope of our highly popular volatility index franchise with foreign exchange volatility indexes, which offer investors the ability to measure pure FX volatility for the first time,” CBOE Holdings CEO Edward Tilly said.
“CBOE calculates values of volatility indexes for a variety of asset classes and we’re pleased now to add some of the CME Group’s most active FX futures options products, and look forward to offering trading of these new FX volatility indexes in the future.”