CHICAGO, May 11, 2021 /PRNewswire/ -- CME Group, the
world's leading and most diverse derivatives marketplace, today
announced it has added several new benchmark indexes to its suite
of CME Group Volatility Indexes (CVOL™). Together with the
previously introduced indexes, CME Group now offers 40+ CVOL
Indexes across nearly every major investible asset class.
Beginning today, market participants can now access implied
volatility information across five new multi-product indexes on
Treasuries, agriculture, energy, metals and commodities, as well as
several single-product benchmark indexes based on CME Group's
highly liquid options markets.
"The addition of these indexes is in direct response to our
clients who are increasingly using the implied volatility
information found in our CVOL indexes, across our global markets,"
said Derek Sammann, CME Group Global
Head of Commodities and Options Products. "Building on the success
of our existing CVOL Indexes, we're pleased to be able to offer a
number of new volatility indexes. These tools will provide clients
and market users with deep insight into implied volatility across
our markets, allowing them to monitor, hedge against, or express
views on volatility across asset classes ahead of market-moving
events."
These new daily indexes complement and expand upon CME Group's
existing fixed income, FX and commodities volatility indexes,
allowing clients to access two years of historical implied
volatility data. Additional indexes will include:
Multi-product indexes:
- Treasury Curve CVOL Index: based on 2Y, 5Y, 10Y and 30Y
CVOL Indexes
- Agriculture CVOL Index: based on Corn, Soybeans, Wheat,
Soybean Oil, Soybean Meal, Lean Hogs, Live Cattle and Class III
Milk CVOL Indexes
- Energy CVOL Index: based on WTI Crude Oil, Henry Hub
Natural Gas, RBOB Gasoline and NY Harbor ULSD CVOL Indexes
- Metals CVOL Index: based on Gold, Silver and Copper CVOL
Indexes
- Commodities CVOL Index: based on WTI Crude Oil, Henry
Hub Natural Gas, RBOB Gasoline, NY Harbor ULSD, Corn, Soybeans,
Wheat, Lean Hogs, Live Cattle, Class III Milk, Gold, Silver and
Copper CVOL Indexes
Product indexes:
- 2-Year Treasury CVOL Index (price and yield volatility
indexes)
- Eurodollar 90-day CVOL Index
- Eurodollar 1-Year Midcurve 90-day CVOL Index
- Eurodollar 2-Year Midcurve 90-day CVOL Index
- MXN/USD CVOL Index
- CHF/USD CVOL Index
- Soybean Oil CVOL Index
- Soybean Meal CVOL Index
- Lean Hogs CVOL Index
- Live Cattle CVOL Index
- Class III Milk CVOL Index
- RBOB Gasoline CVOL Index
- NY Harbor ULSD CVOL Index
- Copper CVOL Index
The CVOL family of benchmarks is based on industry best
practices and compliant with the IOSCO Principles for Financial
Benchmarks. CME Group Benchmark Administration Limited (CBA) is the
benchmark administrator with Chicago Mercantile Exchange Inc. (CME
Inc.) providing Calculation Agent services.
CVOL implied volatility data is available via the company's CVOL
Index Visualizer tool, powered by QuikStrike and through CME
Datamine, with calculations made daily, updated at the end of every
trading session. For more information on CVOL Indexes and
methodology, please visit www.cmegroup.com/cvol.
As a leading and diverse derivatives market operator, CME Group
is the parent of four U.S.-based designated contract markets
("DCMs"): Chicago Mercantile Exchange Inc. ("CME"), Board of Trade
of the City of Chicago, Inc.
("CBOT"), New York Mercantile Exchange, Inc. ("NYMEX"), and the
Commodity Exchange, Inc. ("COMEX") (collectively, the "CME Group
Exchanges"). These exchanges offer a wide range of products
available across all major asset classes, including futures and
options based on interest rates, equity indexes, foreign exchange,
energy, metals and agricultural commodities. CME Group offers
futures trading through the CME Globex® electronic trading platform
("Globex"), fixed income trading via BrokerTec, foreign exchange
trading on the EBS platform, and central counterparty clearing
services through CME Clearing, a division of CME. With a range of
pre- and post-trade products and services underpinning the entire
lifecycle of a trade, CME Group also offers optimization services
through TriOptima and trade processing and reconciliation services
through Traiana and RESET. CBA capitalizes on CME Group's wealth of
electronic transaction-based data in the calculation of its indices
and benchmarks.
CME-G
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SOURCE CME Group