The Chicago Board Options Exchange (CBOE) announced that for the first time it will apply its CBOE Volatility Index (VIX) methodology to options on individual stocks when it begins publishing volatility values on five highly active equities on Friday, January 7. CBOE will calculate values for Apple (ticker symbol: VXAPL), Amazon (ticker symbol: VXAZN), IBM (ticker symbol: VXIBM), Google (ticker symbol: VXGOG), and Goldman Sachs (ticker symbol: VXGS).
The new benchmarks are designed to measure the expected volatility of the respective individual equities.
CBOE may expand the list of individual equities on which volatility values would be calculated in the future, depending on demand.
“As the leader in the volatility space, CBOE looks forward to expanding its suite of volatility benchmarks to individual equities, giving both personal and institutional investors the ability to track individual stock volatility for the first time,” CBOE Chairman and CEO William Brodsky said. “CBOE has been extremely successful in developing highly-acclaimed volatility measures linked to stock indexes and to other asset classes including gold and oil. Applying our methodology to individual equity options is the next logical next step.”
The CBOE, known as the home of volatility indexes, currently publishes data on 13 different volatility-related benchmarks and strategies. Most recently, it has applied its VIX methodology to commodity-related ETFs and options on commodity futures:
oIn the summer of 2008, CBOE applied the VIX methodology to gold with the CBOE Gold ETF Volatility Index (symbol: GVZ) or “Gold VIX,” to oil with the CBOE Crude Oil ETF Volatility Index (symbol: OVX) or “Oil VIX,” and to the Euro/U.S. dollar exchange rate with the CBOE EuroCurrency ETF Volatility Index (EVZ). CBOE plans to begin trading GVZ options and futures in the first half of 2011, pending regulatory approval.
oIn September 2010, CBOE created and began disseminating calculations on two volatility benchmark indexes based on options on futures contracts: the CBOE/NYMEX WTI Volatility Index (ticker symbol OIV) and the CBOE/COMEX Gold Volatility Index (ticker symbol GVX). OIV and GVX were the first in a series of new volatility benchmark indexes to be created as a result of the licensing agreement between CBOE and CME Group.
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