Designed to provide VIX Index-like measure of U.S. Treasury market volatilityVIXTLT Index calculated using highly liquid, listed options on the iShares® 20+ Year Treasury Bond ETF (TLT)Launch adds to Cboe’s growing volatility index suite and derivatives-based index offeringsVIXTLT Index available in basis point measure
CHICAGO, Aug. 12, 2024 /PRNewswire/ — Cboe Global Markets, Inc. (Cboe: CBOE), the world’s leading derivatives and securities exchange network, today announced it has begun publishing intraday values for the new Cboe 20+ Year Treasury Bond ETF Volatility Basis Point Index (“VIXTLT Index”). Leveraging Cboe’s proprietary VIX® Index methodology, the VIXTLT Index provides market participants with the ability to track future (30-day) expected volatility in the U.S. Treasury market in real-time.
The VIXTLT Index is designed to be a U.S. Treasury market volatility measure comparable to the Cboe Volatility Index® (VIX®), which measures 30-day expected volatility of the U.S. equity market and is considered by many to be the world’s premier barometer of U.S. equity market volatility. By monitoring the VIXTLT and VIX indices together, investors may be offered insight into how expected volatility of two of the most important asset classes react to each other during different volatility regimes.
The VIXTLT Index is calculated using listed options on the iShares® 20+ Year Treasury Bond ETF (TLT), a highly liquid exchange-traded fund (ETF) composed of U.S. Treasury bonds with remaining maturities exceeding twenty years that have a relatively high duration.
“The launch of the VIXTLT Index is another milestone in Cboe’s offering of timely and transparent forward-looking volatility measures. Market participants have long sought a VIX-like gauge for U.S. Treasury volatility, and with the US election and the Federal Reserve’s expected monetary policy shift looming, interest in this asset class remains high,” said Rob Hocking, Head of Product Innovation at Cboe. “With both the VIXTLT and the VIX indices utilizing similar methodologies, investors will be able to gain a more like-to-like view of expected volatility in the bond and equity markets, potentially enabling them to make more informed decisions.”
Demand for a real-time measure of U.S. Treasury market volatility has heightened over the past few years amid periods of bond market volatility and high inflation. To meet customer demand, VIXTLT is available in basis point volatility terms and aims to provide an absolute measure of volatility, a key concept in fixed income markets where risk is commonly perceived as the absolute change and not percentage.
The VIXTLT Index was developed by Cboe Labs, the company’s product innovation hub, with the administrator being Cboe Global Indices. The index is the latest addition to Cboe’s growing volatility index suite, which recently welcomed the launch of four new Credit Volatility Indices (Credit VIX), and expands Cboe’s offering of more than 450 derivatives-based indices. Notably in the fixed income space, Cboe Global Indices’ Cboe TLT 2% OTM BuyWrite Index is the benchmark index for the iShares 20+ Year Treasury Bond BuyWrite Strategy ETF (TLTW).
VIXTLT Index data is available on data vendors under the ticker VIXTLT. To learn more, visit www.cboe.com/indices.
About Cboe Global Markets, Inc.
Cboe Global Markets (Cboe: CBOE), the world’s leading derivatives and securities exchange network, delivers cutting-edge trading, clearing and investment solutions to people around the world. Cboe provides trading solutions and products in multiple asset classes, including equities, derivatives and FX across North America, Europe and Asia Pacific. Above all, we are committed to building a trusted, inclusive global marketplace that enables people to pursue a sustainable financial future. To learn more about the Exchange for the World Stage, visit www.cboe.com.
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Cboe®, CFE®, VIX®, and Cboe Global Markets® are registered trademarks and Cboe Futures ExchangeSM is a service mark of Cboe Exchange, Inc. All other trademarks and service marks are the property of their respective owners.
Cboe Global Markets, Inc. and its affiliates do not recommend or make any representation as to possible benefits from any securities, futures or investments, or third-party products or services. Investors should undertake their own due diligence regarding their securities, futures and investment practices. This press release speaks only as of this date. Cboe Global Markets, Inc. disclaims any duty to update the information herein. Nothing in this announcement should be considered a solicitation to buy or an offer to sell any securities or futures in any jurisdiction where the offer or solicitation would be unlawful under the laws of such jurisdiction. Nothing contained in this communication constitutes tax, legal or investment advice. Investors must consult their tax adviser or legal counsel for advice and information concerning their particular situation.
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Some factors that could cause actual results to differ include: the loss of our right to exclusively list and trade certain index options and futures products; economic, political and market conditions; compliance with legal and regulatory obligations; price competition and consolidation in our industry; decreases in trading or clearing volumes, market data fees or a shift in the mix of products traded on our exchanges; legislative or regulatory changes or changes in tax regimes; our ability to protect our systems and communication networks from security vulnerabilities and breaches; our ability to attract and retain skilled management and other personnel; increasing competition by foreign and domestic entities; our dependence on and exposure to risk from third parties; global expansion of operations; factors that impact the quality and integrity of our and other applicable indices; our ability to manage our growth and strategic acquisitions or alliances effectively; our ability to operate our business without violating the intellectual property rights of others and the costs associated with protecting our intellectual property rights; our ability to minimize the risks, including our credit, counterparty, investment, and default risks, associated with operating a European clearinghouse; our ability to accommodate trading and clearing volume and transaction traffic, including significant increases, without failure or degradation of performance of our systems; misconduct by those who use our markets or our products or for whom we clear transactions; challenges to our use of open source software code; our ability to meet our compliance obligations, including managing potential conflicts between our regulatory responsibilities and our for-profit status; our ability to maintain BIDS Trading as an independently managed and operated trading venue, separate from and not integrated with our registered national securities exchanges; damage to our reputation; the ability of our compliance and risk management methods to effectively monitor and manage our risks; restrictions imposed by our debt obligations and our ability to make payments on or refinance our debt obligations; our ability to maintain an investment grade credit rating; impairment of our goodwill, long-lived assets, investments or intangible assets; the impacts of pandemics; the accuracy of our estimates and expectations; litigation risks and other liabilities; and risks relating to digital assets, including winding down the Cboe Digital spot crypto market, operating a digital assets futures clearinghouse, cybercrime, changes in digital asset regulation, and fluctuations in digital asset prices. More detailed information about factors that may affect our actual results to differ may be found in our filings with the SEC, including in our Annual Report on Form 10-K for the year ended December 31, 2023 and other filings made from time to time with the SEC.
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SOURCE Cboe Global Markets, Inc.
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