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 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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SOURCE Cboe Global Markets, Inc.