Cboe Global Markets And S&P Dow Jones Unveil Credit VIX Indices To Gauge Market Volatility

Cboe Global Markets, Inc. CBOE, a prominent derivatives and securities exchange network, has joined forces with S&P Dow Jones Indices (S&P DJI), a leading index provider, to introduce four innovative Credit Volatility Indices (Credit VIX). Debuted on October 13, 2023, these indices are designed to gauge expected levels of volatility within the North American and European credit markets.

The new indices – namely CDX/Cboe NA High Yield 1-Month Volatility Index (VIXHY), CDX/CBOE NA Investment Grade 1-Month Volatility Index (VIXIG), iTraxx/CBOE Europe Main 1-Month Volatility Index (VIXIE) and iTraxx/CBOE Europe Crossover 1-Month Volatility Index (VIXXO) – have been crafted using Cboe's proprietary VIX® Index methodology and S&P DJI's CDX and iTraxx Indices.

Cboe's Volatility Index® (VIX®) is widely regarded as a premier indicator of U.S. equity market volatility, being based on real-time options prices for the S&P 500® Index (SPX). The Credit VIX Indices aim to replicate this success by providing a similar benchmark for credit markets, offering investors a broader perspective on volatility within this key asset class.

Rob Hocking, Senior Vice President and Head of Product Innovation at Cboe, expressed excitement about extending the VIX Index methodology into the fixed-income space. He highlighted the growing interest in this asset class, particularly in a rising rate environment. The new indices are expected to assist investors in monitoring credit market volatility, managing corporate credit risk and implementing yield-enhancement and hedging strategies.

Frans Scheepers, Head of Fixed Income, Currency and Commodity Products at S&P Dow Jones Indices, emphasized the collaboration's importance in providing insights into expected volatility for the fixed-income marketplace. The Credit VIX Indices are anticipated to offer clear signals on bond market sentiment and act as a barometer of corporate credit risk in North America and Europe, allowing market participants to track credit market volatility and manage corporate credit risk more effectively.

Much like the VIX Index, the Credit VIX Indices aim to track near-term uncertainty surrounding corporate credit risk by measuring the market's expectation of how volatile credit default swap (CDS) index spreads will be over the next 30 days. The Credit VIX Methodology distills information from available options strikes to generate a single number representing the consensus view on near-term CDS index spread volatility.

Cboe's launch of the Credit VIX Indices is a strategic addition to its suite of forward-looking option-implied volatility indices. This expansion follows the recent introduction of the Cboe 1-Day Volatility Index (VIX1D) and the Cboe S&P 500 Dispersion Index (DSPX), further solidifying the collaboration with S&P DJI and underlining Cboe's commitment to innovation in the financial markets. 

For more information about Cboe Labs, visit https://www.cboe.com/labs.

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