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Cboe Global Markets to Launch New U.S. Treasury Market Volatility Index (VIXTLT)

Cboe Global Markets to Launch New U.S. Treasury Market Volatility Index (VIXTLT)

  • VIXTLT Index leverages Cboe’s proprietary VIX® Index methodology, applied to highly liquid, listed options on the iShares® 20+ Year Treasury Bond ETF (TLT)
  • Designed to provide a VIX Index-like measure for U.S. Treasury market volatility
  • VIXTLT Index available in both percentage price volatility and basis point volatility terms
  • New index complements Credit VIX Indices as Cboe expands its fixed income volatility index suite

CHICAGO, June 17, 2024 /PRNewswire/ — Cboe Global Markets, Inc. (Cboe: CBOE), the world’s leading derivatives and securities exchange network, today announced plans to launch the Cboe 20+ Year Treasury Bond ETF Volatility Basis Point Index (“VIXTLT Index”). Using an adaptation of Cboe’s proprietary VIX® Index methodology, the VIXTLT Index will be calculated using listed options on the iShares® 20+ Year Treasury Bond ETF (TLT) and provide market participants with the ability to track future (30-day) expected volatility in the U.S. Treasury market, the deepest and most liquid government securities market in the world. The VIXTLT Index is expected to launch in the third quarter of 2024.

Developed by Cboe Labs, the company’s product innovation hub, and benchmark administered by Cboe Global Indices, the VIXTLT Index leverages the combined strengths of Cboe’s derivatives and data businesses. The new index expands Cboe’s growing volatility index suite and adds to Cboe’s current offering of more than 450 derivatives-based indices, covering a range of strategy benchmarks and asset classes.

TLT is a transparent and highly liquid exchange-traded fund (ETF) composed of U.S. Treasury bonds with remaining maturities exceeding twenty years that have a relatively high duration. Highly liquid options on TLT with a wide range of strikes help convey information about how investors potentially view the future of U.S. interest rates, which is in turn distilled by the VIXTLT Index methodology down to one number designed to represent a consensus view on expected U.S. Treasury volatility.

Similar to how the Cboe Volatility Index® (VIX®) measures 30-day expected volatility of the U.S. equity market, the VIXTLT Index is designed to offer a comparable gauge for the U.S. Treasury market. Monitoring the VIXTLT and VIX indices together may afford investors a broad view of perceived uncertainty in two important asset classes that have historically experienced periods of co-movement as well as significant divergence.

“For more than 30 years investors across the globe have used the VIX Index as a benchmark to help gauge U.S. equity market volatility, and today Cboe is proud to further expand its volatility suite to include a U.S. Treasury market measure,” said Rob Hocking, Senior Vice President and Head of Product Innovation at Cboe. “Cboe offers a comprehensive ecosystem of services, touching every aspect of the customer experience – from market access and data, to tradable products and beyond. By combining our derivatives expertise with leading indexing capabilities, we are able to identify gaps in our product offering and utilize our robust technology, data and customer feedback to continuously drive product development that meet customers’ needs.”

To reflect prevailing bond market pricing convention, VIXTLT will be available in basis point volatility terms. Basis point volatility is a key concept in fixed income markets where risk is more commonly perceived as the absolute—not percentage—change in yield or spread, multiplied by the price value of a basis point. Potential drivers of the VIXTLT Index may include unexpected shifts in monetary policy by the Federal Reserve, surprises in macroeconomic indicators, technical supply and demand shocks, adverse risk events or behavioral factors triggering sudden shifts in investor risk aversion.

To learn more about Cboe Labs and Cboe Global Indices, visit https://www.cboe.com/labs/ and https://www.cboe.com/indices/, respectively.

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, FX, and digital assets, 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.

Trading in futures and options on futures is not suitable for all market participants and involves the risk of loss, which can be substantial and can exceed the amount of money deposited for a futures or options on futures position. You should, therefore, carefully consider whether trading in futures and options on futures is suitable for you in light of your circumstances and financial resources. You should put at risk only funds that you can afford to lose without affecting your lifestyle. For additional information regarding the risks associated with trading futures and options on futures and with trading security futures, see respectively the Risk Disclosure Statement Referenced in CFTC Letter 16-82 and the Risk Disclosure Statement for Security Futures Contracts. Certain risks associated with options, futures, and options on futures and certain disclosures relating to information provided regarding these products are also highlighted at https://www.cboe.com/us_disclaimers

The iBoxx® USD Liquid Emerging Market Sovereigns & Sub-Sovereigns Index is a product of S&P Dow Jones Indices LLC or its affiliates or licensors (“S&P DJI”) and has been licensed for use by Cboe Exchange, Inc.  iBoxx®, S&P®, S&P 500®, SPX®, US 500®, The 500®, DSPX®, DSPBX®, iTraxx®, CDX®, and Dividend Aristocrats® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”) and has been licensed for use by S&P Dow Jones Indices; and these trademarks have been licensed for use by S&P DJI and sublicensed for certain purposes by Cboe Exchange, Inc.  Cboe® iBoxx® $ Emerging Market Bond Index (“IEMD”) futures are not sponsored, endorsed, sold, or promoted by S&P DJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the iBoxx® USD Liquid Emerging Market Sovereigns & Sub-Sovereigns Index.

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.

Cboe Global Markets, Inc. and its affiliates, to the maximum extent permitted by applicable law, make no warranty, expressed or implied, including, without limitation, any warranties as of merchantability, fitness for a particular purpose, accuracy, completeness or timeliness, the results to be obtained by  recipients of the products and services described herein, or as to the ability of the iShares, iBoxx, and S&P indices to track the performance of the general market or any segment thereof, and shall not in any way be liable for any inaccuracies or errors. Cboe Global Markets, Inc. and its affiliates have not calculated, composed or determined the constituents or weightings of the securities that comprise the iShares, iBoxx, and S&P indices and shall not in any way be liable for any inaccuracies or errors.

Cautionary Statements Regarding Forward-Looking Information

This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 that involve a number of risks and uncertainties. You can identify these statements by forward-looking words such as “may,” “might,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or “continue,” and the negative of these terms and other comparable terminology. All statements that reflect our expectations, assumptions or projections about the future other than statements of historical fact are forward-looking statements. These forward-looking statements, which are subject to known and unknown risks, uncertainties and assumptions about us, may include projections of our future financial performance based on our growth strategies and anticipated trends in our business. These statements are only predictions based on our current expectations and projections about future events. There are important factors that could cause our actual results, level of activity, performance or achievements to differ materially from those expressed or implied by the forward-looking statements.

We operate in a very competitive and rapidly changing environment. New risks and uncertainties emerge from time to time, and it is not possible to predict all risks and uncertainties, nor can we assess the impact of all factors on our business or the extent to which any factor, or combination of factors, may cause actual results to differ materially from those contained in any forward-looking statements.

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.

We do not undertake, and we expressly disclaim, any duty to update any forward-looking statement whether as a result of new information, future events or otherwise, except as required by law. Readers are cautioned not to place undue reliance on these forward-looking statements, which speak only as of the date hereof.

SOURCE Cboe Global Markets, Inc.

Originally published at https://www.prnewswire.com/news-releases/cboe-global-markets-to-launch-new-us-treasury-market-volatility-index-vixtlt-302174247.html
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