Since the launch of CBOE’s Vix index of volatility in the S&P 500 index in 1993, the Vix methodology has become widely accepted as a measure of volatility. The Vix, calculated in real time by CBOE, tracks the implied volatility of the index over 30 day periods. Options and futures on it are traded at the CBOE itself and at CBOE Futures Exchange.

Through its partnership with Standard & Poor’s, CBOE already licenses the methodology to other exchanges: Euronext, the Taiwan Futures Exchange, the National Stock Exchange of India and the Australian Stock Exchange. This will be the first time the CBOE uses price data from another market to create new volatility indices.

These will remain the property of CBOE, but CME will have a worldwide right to offer futures and options based on the indices.

CBOE and CME will begin by creating five new products. They have tentatively agreed that the first new indices could include crude oil, corn, soybeans and gold. The two exchanges may make further indices in future.

CBOE expects to begin publishing them by late summer, and CME will launch contracts on them within about nine months after that.

Volatility products are growing in popularity across the Americas. MexDer, the Mexican derivatives exchange, last week announced plans for a new volatility swap based on its own Vimex index.

Tom Osborn +44 207 779 8361 tosborn@fow.com