Cboe Global Markets and S&P Dow Jones Indices to Launch New Credit VIX Indices on October 13

Cboe Global Markets, in collaboration with S&P Dow Jones Indices, has announced the launch of four new Credit Volatility Indices (Credit VIX) on October 13, 2023. These indices, developed by Cboe Labs and S&P DJI, aim to track the expected level of volatility in the North American and European credit markets.

Based on Cboe’s proprietary VIX Index methodology and S&P DJI’s CDX and iTraxx Indices, the Credit VIX Indices will provide investors with a benchmark index for the credit markets. This will allow them to gain a broader view of volatility in this important asset class and better manage corporate credit risk.

The Credit VIX Indices are designed to measure the market’s expectation of how volatile credit default swap (CDS) index spreads will be over the next 30 days. By extracting information from available options strikes, these indices provide a consensus view on near-term CDS index spread volatility.

Cboe’s launch of the new Credit VIX Indices expands its suite of forward-looking option-implied volatility indices. This follows the recent introduction of the Cboe 1-Day Volatility Index (VIX1D) and the Cboe S&P 500 Dispersion Index (DSPX), also developed in collaboration with S&P DJI.

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 and the potential for these indices to help investors manage credit market volatility and implement various strategies.

Frans Scheepers, Head of Fixed Income, Currency, and Commodity Products at S&P Dow Jones Indices, emphasized that the Credit VIX Indices will provide new insights into bond market sentiment and act as a barometer of corporate credit risk in North America and Europe. These indices are expected to allow market participants to better track credit market volatility and manage corporate credit risk.

With the launch of the Credit VIX Indices, Cboe and S&P Dow Jones Indices continue their collaboration and commitment to innovation in the financial markets. By providing investors with comprehensive tools to assess volatility across different asset classes, they aim to create a more consistent and informed investment landscape.

For more information about the new Credit VIX Indices and Cboe Labs, visit the Cboe Global Markets website.