- Designed to measure the volatility of the US Treasury bond market such as the VIX index
- VIXTLT Index calculated using highly liquid, exchange-traded options on the iShares® 20+ Year Treasury Bond ETF (TLT)
- The product launch complements Cboe’s growing volatility index offering and its derivatives-based index offerings
- VIXTLT index available as a basis point measure
CHICAGO, 12 August 2024 /PRNewswire/ — Cboe Global Markets, Inc. (Cboe: CBOE), the world’s leading derivatives and securities exchange network, today announced that it has begun publishing intraday values for the new Cboe 20+ Year Treasury Bond ETF Volatility Basis Point Index (“VIXTLT Index”). The VIXTLT Index utilizes Cboe’s proprietary VIX® index methodology and provides market participants with the ability to track future (30-day) expected volatility in the U.S. Treasury bond market in real time.
The VIXTLT Index is designed as an indicator of U.S. Treasury market volatility and is comparable to the Cboe Volatility Index® (VIX®), which measures the expected 30-day volatility of the U.S. equity market and is considered by many to be the world’s most important barometer of U.S. equity market volatility. By monitoring the VIXTLT and VIX indices together, investors can gain insight into how the expected volatility of two of the most important asset classes reacts 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) consisting of U.S. Treasury bonds with remaining maturities of over twenty years and 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 indicator of U.S. Treasury volatility, and with the upcoming U.S. election and the expected Federal Reserve policy shift, interest in this asset class remains high,” said Rob HockingHead of Product Innovation at Cboe. “Because both the VIXTLT and VIX indexes use similar methodologies, investors can get a more comparable view of expected volatility in the bond and equity markets and potentially make more informed decisions.”
Demand for a real-time measure of U.S. Treasury market volatility has increased in recent years during periods of volatile bond markets and high inflation. To meet client demand, VIXTLT is available in basis point volatility values and aims to provide an absolute value for volatility, a key concept in bond markets where risk is typically perceived as an absolute change rather than a percentage.
The VIXTLT Index was developed by Cboe Labs, the company’s product innovation center, and is managed by 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 fixed income, 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 from data providers under the ticker symbol VIXTLT. For more information, visit www.cboe.com/indices.
About Cboe Global Markets, Inc.
Cboe Global Markets (Cboe: CBOE), the world’s leading derivatives and securities exchange network, provides cutting-edge trading, clearing and investment solutions to people around the world. Cboe offers trading solutions and products across multiple asset classes, including equities, derivatives and foreign exchange in 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. For more information about the Exchange for the World Stage, visit www.cboe.com.
CBOE-C
CBOE-OE
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.
Cboe Global Markets, Inc. and its affiliates make no recommendations or representations regarding any potential benefits from any securities, futures or investments or any products or services of third parties. Investors should carefully consider their own securities, futures and investment practices. This press release is valid as of this date only. Cboe Global Markets, Inc. disclaims any obligation to update any information contained herein. Nothing in this announcement should be considered a solicitation to buy or an offer to sell any securities or futures in any jurisdiction in which the offer or solicitation would be unlawful under the laws of such jurisdiction. Nothing in this communication constitutes tax, legal or investment advice. Investors should consult their tax or legal advisors for advice and information regarding their particular situation.
To the fullest extent permitted by applicable law, Cboe Global Markets, Inc. and its affiliates make no warranty, express or implied, including, but not limited to, warranties of merchantability, fitness for a particular purpose, accuracy, completeness or timeliness, of the results to be obtained by recipients of the products and services described herein or of the ability of the iShares, iBoxx and S&P indices to track the performance of the general market or any segment thereof, and shall have no liability whatsoever for any inaccuracies or errors. Cboe Global Markets, Inc. and its affiliates have not calculated, compiled or determined the components or weightings of the securities that make up the iShares, iBoxx and S&P indices and shall have no liability whatsoever 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,” “could,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or “continue” and the negative of these terms and other comparable terms. 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 expected 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 highly competitive and rapidly changing environment. New risks and uncertainties emerge from time to time. 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.
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; declines in trading or clearing volumes, market data fees or a shift in the mix of products traded on our exchanges; changes in laws or regulations or tax regimes; our ability to protect our systems and communications networks from security breaches and breaches; our ability to attract and retain qualified management and other personnel; increasing competition from domestic and foreign companies; our dependence on and exposure to risks from third parties; the global expansion of our business; factors affecting the quality and integrity of our and other relevant indices; our ability to effectively manage our growth and strategic acquisitions or alliances; our ability to operate our business without infringing the intellectual property rights of others and the costs associated with protecting our intellectual property rights; our ability to minimize the risks associated with operating a European clearinghouse (including our credit, counterparty, investment and default risks); our ability to handle trading and clearing volumes and transaction traffic, including significant increases, without failure or degradation of our systems; misconduct by those who use our markets or our products or for whom we transact; challenges in 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 practices to effectively monitor and manage our risks; Constraints on 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-term assets, investments or intangible assets; the impact of pandemics; the accuracy of our estimates and expectations; litigation risks and other liabilities; and risks related to digital assets, including the settlement of the Cboe Digital Spot Crypto market, operation of a digital asset futures clearinghouse, cybercrime, changes in the regulation of digital assets, and fluctuations in digital asset prices. For more detailed information about factors that may affect our actual results, please see our filings with the SEC, including our Annual Report on Form 10-K for the year ended December 31, 2018. December 31, 2023 and other documents filed from time to time with the SEC.
We undertake no obligation, and expressly disclaim any obligation, to update any forward-looking statements, 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 they are made.
Source: Cboe Global Markets, Inc.
