Leading derivatives and securities exchange network Cboe Global Markets, Inc. today announced the launch of the Cboe 1-Day Volatility Index (VIX1D).
Developed by Cboe Labs, the company’s in-house innovation hub, the VIX1D Index seeks to measure the expected volatility of the S&P 500® Index over the current trading day (today); in other words, single trading day volatility.
Similar to the Cboe Volatility Index® (VIX® Index), the VIX1D Index estimates expected volatility by aggregating the weighted prices of P.M.-settled SPX (SPXW) options with one- to zero- day expirations over a wide range of strike prices. Specifically, the prices used to calculate VIX1D Index values are midpoints of real-time, SPXW option bid/ask price quotations.
“For decades, market participants looking to understand, measure and manage…
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