Cboe and S&P Dow Jones to launch new indices to track credit market volatility

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Cboe and S&P Dow Jones to launch new indices to track credit market volatility
Credit: © Reuters.

Cboe Global Markets, Inc. (BATS:NYSE: CBOE ) and S&P Dow Jones Indices (S&P DJI) announced on Tuesday their plans to launch four new Credit Volatility Indices (Credit VIX) on October 13, 2023. These indices are designed to measure the expected level of volatility in the North American and European credit markets, providing a broader view of volatility in this significant asset class.

The new series of indices, including the CDX/Cboe NA High Yield 1-Month Volatility Index (VIXHY), CDX/Cboe NA Investment Grade 1-Month Volatility Index (VIXIG), iTraxx/Cboe Europe Main 1-Month Volatility Index (VIXIE), and iTraxx/Cboe Europe Crossover 1-Month Volatility Index (VIXXO), have been jointly developed by Cboe Labs, the company's product innovation hub, and S&P DJI. These indices are based on Cboe's proprietary VIX Index methodology and S&P DJI's CDX and iTraxx Indices.

The Credit VIX indices aim to track near-term uncertainty around corporate credit risk by measuring the market's expectation of how volatile credit default swap index spreads will be over the next 30 days. This approach is similar to the VIX Index, which is widely regarded as the world's leading barometer of U.S. equity market volatility.

Rob Hocking, Senior Vice President and Head of Product Innovation at Cboe, commented on the growing interest in this asset class amidst a rising rate environment. He stated that these indices are expected to help investors better track credit market volatility, manage corporate credit risk, or implement yield-enhancement and hedging strategies.

Frans Scheepers, Head of Fixed Income, Currency and Commodity Products at S&P Dow Jones Indices, also appreciated the launch. He stated that the Credit VIX Indices are expected to provide new clear signals on bond market sentiment and act as a new barometer of corporate credit risk in North America and Europe.

The launch of these new indices expands Cboe's growing suite of forward-looking option-implied volatility indices, which includes the recently launched Cboe 1-Day Volatility Index (VIX1D) and the Cboe S&P 500 Dispersion Index (DSPX).

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