Cboe and S&P Dow Jones Indices to Develop Dispersion Index

Cboe Global Markets (Cboe), a leading provider of global market infrastructure and tradable products, announced that it has planned to partner with S&P Dow Jones Indices, one of the leading index providers, to develop the Cboe S&P 500 Dispersion Index, helping investors better understand the benefits of portfolio diversification and implement diversified trading strategies.

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The Cboe S&P 500 Dispersion Index is designed to represent the implied dispersion among S&P 500 constituents over a 1-month horizon, based on the prices of single stock and index options.

"Cboe has been teaching market participants how to better measure, model and trade market moves through the 450-plus volatility and derivatives-based indices we've created over our nearly 50-year history. We revolutionized investing with the creation of the VIX® Index, the first index to measure the market's expectation of future volatility — and today, we continue our legacy of innovation with the Cboe S&P 500 Dispersion Index," said John Hiatt, Vice President at Cboe Labs.

"Dispersion is recognized as one of the fundamental metrics of market risks. Unlike related measures of volatility, there hasn't yet been a simple, tradeable, and standardized index that enables market participants to hedge and express their views on dispersion in the U.S. equity markets. We are excited to collaborate with Cboe on the development of the Cboe S&P 500 Dispersion Index, to bring more transparency to the risk and opportunity set in the world's most liquid equity benchmark," said Tim Edwards, Global Head of Index Investment Strategy at S&P Dow Jones Indices.

Cboe plans to develop a futures product on the index to be listed on Cboe Futures Exchange, subject to finalization of the methodology and regulatory review.

The Cboe S&P 500 Dispersion Index marks the latest advancement on Cboe's index products. In June, the company signed a licensing agreement with Validus Macro Strategies​, a provider of rules-based and options-based solutions for institutional investors, aiming at driving index innovation.