Cboe Global Markets Launches 1-Day Volatility Index VIX1D

Cboe Global Markets, Inc. (Cboe), a leading provider of global market infrastructure and tradable products, has introduced the Cboe 1-Day Volatility Index (VIX1D). The new index is not tradeable and is designed to provide real-time information about the expected volatility of the current trading day (today).

The VIX1D Index, developed by Cboe Labs, Cboe's in-house innovation hub, aims to measure the expected volatility of the S&P 500® Index over the current trading day (today). Similar to the Cboe Volatility Index® (VIX® Index), the VIX1D Index calculates the expected volatility by combining the weighted prices of P.M.-settled SPX (SPXW) options with one- to zero-day expirations across a broad range of strike prices. The prices used as inputs for the VIX1D Index calculation are the midpoints of real-time SPXW option bid/ask price quotations.

Ed Tilly, Chairman of the Board and CEO at Cboe, said: "For decades, market participants looking to understand, measure and manage volatility have turned to Cboe. We are committed to continuing to innovate in the volatility space and we believe the VIX1D Index will be a complementary addition for market participants seeking to better understand current equity market volatility or as they employ different trading strategies. The development of the VIX1D Index is another example of the strength of Cboe and S&P Dow Jones Indices' long-standing relationship, highlighting the companies' shared commitment to drive innovation through rigorous data analysis and market solutions."

Rob Hocking, Senior Vice President and Head of Product Innovation at Cboe, added: "Cboe revolutionized investing with the creation of the VIX Index in 1993 and has been at the forefront of the volatility space ever since. As such, when we saw a market need to develop a shorter-term measurement of expected volatility, we embodied that same pioneering spirit to design the VIX1D Index. We believe the VIX1D Index will be a useful tool for the growing group of investors utilizing same-day options trading strategies to better understand the daily market dynamics."

Earlier this month, Cboe had released its trading volume statistics for the month of March​, showing multiple volume records across its global business lines for the month.