CME Group to Cease Three Eurodollar CVOL Indices
Fazzaco learned that CME Group, the world's leading derivatives marketplace, has decided to permanently cease three Eurodollar CVOL benchmarks and associated derivative indicators, which use Eurodollar futures and options as input data, on Monday, March 6, 2023.
CVOL is short for CME Group Volatility Index, derived from the world's most actively traded options on futures, across major asset classes.
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Following are the three Eurodollar CVOL indices:
Eurodollar 90-day CVOL
Eurodollar 1-year Mid-curve 90-day CVOL
Eurodollar 2-year Mid-curve 90-day CVOL
This decision has secured approval from the CVOL Oversight Committee, the group stated.
Last week, Fazzaco reported that CME planned to expand the listings of CME FX Link on the CME Globex electronic trading platform with the addition of spot FX basis spreads against the South African Rand /U.S. Dollar (ZAR/USD) futures contract, effective Sunday, November 20, 2022, for trade date Monday, November 21, 2022.
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