Derivatives and securities exchange network Cboe Global Markets today announced the launch of Cboe 1-Day Volatility Index (VIX1D).
The new VIX1D Index is developed by Cboe Labs with the aim of measuring the expected volatility of the S&P 500® Index over a single day. It provides real-time information about the expected volatility of the current trading day.
The VIX1D Index, akin to the Cboe Volatility Index (VIX Index), assesses expected volatility by combining the weighted prices of P.M.-settled SPX (SPXW) options with expirations of one to zero days across a broad spectrum of strike prices. The VIX1D Index values are calculated using the midpoint of real-time bid/ask price quotations of SPXW options.
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.
The VIX1D Index and the VIX Index use similar methods to estimate expected volatility, but the VIX1D Index is tailored to reflect the compressed measurement of expected volatility over a single day, differing from the VIX Index in this regard. Due to its nature, the VIX1D Index is anticipated to exhibit greater volatility compared to indices that measure longer time horizons of expected volatility. This is because news events that affect the S&P 500 Index on a particular day are likely to have a more significant impact on short-dated SPX options than longer-dated options when market participants have more time to react.
Experienced writer and journalist, working in the global online trading sector, Steffy is the Editor of LeapRate. She has previous experience as a copywriter and has been with the company since January 2020. Steffy has a British and American Studies degree from St. Kliment Ochridski University in Sofia.
