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CBOE to enhance VIX index methodology by including SPX Weeklys Option Series

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From 6 October, the Chicago Board Options Exchange (CBOE) will begin including SPX Weeklys options series – expiring every Friday, except the third Friday of each month – in its CBOE Volatility Index (VIX Index) calculation.

CBOE chief executive Edward Tilly made the announcement during his address to attendees at the CBOE Risk Management Conference Europe, currently taking place outside of Dublin.
Currently, only S&P 500 Index (SPX) options with monthly expirations are used in the VIX Index calculation. The inclusion of SPX Weeklys into the VIX methodology will not alter the VIX formula. The addition of Weeklys options will simply allow VIX Index "spot" values to be calculated with S&P 500 Index option series that more precisely match the 30-day target timeframe for expected volatility that the VIX Index is intended to represent.
"The VIX Index continues to evolve to keep pace with changes in the underlying SPX options market," Tilly says. "We've seen SPX Weeklys options volume grow significantly over the past several years, and it now accounts for approximately one-third of all SPX options traded, averaging over 250,000 contracts traded per day so far this year. That healthy liquidity makes inclusion of Weeklys options a natural enhancement to our VIX Index calculation."
The addition of SPX Weeklys options to the VIX Index calculation will not impact the exchanges' VIX Index products. The final settlement value for VIX futures and options will continue to use the same VIX Index formula and the opening prices of standard (i.e. third Friday expiration) SPX option series.

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