The Chicago Board Options Exchange (CBOE) will begin disseminating values for its first interest rate-based volatility index, the CBOE Interest Rate Volatility Index (ticker: SRVX), on Monday, 18 June.
The SRVX Index is designed to offer fixed income options traders and portfolio managers a standardized and transparent measure of interest rate swap volatility.
CBOE’s Interest Rate Volatility Index measures expected basis-point volatility in the interest rate swap market. Specifically, the index is based on one-year/ten-year US dollar-denominated swap options (swaptions), which are one of the most actively traded contracts in the USD14.5-trillion notional over-the-counter (OTC) US dollar interest rate option market.
"The CBOE Interest Rate Volatility Index extends the same benefits provided by our widely followed equity index volatility benchmarks to customers in the enormous fixed income market," says CBOE Chairman and CEO William J Brodsky (pictured). "Interest rate swaps and swaptions together are the most actively traded derivatives in the OTC market, and we believe the CBOE Interest Rate Volatility Index will enable participants to more efficiently assess risk in this enormous asset class."
The SRVX Index is calculated using data provided by major interdealer brokers in the swaption market, applied to a formula similar to the methodology for the CBOE Volatility Index (the VIX Index). CBOE initially will disseminate the SRVX Index value once a day after 3 p.m. Central Time. The index value will be available from quote data vendors and on CBOE’s web site at www.cboe.com/SRVX.
The index was developed with significant contributions by Antonio Mele and Yoshiki Obayashi of Applied Academics LLC.
