CHICAGO, July 1, 2021 /PRNewswire/ -- Cboe Global
Markets, Inc. (Cboe: CBOE), a leading provider of global market
infrastructure and tradable products, today announced it is
publishing intraday values for the Cboe 3-Month Implied Correlation
Index (ticker symbol: COR3M), a new benchmark index that is
designed to provide market participants with further granularity
into some of the factors driving volatility in the equity
markets.
Correlation is a risk management tool generally used by market
participants to set systematic risk exposure levels and maximize
risk diversification benefits. Cboe's Implied Correlation Index is
a financial benchmark that is designed to provide near
instantaneous market estimates of expected correlation between
implied volatilities of the S&P 500 Index (SPX) and SPX
component options. This index is expected to form an essential tool
to help identify some of the drivers of implied volatility for the
SPX and help evaluate the implications of major macroeconomic
shocks on market expectations.
The Cboe 3-Month Implied Correlation Index uses an enhanced
methodology – relying on 3-month at-the-money (ATM) index options
trading day implied volatilities from Cboe Hanweck – to measure the
3-month expected average correlation across the top 50
value-weighted stocks in the S&P 500 Index. By calculating
implied volatilities using Cboe Hanweck's robust options analytics,
the index is able to help quantify market sentiment, estimate the
size of the movement an asset may take and in the pricing of
options contracts. The basket portfolio of 50 stocks used to
calculate the index is identified on the trading date prior to the
index calculation date and is adjusted for market events such as
acquisitions, mergers and spinoffs.
"As the pioneer in the volatility space, Cboe has established a
widely followed suite of tradable volatility products and indices
that help quantify forward-looking volatility expectations through
theoretically robust metrics," said Rob
Hocking, Senior Vice President and Head of Multi-Asset
Solutions and Derivatives Strategy at Cboe Global Markets. "We are
pleased to expand our offering with the new Cboe 3-Month Implied
Correlation Index, which is designed to help market participants
better understand some of the drivers impacting correlation in the
equity markets and more effectively hedge underlying risk and
construct trading strategies by isolating volatility
components."
Dispersion traders may use COR3M as an indicator to time trades
and manage risk. Implied correlation provides a measure of the
relative cheapness/richness of index options in relation to the
underlying index components. A long dispersion trade, which
involves selling at-the-money index option straddles and purchasing
at-the-money straddles in options on the index components, could be
expected to perform profitably under a high correlation regime.
Cboe Hanweck, part of Cboe's Data and Access Solutions, offers
an extensive and comprehensive array of data, analytics, and
execution solutions helping participants navigate markets in
real-time. Cboe Hanweck's options analytics is a real-time data
feed that shows implied volatilities and Greeks as well as
model-fitted theoretical prices. These are generated using
industry-standard pricing models, sophisticated volatility surface
models and the highest quality inputs. Hanweck Associates LLC was
acquired by Cboe in 2020, forming Cboe Hanweck.
Cboe is initially publishing an Implied Correlation Index for
the 3-month tenor and plans to extend its methodology to calculate
implied correlation for a full suite of other maturities: the
1-month, 6-month, 9-month, 12-month, 18-month and 24-month tenors.
Cboe is offering COR3M index values on its CSMI feed and
disseminating index values four times per minute throughout the
trading day.
A complete overview of COR3M, including methodology, components
and pricing information, can be accessed here. Additional
information on the characteristics, benefits and use cases of COR3M
are presented in this webinar.
About Cboe Global Markets, Inc.
Cboe Global Markets (Cboe: CBOE), a leading provider of market
infrastructure and tradable products, delivers cutting-edge
trading, clearing and investment solutions to market participants
around the world. The company is committed to operating a trusted,
inclusive global marketplace, providing leading products,
technology and data solutions that enable participants to define a
sustainable financial future. Cboe provides trading solutions and
products in multiple asset classes, including equities, derivatives
and FX, across North America,
Europe and Asia Pacific. To learn more, visit
www.cboe.com.
Media
Contacts
|
|
Analyst
Contact
|
Angela
Tu
|
Tim
Cave
|
|
Debbie
Koopman
|
+1-646-856-8734
|
+44 (0)
7593-506-719
|
|
+1-312-786-7136
|
atu@cboe.com
|
tcave@cboe.com
|
|
dkoopman@cboe.com
|
CBOE-OE
Cboe®, Cboe Global Markets®,Cboe Volatility Index®, CFE®, and
VIX® are registered trademarks and Cboe Futures
ExchangeSM, COR3MSM, and Cboe
HanweckSMare service marks of Cboe Exchange, Inc.
Standard & Poor's®, S&P®, and S&P 500® are
registered trademarks of Standard & Poor's Financial Services,
LLC, and have been licensed for use by Cboe Exchange, Inc.
All other trademarks and service marks are the property of their
respective owners.
Any products that have the S&P Index or Indexes as their
underlying interest are not sponsored, endorsed, sold or promoted
by Standard & Poor's or Cboe and neither Standard & Poor's
nor Cboe make any representations or recommendations concerning the
advisability of investing in products that have S&P indexes as
their underlying interests. All other trademarks and service
marks are the property of their respective owners.
Options involve risk and are not suitable for all market
participants. Prior to buying or selling an option, a person should
review the Characteristics and Risks of Standardized Options
(ODD), which is required to be provided to all such persons.
Copies of the ODD are available from your broker or from The
Options Clearing Corporation, 125 S. Franklin Street, Suite 1200, Chicago, IL 60606.
Cboe Global Markets, Inc. and its affiliates do not recommend
or make any representation as to possible benefits from any
securities, futures or investments, or third-party products or
services. Cboe Global Markets, Inc. is not affiliated with S&P.
Investors should undertake their own due diligence regarding their
securities, futures and investment practices. This press release
speaks only as of this date. Cboe Global Markets, Inc. disclaims
any duty to update the information herein. Nothing in this
announcement should be considered a solicitation to buy or an offer
to sell any securities or futures in any jurisdiction where the
offer or solicitation would be unlawful under the laws of such
jurisdiction. Nothing contained in this communication constitutes
tax, legal or investment advice. Investors must consult their tax
adviser or legal counsel for advice and information concerning
their particular situation.
Cboe Global Markets, Inc. and its
affiliates, to the maximum extent permitted by applicable
law, make no warranty, expressed
or implied, including, without
limitation, any warranties as of
merchantability, fitness for a particular
purpose, accuracy, completeness or
timeliness, the results to be
obtained by recipients of the
products and services described herein, or
as to the ability of the S&P 500 index to track the performance
of its strategy, and shall not in any way be liable for any
inaccuracies or errors. Cboe Global Markets, Inc. and its
affiliates have not calculated, composed or determined the
constituents or weightings of the securities that comprise the
third-party indices referenced in this press release and shall not
in any way be liable for any inaccuracies or errors in any of the
indices referenced in this press release.
Cautionary Statements Regarding Forward-Looking
Information
Certain information
contained in this news release may
constitute forward-looking statements. We caution
readers not to place undue reliance on any forward-looking
statements, which speak only as of the date made and are subject to
a number of risks and uncertainties.
View original content to download
multimedia:https://www.prnewswire.com/news-releases/cboe-announces-launch-of-new-cboe-3-month-implied-correlation-index-301324621.html
SOURCE Cboe Global Markets, Inc.