- New volatility-related index, jointly developed by S&P Dow
Jones Indices and Cboe, is designed to provide representation of
implied dispersion for the S&P 500 Index
- Aims to help market participants better understand portfolio
diversification benefits and implement dispersion trading
strategies
- Index is first concept developed by Cboe Labs, company's
newly-formed innovation arm focused on new tradable products and
services
CHICAGO and REYKJAVIK, Iceland, Oct. 19,
2022 /PRNewswire/ -- Cboe Global Markets, Inc. (Cboe:
CBOE), a leading provider of global market infrastructure and
tradable products, today announced plans to collaborate with
S&P Dow Jones Indices (S&P DJI), the world's leading index
provider, to develop the Cboe S&P 500 Dispersion Index at its
global Risk Management Conference (RMC) in Reykjavik, Iceland.
For a well-diversified portfolio, dispersion is a measure of the
spread of constituent returns over a defined period, such as a
month. In practice, dispersion measures both the opportunity
set for individual security selection within a portfolio, as well
as the potential diversification achieved by their
combination. Akin to the way that the Cboe Volatility Index®
(VIX® Index) represents implied volatility of the S&P
500, the Cboe S&P 500 Dispersion Index is intended to represent
the implied dispersion among S&P 500 constituents over a
1-month horizon, based on the prices of single stock and index
options.
"Cboe has been teaching market participants how to better
measure, model and trade market moves through the 450-plus
volatility and derivatives-based indices we've created over our
nearly 50-year history," said John
Hiatt, Vice President, Cboe Labs. "We revolutionized
investing with the creation of the VIX® Index, the first index to
measure the market's expectation of future volatility — and today,
we continue our legacy of innovation with the Cboe S&P 500
Dispersion Index."
"Dispersion is recognized as one of the fundamental metrics of
market risks. Unlike related measures of volatility, there hasn't
yet been a simple, tradeable, and standardized index that enables
market participants to hedge and express their views on dispersion
in the U.S. equity markets," said Tim
Edwards, Global Head of Index Investment Strategy at S&P
Dow Jones Indices. "We are excited to collaborate with Cboe on the
development of the Cboe S&P 500 Dispersion Index, to bring more
transparency to the risk and opportunity set in the world's most
liquid equity benchmark."
Edwards will join Hiatt at RMC for a discussion and analysis of
dispersion, underscoring the strength of Cboe and S&P DJI's
long-standing relationship and highlighting the companies' shared
commitment to drive innovation through rigorous data analysis and
academic research. For decades, the campus-like setting and
facilitated networking at RMC has provided Cboe staff with the
unique ability to learn from and work closely with industry peers,
customers and academics—inspiring the creation of new Cboe
offerings that can enhance the trading experience.
In an effort to formalize the value derived from conversations
at RMC and other client interactions, the company also announced
the formation of Cboe Labs, a new division dedicated to the
creation, development and implementation of new ideas.
"Driven by constant input from our customer base, Cboe Labs is a
place where we research, test and iterate as rapidly as possible
with a singular goal— to create value-add, disruptive, tradable
products and services," said Rob
Hocking, Senior Vice President and Head of Cboe Labs. "Cboe
Labs builds on our history of producing many 'firsts' for the
market and the ongoing dialogue we have with industry peers and
regulators on the issues impacting the markets."
The Cboe S&P 500 Dispersion Index is the first idea from
Cboe Labs that will become reality. Cboe plans to develop a futures
product on the index to be listed on Cboe Futures Exchange, subject
to finalization of the methodology and regulatory review. To learn
more about dispersion and correlation, visit
www.cboe.com/us/indices/implied
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, FX and digital assets across North America, Europe and Asia
Pacific. To learn more, visit www.cboe.com.
Media
Contacts
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Analyst
Contact
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Angela
Tu
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Tim
Cave
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Kenneth Hill,
CFA
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+1-646-856-8734
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+44 (0)
7593-506-719
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+1-312-786-7559
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atu@cboe.com
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tcave@cboe.com
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khill@cboe.com
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CBOE-OE
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SOURCE Cboe Global Markets, Inc.