CHICAGO, Feb. 9, 2021 /PRNewswire/ -- CME Group, the
world's leading and most diverse derivatives marketplace, today
announced the publication of 11 additional implied volatility
benchmark indexes to its suite of CME Group Volatility Indexes
(CVOL™). Clients can now access two years of historical implied
volatility data on CME Group's CVOL indexes on WTI Light Sweet
Crude Oil, Henry Hub Natural Gas, Gold, Silver, Corn, Soybeans and
Wheat, along with the addition of both 5-Year and 30-Year
Treasuries.
Together with the previously introduced indexes on 10-Year
Treasuries and FX currency pairs, CME Group now offers 19 CVOL
Indexes across five asset classes.
"Our clients continue to demand additional implied volatility
information across a broader range of investible asset classes
based on our robust, liquid options markets," said Derek Sammann, CME Group Senior Managing
Director and Global Head of Commodities and Options Products.
"These additional CVOL indexes, based on our Energy, Metals and
Agricultural markets, build on the success of our existing CVOL
Indexes in Fixed Income and FX and provide clients and market users
with a consistent measure of volatility across a growing number of
our global markets."
The additional daily indexes complement CME Group's existing
fixed income and FX volatility indexes, and will include:
- WTI Crude Oil CVOL Index
- Henry Hub Natural Gas CVOL Index
- Gold CVOL Index
- Silver CVOL Index
- Corn CVOL Index
- Soybean CVOL Index
- Chicago Wheat CVOL Index
- 5-Year Treasury CVOL Index (price and yield volatility
indexes)
- 30-Year Treasury CVOL Index (price and yield volatility
indexes)
CVOL is a family of benchmarks, designed on industry best
practices and compliant with the IOSCO Principles for Financial
Benchmarks. CME Group Benchmark Administration Limited (CBA) is the
benchmark administrator with Chicago Mercantile Exchange Inc. (CME
Inc.) providing Calculation Agent services.
CME Group Volatility Indexes will continue to be available via
the company's CVOL Index Visualizer tool, powered by QuikStrike and
through CME Datamine, with calculations made daily, updated at the
end of every trading session. For more information on CVOL indexes
and methodology, please visit www.cmegroup.com/cvol.
As a leading and diverse derivatives market operator, CME Group
is the parent of four U.S.-based designated contract markets
("DCMs"): Chicago Mercantile Exchange Inc. ("CME"), Board of Trade
of the City of Chicago, Inc.
("CBOT"), New York Mercantile Exchange, Inc. ("NYMEX"), and the
Commodity Exchange, Inc. ("COMEX") (collectively, the "CME Group
Exchanges"). These exchanges offer a wide range of products
available cross all major asset classes, including futures and
options based on interest rates, equity indexes, foreign exchange,
energy, metals and agricultural commodities. CME Group offers
futures trading through the CME Globex® electronic trading platform
("Globex"), fixed income trading via BrokerTec, foreign exchange
trading on the EBS platform, and central counterparty clearing
services through CME Clearing, a division of CME. With a range of
pre- and post-trade products and services underpinning the entire
lifecycle of a trade, CME Group also offers optimization services
through TriOptima and trade processing and reconciliation services
through Traiana and RESET. CBA capitalizes on CME Group's wealth of
electronic transaction-based data in the calculation of its indices
and benchmarks.
CME-G
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SOURCE CME Group