Cboe Global Markets and S&P Dow Jones to launch new volatility index

Cboe Global Markets and S&P Dow Jones plan to launch the Cboe S&P 500 Constituent Volatility Index – VIXEQ Index -, calculated by Cboe Global Indices. Using an adaptation of Cboe’s proprietary VIX Index methodology, the VIXEQSM Index is designed to measure the market cap weighted 30-day implied volatility of a basket of S&P 500 constituents. Cboe and S&P DJI launched the Cboe S&P 500 Dispersion Index (DSPX Index) in September 2023 to provide the market a measure of expected dispersion in the S&P 500 Index over the next 30 calendar days. The VIXEQ Index, expected to launch Monday, November 4, follows the launch of the DSPX Index and is developed based on the DSPBX Index. While the VIX Index measures implied volatility by using SPX options prices, the VIXEQ Index will be based on single stock options prices. Cboe Labs, the company’s innovation arm, plans to introduce more new products in the volatility space including developing a futures product on the DSPX Index to be listed on Cboe Futures Exchange, subject to regulatory review.