- Cboe Implied Correlation Indices are the first widely
disseminated market estimates of the average correlation of the
stocks that comprise the S&P 500® Index (SPX)
- Suite of volatility-related indices recently expanded to
include additional tenors and skews
- Helps allow market participants to gain a view of potential
factors driving volatility in equity markets
CHICAGO, July 18,
2022 /PRNewswire/ -- Cboe Global Markets, Inc.
(Cboe: CBOE), a leading provider of global market infrastructure
and tradable products, today announced the expansion of its Cboe
Implied Correlation® Index suite with the recent addition of eight
new indices. Market participants can now access a full suite of
volatility-related indices across a range of maturities and skews
to help gain a more complete view of the potential factors driving
volatility in the equity markets.
![(PRNewsfoto/Cboe Global Markets, Inc.) (PRNewsfoto/Cboe Global Markets, Inc.)](https://mma.prnewswire.com/media/622233/Cboe_Logo.jpg)
The Cboe Implied Correlation Indices are the first widely
disseminated market estimates of the average correlation of the
stocks that comprise the S&P 500® Index (SPX). The benchmark
indices are designed to offer insight into the relative cost of SPX
options compared to the price of options on individual stocks that
comprise the SPX, and help market participants to identify the
potential drivers of implied volatility for the SPX and evaluate
the potential implications of major macroeconomic events on market
expectations.
"As the pioneer in the volatility space, Cboe has created more
than 450 volatility and derivatives-based indices and we are
pleased to expand our offerings further with these eight implied
correlation indices," said Rob
Hocking, Senior Vice President and Head of Derivatives
Strategy at Cboe Global Markets. "In today's market environment,
investors are demanding greater data and insights to gain a better
understanding of market movements and the drivers impacting
correlation in the equity markets. These additional indices can
provide market participants with a view of correlation surfaces and
market expectations of implied volatility across time and
delta-shocks, offering the transparency they need to help
effectively construct trading strategies and hedge underlying
risk."
Generally, market participants use correlation as a risk
management tool to set systematic risk exposure levels and maximize
risk diversification benefits. Because correlation is essentially a
statistical measure of diversification, market participants
typically closely monitor correlation levels to help ensure their
risk exposures line up with their risk appetite levels and to
develop risk transfer strategies.
The eight new indices complement Cboe's existing three-month
Implied Correlation Index (COR3M), which it began publishing in
July 2021. Similar to COR3M, the new
indices utilize Cboe's innovative, proprietary methodology to
calculate implied correlation. With these new offerings, Cboe
offers a complete suite of indices that provides maturity
representation of implied correlation for SPX for one-, three-,
six-, nine- and 12-month tenors, and across different skews:
- Tenor Indices (tickers: COR1M, COR3M, COR6M, COR9M,
COR1Y), which are calculated using 50 delta implied volatilities
and show market expectations of correlation risk over
time
- Delta Skew Indices (tickers: COR10D, COR30D, COR3MD,
COR70D, COR90D), which are calculated using three-month implied
volatilities and signify market expectations of correlation during
different delta shock scenarios
Cboe is publishing intraday values for Cboe Implied Correlation
Indices on its Cboe Global Indices Feed and disseminating index
values four times per minute throughout the trading day. Index
values are also available through Bloomberg and Refinitiv.
For a complete overview of Cboe Implied Correlation Indices,
including methodology, components and pricing information, please
see the Cboe Implied Correlation Index White Paper.
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
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Analyst
Contact
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Angela Tu
|
Tim Cave
|
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Kenneth Hill, CFA
|
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+1-646-856-8734
|
+44 (0)
7593-506-719
|
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+1-312-786-7559
|
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atu@cboe.com
|
tcave@cboe.com
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khill@cboe.com
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CBOE-C
CBOE-O
CBOE-OE
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Investors should undertake their own due diligence regarding their
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Cboe Global Markets, Inc. and its
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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
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as to the ability of the indices described herein to track
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SOURCE Cboe Global Markets, Inc.