Derivatives and securities exchange network Cboe Global Markets and index provider S&P Dow Jones Indices have teamed up to introduce four new credit volatility indexes set to debut on Oct. 13.
The four new indexes are the CDX/Cboe NA High Yield 1-Month Volatility Index (ticker symbol: VIXHY), the CDX/Cboe NA Investment Grade 1-Month Volatility Index (VIXIG), the iTraxx/Cboe Europe Main 1-Month Volatility Index (VIXIE) and the iTraxx/Cboe Europe Crossover 1-Month Volatility Index (VIXXO), said an Oct. 3 news release.
The new series of indexes is based on Cboe's proprietary VIX index methodology and S&P's CDX and iTraxx indexes. They will seek to track the expected level of volatility across the North American and European credit markets.
The new indexes are also designed to provide a benchmark index for the credit markets comparable to the familiar the Cboe Volatility Index (VIX), which tracks expected volatility of U.S. equity markets.
Specifically, the new credit indexes will seek to track near-term uncertainty around corporate credit risk by measuring the market's expectation of how volatile credit default swap index spreads will be over the next 30 days.
"Interest in this asset class (fixed income) continues to grow amidst a rising rate environment, and we expect these indices will help investors better track credit market volatility, manage corporate credit risk, or implement yield-enhancement and hedging strategies," said Rob Hocking, senior vice president and head of product innovation at Cboe, in the release.
Frans Scheepers, head of fixed income, currency and commodity products at S&P Dow Jones Indices, stated that the new indexes are "expected to provide new clear signals on bond market sentiment, and act as a new barometer of corporate credit risk in North America and Europe."
