Cboe and S&P Dow Jones to Launch New Indices for Tracking Credit Market Volatility

Cboe Global Markets, Inc. and S&P Dow Jones Indices recently announced their plans to launch four new Credit Volatility Indices (Credit VIX) on October 13, 2023. These indices aim to evaluate the expected volatility in the North American and European credit markets, providing a more comprehensive perspective on volatility in this important asset class.

The new indices include the CDX/Cboe NA High Yield 1-Month Volatility Index (VIXHY), CDX/Cboe NA Investment Grade 1-Month Volatility Index (VIXIG), iTraxx/Cboe Europe Main 1-Month Volatility Index (VIXIE), and iTraxx/Cboe Europe Crossover 1-Month Volatility Index (VIXXO). They are the result of collaboration between Cboe Labs, the innovative product development arm of Cboe, and S&P DJI, and are grounded in Cboe’s proprietary methodology and the CDX and iTraxx Indices from S&P DJI.

The objective of the Credit VIX indices is to capture the near-term uncertainty related to corporate credit risk by assessing the market’s expectations for the volatility of credit default swap index spreads over the next 30 days. This concept mirrors that of the VIX Index, widely recognized as a key indicator of U.S. equity market volatility.

Rob Hocking, Senior Vice President and Head of Product Innovation at Cboe, highlighted the increasing interest in this asset class within the context of a rising interest rate environment. He expressed that these indices will assist investors in better monitoring credit market volatility, managing corporate credit risk, and executing yield-enhancement and hedging strategies.

Frans Scheepers, Head of Fixed Income, Currency, and Commodity Products at S&P Dow Jones Indices, also expressed enthusiasm for the launch, noting that the Credit VIX Indices are poised to deliver clearer signals regarding bond market sentiment and to serve as a new gauge of corporate credit risk in both North America and Europe.

This introduction of new indices further enhances Cboe’s suite of forward-looking option-implied volatility indices, which already includes the recently released Cboe 1-Day Volatility Index (VIX1D) and the Cboe Dispersion Index (DSPX).