Cboe’s Innovative Move into Treasury Market Volatility

Introduction of VIXTLT Index

Cboe Global Markets (BATS:CBOE) announced its strategic initiative to introduce a groundbreaking index that will measure volatility within the U.S. Treasury market. The new index, named the Cboe 20+ Year Treasury Bond ETF Volatility Basis Point Index (VIXTLT), is set to provide investors with a valuable tool to gauge future expected volatility in Treasury securities using listed options on the iShares 20+ Year Treasury Bond ETF (TLT).

Details and Methodology

Anticipated for launch in the third quarter of 2024, the VIXTLT Index will leverage a modified version of Cboe’s proprietary VIX Index methodology. Similar to the functionality of the Cboe Volatility Index (VIX) in measuring 30-day anticipated volatility in the U.S. equity market, the VIXTLT seeks to offer a comparable metric for the Treasury market.

Expanding the Index Suite

The introduction of the VIXTLT Index represents a significant expansion of Cboe’s growing portfolio of volatility indices. This move underscores Cboe’s commitment to innovation and further enriches its current lineup of over 450 derivatives-based indices, solidifying its position as a leader in the financial market.