As an analyst with a background in financial markets and experience in analyzing volatility indices, I’m excited about Cboe Global Markets’ upcoming launch of the VIXTLT Index. This new index will provide valuable insights into the expected volatility within the U.S. Treasury market, complementing existing equity market volatility measures like the VIX® Index.
As a researcher studying financial markets, I can share that Cboe Global Markets, Inc., an American exchange and market operator, has announced plans to introduce a new index: the Cboe 20+ Year Treasury Bond ETF Volatility Basis Point Index, or VIXTLT Index for short. This index is designed to measure the volatility of long-term U.S. Treasury bonds using exchange-traded funds (ETFs).
As an analyst, I would explain it this way: In the coming quarter of 2024, I am excited to introduce the VIXTLT Index – a new measurement tool derived from Cboe’s VIX Index technique. Instead of tracking volatility in the S&P 500 index like its well-known counterpart, this innovative index will focus on estimating the average 30-day volatility in the US Treasury market. It achieves this by analyzing options data related to the iShares 20+ Year Treasury Bond ETF (TLT). This new index aims to provide valuable insights into market expectations for future volatility in long-term US Treasuries.
The VIXTLT Index, a creation of Cboe Labs and managed by Cboe Global Indices, builds on Cboe’s strong background in derivatives and data analysis. With this new index, Cboe broadens its volatility index offerings, encompassing over 450 derivative-based indices.
NEWS: Cboe Global Markets to Launch New U.S. Treasury Market Volatility Index (VIXTLT)
Learn more in the press release:
— Cboe (@CBOE) June 17, 2024
The long-term Treasury Exchange-Traded Fund (TLT) holds US government bonds that have maturities beyond the 20-year mark. This provides investors with a clear and accessible avenue for engaging in the bond market.
Tracking Treasury Market Volatility
The VIX, which is commonly referred to as the Volatility Index for the equity markets, serves as a measure of volatility. In a similar vein, the VIX Low-Term Rates (VIXLTL) index offers an insight into anticipated volatility in the U.S. Treasury market. This index enables market participants to grasp the expected shifts in U.S. interest rates in the short term through a single index value.
Rob Hocking, the Senior Vice President and Head of Product Innovation at Cboe, highlighted the importance of the newly introduced index, explaining, “For over three decades, investors around the world have relied on the VIX Index as a reference point to assess U.S. stock market volatility. Now, Cboe is thrilled to broaden its volatility offerings with a new index that measures volatility in the U.S. Treasury market.”
As an analyst, I would recommend expressing this idea as follows: “I will express the VIXTLT Index series in basis point volatility, aligning with fixed income pricing conventions. The influential factors behind its movements may include shifts in monetary policy regimes, macroeconomic variables, and other elements impacting supply and demand dynamics and investor sentiment.”
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2024-06-17 21:08