Futures on Interest Rate Volatility Index (VXTYN) To Launch on Nov. 13
The price data history for the VXTYN Index begins in January 2003. The daily closing values of the VXTYN Index have ranged from a low of 3.62 on May 8, 2013, to a high of 14.72 on November 20, 2008.
Since January 2003 the VXTYN has moved more than 20% on eight different trading days. On May 6, 2010, the VXTYN Index rose 47%.
“The market for interest rate derivatives, by far the largest asset class in the over-the-counter market, is estimated to be 40 times the size of the equity market in terms of notional value outstanding. We’re excited to tap into this space for the first time with a product that will enable customers to better manage interest rate volatility risk,” CBOE CEO Edward T. Tilly said. “Leading up to the launch of VXTYN futures, we have worked closely with — and received encouraging feedback from — market participants most likely to trade VXTYN futures. We are also encouraged by the interest we’re seeing among ETP issuers, as well as from European and Asian customers who have exposure to U.S. interest rates, either directly or indirectly.”
Potential users of VXTYN futures could include mortgage-backed securities investors and other large credit managers seeking to hedge against adverse interest rate movements; large bond funds that are naturally long interest rate volatility and are seeking a yield-enhancing mechanism; and hedge funds, volatility arbitrage firms and global macro participants seeking to express their views on forthcoming monetary policy events or to capture mispricing anomalies between cross-asset volatility (e.g., fixed income versus equity volatility).
For more information on VXTYN futures and the VXTYN Index, see www.cboe.com/VXTYN.

