Sept. 4 (Bloomberg) -- CBOE Holdings Inc. plans to change its methodology for calculating the benchmark for U.S. stock- market volatility by including weekly contracts on the Standard & Poor’s 500 Index.
The Chicago Board Options Exchange Volatility Index is currently derived from options on the S&P 500 that expire monthly. The change will take place Oct. 6 and won’t alter the VIX formula, according to a statement from CBOE today.
“We’ve seen SPX Weeklys options volume grow significantly over the past several years, and it now accounts for approximately one-third of all SPX options traded, averaging over 250,000 contracts traded per day so far this year,” Edward Tilly, the chief executive officer of CBOE, said in the press release. “That healthy liquidity makes inclusion of Weeklys options a natural enhancement to our VIX Index calculation.”