NO 248 – OCTOBER 2013

WFE Focus

CBOE launches short term volatility index

The Chicago Board Options Exchange has launched a new benchmark volatility index, the CBOE S&P 500 Short-Term Volatility Index. It reflects investors’ consensus view of expected stock market volatility. Whereas VIX has a 30-day horizon, the new index looks out just nine days, making it particularly responsive to changes in short term volatility triggered by market events, such as earnings, government reports and Fed announcements. CBOE and CBOE Futures Exchange plan to introduce VXST weeklys options and futures soon, pending regulatory approval.

NYSE Euronext launches diversified high income index

NYSE Euronext launched the NYSE Diversified High Income Index, a new index designed to measure the performance of a broad, diversified basket of 138 publicly-traded securities in the US that provide exposure to multiple asset classes, sectors and segments that historically pay high dividends or distributions. Its constituents must satisfy certain dividend yield and frequency and liquidity criteria, and other eligibility requirements.