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Starting November 17th, 2020, CME Group will begin publishing an initial set of CME Group Implied Volatility (CVOL) Indexes and related indicators on a close-to-close basis. These new indexes and indicators will provide users with more precise measures of the expected future risk for any given market as reflected by their respective options prices. 

For each product, the following CVOL indexes and indicators will be published:

  • CVOL Index, the primary Implied Volatility Index
  • Up Variance (“UpVar”)
  • Down Variance (“DnVar”)
  • Skew


Products Available

The initial set of CVOL index products are:

Underlying Product(s)Underlying Future Code
G5 FX CVOL IndexFXVL
AUD/USD CVOL Index6A
CAD/USD CVOL Index6C
CHF/USD CVOL Index6S
MXN/USD6M
Treasury Price CVOL IndexTPVL
Commodity Volatility IndexCMVL
EUR/USD CVOL Index6E
GBP/USD CVOL Index6B
JPY/USD CVOL Index6J
10-Year T-Note Futures (Yield Volatility)ZN
10-Year T-Note Futures (Price Volatility)ZN

2-Year Treasury CVOL Index (Price Volatility)

TU

2-Year Treasury CVOL Index (Yield Volatility

TU

Copper CVOL Index

HG
Metals CVOL IndexMVL

Live Cattle CVOL Index

LC

Soybean Meal CVOL Index

SM

Soybean Oil CVOL Index

BO

Eurodollar CVOL Index

ED

Eurodollar 2Y Mid-Curve CVOL Index

ED

Eurodollar 1Y Mid-Curve CVOL Index

ED

Treasury Yield CVOL Index

TVL

Lean Hogs CVOL Index

LH
Class III Milk CVOL IndexDA

Agriculture CVOL Index

AVL

RBOB Gasoline CVOL Index

RB

NY Harbor ULSD CVOL Index

HO

Energy CVOL Index

EVL
30-Year Treasury CVOL Index (Price Volatility)ZB
30-Year Treasury CVOL Index (Yield Volatility)ZB
5-Year Treasury CVOL Index (Price Volatility)ZF
5-Year Treasury CVOL Index (Yield Volatility)ZF
Corn CVOL IndexC
Gold CVOL IndexGC
Henry Hub Natural Gas CVOL IndexNG
Silver CVOL IndexSI
Soybean CVOL IndexS
Wheat CVOL IndexW
WTI Crude Oil CVOL IndexCL


**CVOL indexes will also be coming soon for other CME Group benchmark products.


Dates Available

Starting November 2nd, 2020, registered users will have access to two years of history for each index using the history function on the CVOL Index Visualizer tool and through CME Group DataMine.


Sample Files 

Dataset

Sample File

WTI Crude Oil CVOL Index5/26/2021
Treasury Yield CVOL Index5/26/2021



CVOL: Indexes and Indicators


How do the CVOL Indexes work?

CVOL indexes measure the expected risk or implied volatility of an underlying future based on the information contained in the prices of options on that underlying future.  In general, the expectation has a 30-day forward-looking horizon.  The metric is an annualized standard deviation as used in typical option pricing models.  The index family also includes metrics predicated on just Out-of-the-Money (OTM) Calls and Out-of-the-Money OTM Puts, ‘UpVar’ and ‘DnVar’, respectively, which are holistically consistent with the metric generated by using both the Calls and the Puts together.  These related indexes provide insight into the direction that the collective market-place is expecting greater risk. 

What is Simple Variance?

Simple variance, also known as Gaussian Variance, is the square of the standard deviation of a normally distributed population.  Simple variance allows for the underlying asset or futures prices to be negative, such as interest rates, or even commodities, such as oil. 

This characteristic of Simple Variance distinguishes itself from Log Variance.  Log Variance, or the assumption that the underlying asset or future will exhibit a Log Normal distribution, does not allow for prices below zero. In fact, Log Variance swaps, which have been the most commonly employed variance swaps in the market-place for several decades, will have an infinite value if an asset actual priced at zero.   Other volatility indexes that use all the option prices from a specific tenor often attempt to build a replicating portfolio of that potentially infinite payoff.  This renders those Log Variance metrics as being not very “simple.”

CVOL indices are generated using Simple, or Gaussian Variance, as the base to provide a consistent and tractable metric that can be compared across different individual products for a given asset class, and additionally across asset classes themselves.

What is UpVar?

Up Variance or UpVar is a metric that employs the same method for estimating the Standard Deviation as Simple Variance, but specifically uses only OTM Calls in the calculation.  The variance estimate is then doubled or mirrored in order to provide an apples-to-apples analogue to the two-sided set of options used in the regular calculation. The UpVar indicator provides a value that isolates only the call wing and so reflects just th.

What is DownVar?

Down Variance or DnVar, like Up Variance, employs the same method for estimating the Standard Deviation as Simple Variance, but uses only OTM Puts in the calculation.  Similarly, the variance estimate is then doubled or mirrored in order to provide an apples-to-apples analogue to the two-sided set of options used in the regular calculation.

What is Skew?

 Skew compares the Up Variance and Down Variance numbers to provide insight into how much implied volatility is priced into Calls compared to Puts. Two Skew numbers are provided, one showing the difference between the two (UpVar – DnVar), such that negative values indicate that the implied volatility is collectively higher for Puts than for Calls. The other Skew metric is the ratio of the two calculated by dividing the UpVar by the DnVar.  In this case, if the Puts had collectively higher implied volatility, the resulting measurement would be less than 1.0.



FAQ

What format is the file delivered in?

Data is provided in .csv format (comma separated values).

Are files compressed?

No, the files are not compressed into zip files.

Where can I find additional information about CVOL Indexes?

We have several resources you can access to learn more about the CVOL Indexes: CME Group Benchmark Administration

What CVOL data is available on CME DataMine?

In addition to the primary implied volatility, CVOL index, there are three other accompanying indicators which will price specific properties of the underlying asset’s expected future risk, as reflected by its options prices.

The three additional indicators are; ‘UpVariance’ or ‘UpVar,’ ‘DownVariance’, or ‘DnVar,’ and Skew.

How many files are available per day?

1 file per day per CVOL Index you are subscribed to.

How far back do you maintain these records?

2 years to start from the 11/2/2020 launch date

Do you have sample files available?

Yes, see Sample Files section above.

Are there any anomalies in the the data?

There are no known anomalies.

Will CVOL Indexes be available for licensing?

CME will offer a variety of direct licensing options including redistribution, historical usage, derived usage, and other common customer data licensing needs.  Please contact CME Data Sales to discuss your specific licensing needs. CMEDataSales@CMEGroup.com


What time of day are CVOL Indexes available?

Each official daily index fixing and each indicator fixing will be published same-day, after initial settlement files have been published.

When will CVOL Indexes be offered as real time indexes?

CME will begin publishing CVOL Indexes on a daily, close-to-close basis, using settlement prices. These initial publications will also provide 2 years of historical EOD implied volatility numbers for each index and indicator series on each product being published. 

CME will begin publishing real-time index calculations some time in Q2 or Q3 2021.

 

What is the calculation methodology for CVOL Indexes?

CVOL indexes use the option prices from one or two tenors (expirations) of options in order to generate a time weighted average that centers on 30 days.

Each of the two tenors has its own variance metric which uses the actual option prices to estimate the area under the curve of expected market outcomes for that tenor.  Each option price is multiplied by the average distance to the two adjacent strikes to create an area under the outcome curve.  The lower the option price (with the same width to the nearest strikes), the less probability of the underlying future’s price ending up in that price range if the slice or section’s area is divided by the sum of all the areas across the range of possible outcomes.  The sum of all of these areas is therefore meant to represent the expected variance of the underlying future’s price.  By annualizing and taking the square root of the variance measurement, a standard, normal volatility number, as generally understood in the market-place parlance, is produced.

By time-weighting the variances to a target of 30 days (prior to taking the square root) a 30-day expected variance is generated.  That 30-day variance is then annualized and square-rooted to produce a 30-day forward looking volatility estimate for the underlying future.  

What is the average file size?

The average file size is approximately 2KB to 7KB

Are there any anomalies in the files?

There are no known anomalies.

Which CME Group products will have their own CVOL Index and indicators?

 Initially, the CVOL Indexes on the 10yr Treasury Note Future and 5 major currency pairs will be published. The methodology has been found to work across other option complexes at CME, and so it our intention to have a suite or family of indices that uses a completely consistent methodology across all CME, CBOT, NYMEX and COMEX products that have robust options markets. CVOL indexes and indicators on our additional benchmark products are coming soon, and will be published over the next several months.

How is the data structured?


CVOL File Schema (Futures)

Field Name

Excel Column

Example Value

Supported Values

Description

Date


A

10/30/2020


MM/DD/YYYY

The Trading Day CVOL is referencing

FutPrice


B

0.009558


String

Price of Front Month Future for which the CVOL Index is being calculated.

Var30

 

C

8.926084


String

CVOL Index closing value.

UpVar30


D


9.81451


String

UpVar Closing Value.

DnVar30


E

7.938851


String

DnVar Closing Value

Skew1_30


F

1.875659


String

UpVar – DnVar (Spread)

Skew2_30


G

1.236263


String

UpVar/DnVar (Ratio)

Atm30


H

8.227139


String

30d ATM Implied Volatility for CVOL product

Conv30


I

1.084956


String

Var30 / Atm30 (Ratio of CVOL : 30d ATM IV)

SourceDate


J

10/30/2020


MM/DD/YYYY

Source date of calculations for the Trading Day's values. This should match the date of the Trading Day when process is normal.


Index File Schema

Field Name

Excel Column

Example Value

Supported Values

Description

Date


A

10/30/2020


MM/DD/YYYY

The Trading Day CVOL is referencing

WeightPrc


B

0.9558


String

Weighted price of the synthetic future used to calculate the G5 FX CVOL Index values

Var30

 

C

8.926084


String

G5 FX CVOL Index closing value.

UpVar30


D


9.81451


String

UpVar Closing Value.

DnVar30


E

7.938851


String

DnVar Closing Value

Skew1_30


F

1.875659


String

UpVar – DnVar (Spread)

Skew2_30


G

1.236263


String

UpVar/DnVar (Ratio)

Atm30


H

8.227139


String

30d ATM Implied Volatility for CVOL product

Conv30


I

1.084956


String

Var30 / Atm30 (Ratio of CVOL : 30d ATM IV)

SourceDate


J

10/30/2020


MM/DD/YYYY

Source date of calculations for the Trading Day's values. This should match the date of the Trading Day when process is normal.


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