CME Group Volatility Index (CVOL™)
The global volatility benchmark index, derived from the world’s most actively traded options on futures, across major asset classes. Available in real-time streaming and daily benchmarks.
Multi-asset class coverage
Derived from extremely liquid option contracts traded on CME Group exchanges, creating a consistent and tractable metric across different products and asset classes.
Transparent and user-friendly calculation
Replicates an equivalent simple variance options portfolio from equal weighted option strips, which also produces its auxiliary indicators, DnVar, UpVar, Skew, Convexity and ATM.
Daily benchmark and live streaming versions
Access and monitor both a daily (end-of-day) official benchmark CVOL calculation as well as a live streaming CVOL Index.
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CVOL Index
The CME Group Volatility Index (CVOL) delivers the first ever cross-asset class family of implied volatility indices based on simple variance. Using our proprietary simple variance methodology that assigns equal weighting to strikes across the entire implied volatility curve, the CVOL Index produces a more representative measure of the market’s expectation of 30-day forward risk.
Resources
How to access
You have multiple ways to view CVOL data. Choose the method(s) that best suits your needs.
CME Market Data Platform
You can access our CVOL data directly via the CME Market Data Platform (MDP), which:
- API offering dual-feed, User Datagram Protocol (UDP) multicast architecture
- Allows highly efficient message delivery
- Provides scalability and flexible customer redistribution of market data messages
- Enables processing of increasing rates of market data messages
How To
CVOL is available on CME MDP Benchmark Administration Premium Channel 261.
Leverage your existing CME Globex connectivity, or choose from different types of network connections.
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CME Direct
CVOL data via CME Direct, the one-stop trading solution for futures, options, and block trades. Download the CVOL trading grid to easily add CVOL data to analytics and enhance your trading decisions.
How To
Download CVOL trading grids for CME Direct:
- Right-click the link for the relevant grid
- Save the file as an .XML on your computer.
- In CME Direct, select Import View in the main menu.
- Import the grid into CME Direct.
- Under Menu, click on Save Window Layout.
Please note: If CVOL data is not visible after following these steps, please speak with your your firm admin to ensure CVOL data has been enabled for your account.
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CME DataMine
Use our self-service historical data platform, CME DataMine, to browse, license, and download CVOL datasets on the asset classes and products that interest you most.
How To
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The CME Benchmark Administration Oversight Committee
The oversight committee will provide independent governance and challenge to the Administrator on all aspects of the benchmark determination process in accordance with the Oversight Committee Terms of Reference.
How the CVOL Index works
CVOL Indices measure the expected risk or volatility of an underlying futures contract based on the information contained in the prices of options on that underlying futures contract.
The concept of simple variance can be used to improve existing measures of expected volatility. CVOL indexes use an improved simple variance estimation method to provide expected volatility metrics derived from the entire Implied Volatility Curve. The original simple variance methodology was introduced in two papers by Ian Martin, Professor of Finance at the London School of Economics, which provide more information about simple variance and its applications: Simple Variance Swaps and What is the Expected Return on the Market?"
Watch and learn more about how CVOL Indices work.
Introduction to CVOL Skew
Learn about Convexity
Research and analysis
Learn how research experts and industry leaders are using CVOL to gain insights and improve decision-making for trades.
Contact a Data expert
Connect with a member of our team to get more information about our products and services.
