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.

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.

In accessing this proprietary data from this website, you acknowledge you have read and agree to all CME Data Terms of Use. To discuss licensing options, please contact CME Data Sales.

How to access

You have multiple ways to view CVOL data. Choose the method(s) that best suits your needs.

Volatility oversight committee

View a summary of the latest meeting of the oversight committee.

Carrick Pierce (Chair)

CME Group Commodities and Option Solutions

Graham Stride

CME Group Benchmark Administration

Chris Povey

CME Group FX

John Wiesner

CME Group Commodities and Options Solutions

David Reif

CME Group Interest Rates

Jeff White

CME Group Energy Products

Eric Leininger

CME Group Research and Product Development

Udesh Jha

CME Clearing and Post Trade Services

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.

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