VXN Futures Launch Tomorrow, as Vol of VXN Hits Y-T-D High By Matt Moran

In recent weeks interest in managing volatility in the tech-stock sector has grown as –-

  • Facebook did an IPO Friday, and had a 10% down move yesterday (Exchange-listed options on Facebook might not be available until near the end of this month, pending regulatory approval);
  • The 30-day historic volatility of the CBOE NASDAQ-100 Volatility Index (VXN) reached 98.62 yesterday – its highest value year-to-date (see chart below);
  • CBOE Futures Exchange, LLC (CFE) announced that it plans to launch trading on the CBOE NASDAQ-100 Volatility Index futures contract (index ticker symbol VXN, futures symbol VN) beginning on Wednesday, May 23, pending regulatory approval. The VXN Index measures the implied volatility of the NASDAQ-100 Index, and is calculated through the application of CBOE’s VIX® methodology to the prices of options on NDX. www.cboe.com/VXN

CHART WITH END-OF-DAY VALUES

The highest daily close for the VXN Index was 80.64 on Nov. 20, 2008.

TABLE WITH BIG DAILY MOVES

Note that on all four days on which the NDX fell by 8% or more, the VXN Index rose by 18% or more. Investors could explore the potential of VXN futures to serve as risk management and diversification tools.

VOLATILITY OF VOLATILITY HITS Y-T-D HIGH

Yesterday the 30-day historic volatility of VXN Index reached 98.62 – its highest value year-to-date.

For more information on the VXN Index and the new VXN futures, please visit www.cboe.com/VXN