Volatility on Emerging Markets — 40% Higher Levels Than VIX, with 605 Futures Per Day (Mid-Year Update — Part 6)

In recent years interest in worldwide volatility and risk management has grown, and CBOE has introduced three indexes designed to reflect implied volatility of options on emerging markets ETFs. In the past two months the average daily volume for futures on the CBOE Emerging Markets ETF Volatility Index (VXEEM) has been about 605 contracts.

Here is a comparison of the average daily closing values of four volatility indexes over the past year. Note that the average values for the VXEEM and VXFXI were about 30% higher that the 24.71 average for the well-known VIX Index.

36.02 VXEWZ – CBOE Brazil ETF Volatility Index

34.69 VXEEM – CBOE Emerging Markets ETF Volatility Index

34.44   VXFXI – CBOE China ETF Volatility Index

24.71 VIX® – CBOE Volatility Index®

VOLATILITY INDEXES – ONE-YEAR CHART

(June 30, 2011 – June 29, 2012)

VOLATILITY INDEXES –

MAXIMUM, MINIMUM AND AVERAGE

OF DAILY CLOSING VALUES OVER THE PAST YEAR

(June 30, 2011 – June 29, 2012)

 

DAILY VOLUME OVER THE PAST TWO WEEKS FOR FUTURES ON THE OVX AND VXEEM INDEXES

 

VOLATILITY FUTURES VOLUME FROM MARCH 9 THROUGH JUNE 2

Visit this page for a daily volume spreadsheet http://cfe.cboe.com/Data/HistoricalData.aspx

LINKS TO ADDITIONAL INFORMATION