Reflecting recent turmoil in some overseas markets, the CBOE Emerging Markets ETF Volatility Index (ticker VXEEM) rose from a close of 25.64 on July 1st to a high of 32.16 this morning, a gain of more than 25.4%. Futures and options are available on the VXEEM Index, which reflects the implied volatility of the EEM ETF, the iShares MSCI Emerging Markets Index. Here is a one-week chart of the VXEEM Index.
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The EEM ETF is designed to generally reflect the performance of the MSCI Emerging Markets Index, a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. A the end of 2012, the MSCI Emerging Markets Index consisted of the following 21 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey.
CBOE now also offers the new CBOE EFA ETF Volatility Index (VXEFA), which measures the expected volatility of the iShares MSCI EAFE Index Fund (EFA), an exchange traded product (ETP) that offers exposure to developed-market stocks in Europe, Australia, Asia and the Far East. The EFA ETF is designed to generally reflect the performance of the MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. At the end of 2012, the MSCI EAFE Index consisted of the following 22 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece,* Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. * In mid-2013 MSCI is downgrading Greece from a developed market (in the MSCI EAFE Index), to an emerging market.
For information and prices on more than 20 volatility indexes at CBOE, please visit www.cboe.com/volatility