A New Volatility Index Offers An Expanded View of Options
AT A GLANCE CME Group's CVOL includes out of the money options to examine the inner workings of markets New upward and downward volatility features helped spot FX volatility trends in the early pandemic period Thirty-day implied volatility is a liquid and sensitive part of the volatility surface and is closely watched by market participants. Traditionally it has been difficult to easily see 30-day implied volatility as options decay or drift towards maturity. CME Group’s new CVOL indexes completely capture constant 30-day implied volatility and clarifies it through a unique prism that gener...
Source: institutionalinvestor.com