Cboe S&P 500 Constituent Volatility Index to Launch

Cboe Global Markets and S&P Dow Jones Indices (S&P DJI), announced plans to launch the Cboe S&P 500 Constituent Volatility Index (VIXEQ Index), calculated by Cboe Global Indices. Using an adaptation of Cboe’s proprietary VIX® Index methodology, the VIXEQ Index is designed to measure the market cap weighted 30-day implied volatility of a basket of S&P 500 constituents, as represented by the Cboe S&P 500 Dispersion Basket Index (DSPBX Index). The announcement was made by Cboe and S&P DJI at Cboe’s 39th annual global Risk Management Conference (RMC), Cboe and S&P DJI launched the Cboe S&P 500 Dispersion Index (DSPX Index) in September 2023 to provide the market a measure of expected dispersion in the S&P 500 Index over the next 30 calendar days. The DSPX Index is designed to give investors a view of S&P 500 Index moves relative to its constituent companies, providing investors with visibility into potential opportunities for portfolio diversification. The DSPX Index calculation is derived from prices of S&P 500 Index options and the single stock options of the S&P 500 Index’s constituent companies. The VIXEQ Index, which is expected to launch Monday, November 4, follows the launch of the DSPX Index and is developed based on the DSPBX Index. The DSPBX Index provides the representative universe of large-cap U.S. equities conducive to the DSPX Index calculation.