Cboe to Launch US Treasury Market Volatility Index

Cboe Global Markets has announced plans to launch the Cboe 20+ Year Treasury Bond ETF Volatility Basis Point Index (VIXTLT Index) in the third quarter of this year. The new index will be calculated using listed options on the iShares 20+ Year Treasury Bond ETF (TLT) and will enable market participants to track future expected volatility in the US Treasury market. VIXTLT Index will be available in both percentage price volatility and basis point volatility terms. The new offering expands Cboe’s volatility index suite and adds to Cboe’s current offering of more than 450 derivatives-based indices, covering various strategy benchmarks and asset classes. TLT is an exchange-traded fund (ETF) composed of US Treasury bonds with remaining maturities exceeding twenty years that have a relatively high duration. Highly liquid options on TLT with a wide range of strikes provide information on investors’ potential viewpoints on the future of US interest rates. This is then distilled by the VIXTLT Index methodology to one number designed to represent a consensus view on expected US Treasury volatility.