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CME推出隐含波动率指数
CME集团在公布最初的8个指数后，计划于2021年上半年在所有主要资产类别中推出隐含波动率指数。CME表示，这类新指数源自该集团波动性指数方法CVOL，该方法跟踪六个资产类别中期货交易最为活跃的期权。从17日起，新指数将应用于10年期国债和外汇货币对期货，之后将在明年上半年扩大指数系列并于下半年作为实时指数提供。
CME launches implied volatility indexes
CME Group plans to roll out implied volatility indexes across all major asset classes in the first half of 2021 after publishing the first eight indexes. The new indexes are derived from CVOL, the group’s volatility index methodology, which tracks the most actively traded options on futures across six asset classes, CME said in a statement. From Tuesday, the new indexes will be applied to 10-year treasuries and FX currency pair futures before the index family is expanded in the first half of next year and then offered as real-time indexes in H2.
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