- New Cboe S&P 500 Dispersion Index (DSPX) expands
Cboe's leading suite of volatility indices
- The first-of-its-kind index designed to measure expected
dispersion in the S&P 500 Index
- Aims to provide deeper insights into volatility of S&P 500
Index vs. those of its components
CHICAGO , Sept. 25,
2023 /PRNewswire/ -- Cboe Global Markets, Inc. (Cboe:
CBOE), the world's leading derivatives and securities exchange
network, and S&P Dow Jones Indices (S&P DJI), the world's
leading index provider, today announced plans to launch the Cboe
S&P 500 Dispersion Index (DSPX) on Wednesday, September 27. Jointly developed by
Cboe Labs, the company's innovation arm, and S&P DJI, this new
index is the latest addition to Cboe's volatility index suite and
aims to provide deeper insights into U.S. equity market
volatility.
Dispersion can be used by market participants to gain visibility
into potential opportunities for portfolio diversification.
Specifically, dispersion strategies allow investors to model the
impact of company-specific risk on a portfolio by measuring the
variability of volatilities for single-name stocks relative to the
volatility of the index itself.
In the case of DSPX, this new index may help investors better
understand how the S&P 500 Index – one of the largest and most
actively traded indices in the world – moves relative to the
constituent companies in the index – 500 of the largest public
companies listed in the U.S. – over the next 30 calendar days.
Similar to the methodology used for the Cboe Volatility Index®
(VIX® Index), the calculation for the DSPX Index is derived from
prices of S&P 500® Index options (SPX) and the single
stock options of the S&P 500 Index's constituent
companies.
"As a leading global exchange operator with unparalleled product
innovation expertise, Cboe is uniquely positioned to gain insight
into what market participants are looking for and in turn develop
solutions to help meet their needs," said Rob Hocking, Senior Vice President and Head of
Product Innovation at Cboe. "Cboe transformed volatility trading
with the creation of the VIX Index 30 years ago and we continue to
explore new frontiers in the volatility space. We believe the new
Cboe S&P 500 Dispersion Index will provide investors with a
further view into market volatility, complementing other volatility
indices in our product suite. The opportunity to potentially trade
exchange-listed futures on this index is expected to also help
break down access barriers to allow more investors to utilize
dispersion trading strategies."
"Market benchmarks and their volatilities, including measures
such as the VIX Index, have become ubiquitous in describing the
prevalent risk regime. However, market volatility expresses only a
fraction of the overall opportunity set and risks," said
Tim Edwards, Global Head of Index
Investment Strategy at S&P Dow Jones Indices. "By collaborating
with Cboe to launch DSPX, market participants will have another
tool to further understand opportunities for diversification as
well as risks within the world's most liquid equity benchmark."
Cboe Labs plans to develop a futures product on the DSPX Index
to be listed on Cboe Futures Exchange (CFE), subject to regulatory
review, which will potentially enable investors to manage their
exposure and express views on SPX dispersion, or transfer risk
between SPX options and options based on the underlying S&P 500
Index constituents.
Cboe and S&P DJI will host a webinar on the new DSPX Index
and the potential benefits of dispersion trading on Wednesday, October 4. Additional
information and registration details can be found online here.
In addition, the new index will be a topic for a panel
discussion at Cboe's Global Risk Management Conference (RMC),
taking place from October 17-20,
2023, in Austin, Texas. To
learn more about RMC, visit the conference website.
About Cboe Global Markets, Inc.
Cboe Global Markets (Cboe: CBOE), the world's leading
derivatives and securities exchange network, delivers cutting-edge
trading, clearing and investment solutions to people around the
world. Cboe provides trading solutions and products in multiple
asset classes, including equities, derivatives, FX, and digital
assets, across North America,
Europe and Asia Pacific. Above all, we are committed to
building a trusted, inclusive global marketplace that enables
people to pursue a sustainable financial future. To learn more
about the Exchange for the World Stage, visit
www.cboe.com.
Media Contacts
|
Analyst Contact
|
Angela Tu
|
Tim Cave
|
Kenneth Hill, CFA
|
+1-646-856-8734
|
+44 (0)
7593-506-719
|
1-312-786-7559
|
atu@cboe.com
|
tcave@cboe.com
|
khill@cboe.com
|
CBOE-OE
CBOE-O
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SOURCE Cboe Global Markets, Inc.