Brazil ETF Volatility Index Options and Futures (EWZ, VXEWZ, VXEW)

CBOE Holdings is rolling out futures and options on the CBOE Brazil ETF Volatility Index (VXEWZ). The volatility index measures the implied volatility, or expected move, in the iShares MSCI Brazil Index Fund (Brazil ETF) from its option prices. It's similar to the way the CBOE Volatility Index (VIX) measures the S&P 500's implied volatility percentage, but the VIX uses S&P 500 Index options not SPY options (the S&P ETF). There are options and futures on the CBOE Volatility Index that trade as well. I've covered them on my blog over the years, as well as the VIX futures curve and VIX implied volatility. When will we see futures and options on the Brazil ETF Volatility Index VIX, and a Brazil ETF Volatility Index VIX Short-Term Futures ETN? Ha. Of all places, I found the CBOE Brazil ETF Volatility Index chart at the St. Louis Fed's FRED database.

image source: St. Louis Fed

From CBOE:

"February 17, 2012

CBOE and CFE to Expand ETF-Based Volatility Index Products

Brazil ETF Volatility Index Futures and Options Next New Listings

CHICAGO, Feb. 17, 2012 /PRNewswire/ -- CBOE Holdings, Inc. (NASDAQ: CBOE) announced today that Chicago Board Options Exchange (CBOE) and CBOE Futures Exchange (CFE) will each launch a new ETF-based volatility index product in the coming weeks:

CBOE Brazil ETF Volatility Index security futures (VXEW) - Tuesday, February 21 on CFE
CBOE Brazil ETF Volatility Index options (VXEWZ) - Tuesday, March 6 on CBOE


The calculation of the CBOE Brazil ETF Volatility Index is derived from applying CBOE's VIX® methodology to the prices of CBOE listed options on the iShares MSCI Brazil Index Fund (ETF symbol: EWZ). EWZ options were the seventeenth most actively traded ETF options in the U.S. last year.

"We continue to see tremendous interest in trading VIX options and futures and our other volatility-related products and are committed to building our volatility franchise to meet this investor demand," said CBOE Holdings Chairman and CEO William J. Brodsky. "Expanding our roster of volatility options and futures products into sectors such as emerging markets is the next step in this evolution."

The CBOE Brazil ETF Volatility Index products are the latest in a series of CBOE and CFE volatility index product launches in 2012. CFE began trading CBOE Emerging Markets ETF Volatility Index security futures (futures symbol: VXEM) on January 9, and options trading on VXEEM began on January 31 on CBOE.

Barclays Capital will serve as the Lead Market Maker (LMM) for the CBOE Brazil ETF Volatility Index security futures at CFE. Group One Trading will serve as the Designated Primary Market Marker (DPM) for VXEWZ options at CBOE.

CBOE, the leading innovator in the volatility space and the home of volatility indexes, currently publishes data on more than two dozen volatility-related benchmarks and strategies. See www.cboe.com/volatility for more information on all CBOE volatility indexes. For more information on the CBOE Brazil ETF Volatility Index benchmarks and products, see www.cboe.com/VXEWZ."

Full release: http://ir.cboe.com/releasedetail.cfm?ReleaseID=649635

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