Ed Tilly is the Chairman of Cboe Global Markets’ Board of Directors and CEO.
We are committed in continuing to innovate within the volatility space, and we believe that the VIX1D Index is a complement to market participants who wish to better understand the current volatility of the equity markets or when they use different trading strategies. The development of the VIX1D Index is another example of the strength of Cboe and S&P Dow Jones Indices’ long-standing relationship, highlighting the companies’ shared commitment to drive innovation through rigorous data analysis and market solutions.
The VIX1D Index uses similar methods as the VIX Index to estimate expected volatilty, but it is designed to reflect a compressed measurement of volatility expected over a single-day, which differs from the VIX Index. The VIX1D Index will be more volatile than indices measuring longer time periods of expected volatility. This is due to the nature of its calculation. This is because news events that affect the S&P 500 Index on a particular day are likely to have a more significant impact on short-dated SPX options than longer-dated options when market participants have more time to react.