CHICAGO and BOCA RATON, Fla., March 14, 2012 /PRNewswire/ -- The Chicago Board Options Exchange (CBOE) announced today that it began publishing values for the CBOE "VIX of VIX" Index SM) this morning.

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As its name implies, the CBOE's VIX of VIX Index tracks the volatility of the CBOE Volatility Index (the VIX Index), the world's most widely-followed market volatility index.

"Volatility traders are intrigued with the ability to formulate new strategies based on the relationship between the VIX Index and the volatility of the VIX Index," CBOE Chairman and CEO William J. Brodsky said. "The fact that our customers were looking for a way to measure the volatility of the VIX shows just how far the VIX Index has come. We're thrilled to introduce a product that tracks the volatility of the world's most- watched volatility index."      

VVIX reflects the market's consensus of expected volatility of the 30-day forward price of the VIX Index and provides new information for investors looking to formulate trading strategies based on the relationship between the VIX® Index and the volatility of the VIX Index.

The Index offers investors a way to gauge the risk premium in VIX Index option prices, much like the CBOE's VIX Index reflects the risk premium in S&P 500 Index options (SPX) prices.

VVIX is calculated using the same methodology as the VIX Index, which is derived from the price of a portfolio of out-of-the-money VIX option puts and calls.

CBOE, known as the home of volatility indexes, currently publishes data on two dozen volatility-related benchmarks and strategies. In addition to the CBOE "VIX of VIX" Index, since early 2011 CBOE has added 12 volatility indexes and one volatility strategy index, and CBOE and CBOE Futures Exchange (CFE) have collectively added  six new volatility products.

For more information on the CBOE VIX of VIX Index, including a white paper, see www.cboe.com/VVIX.

CBOE Holdings, Inc. CBOE is the holding company for Chicago Board Options Exchange (CBOE), C2 Options Exchange and other subsidiaries.  CBOE, the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education. CBOE offers equity, index and ETF options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options on the CBOE Volatility Index (the VIX Index). Other products engineered by CBOE include equity options, security index options, LEAPS options, FLEX options, and benchmark products such as the CBOE S&P 500 BuyWrite Index (BXM). CBOE's Hybrid Trading System incorporates electronic and open-outcry trading, enabling customers to choose their trading method. CBOE's Hybrid is powered by CBOEdirect, a proprietary, state-of-the-art electronic platform that also supports C2 Options Exchange (C2), CBOE Futures Exchange (CFE), CBOE Stock Exchange (CBSX) and OneChicago. CBOE is home to the world-renowned Options Institute and www.cboe.com, named "Best of the Web" for options information and education. CBOE is regulated by the Securities and Exchange Commission (SEC), with all trades cleared by the OCC.

CBOE-OE

CBOE®, Chicago Board Options Exchange®, CBSX®, CBOE Stock Exchange®, CFE®, CBOEdirect®, FLEX®, Hybrid®, LEAPS®, CBOE Volatility Index® and VIX® are registered trademarks, and BuyWrite, BXM, C2 Options Exchange, C2, CBOE Futures Exchange, CLL, PUT, PutWrite, CBOE S&P 500 Skew Index, SKEW, SPX, The Options Institute, VVIX, VPD, and VXTH are servicemarks of Chicago Board Options Exchange, Incorporated (CBOE). Standard & Poor's®, S&P® and S&P 500® are registered trademarks of Standard & Poor's Financial Services, LLC and have been licensed for use by CBOE.  

SOURCE Chicago Board Options Exchange