Derivatives and securities exchange network Cboe Global Markets, Inc today announced it has begun publishing intraday values for the new Cboe 20+ Year Treasury Bond ETF Volatility Basis Point Index (VIXTLT Index).
Leveraging Cboe’s proprietary VIX® Index methodology, the VIXTLT Index provides market participants with the ability to track future (30-day) expected volatility in the U.S. Treasury market in real-time.
The VIXTLT Index is designed to be a U.S. Treasury market volatility measure comparable to the Cboe Volatility Index® (VIX®), which measures 30-day expected volatility of the U.S. equity market and is considered by many to be the world’s premier barometer of U.S. equity market volatility. By monitoring the VIXTLT and VIX indices together, investors may be offered insight into how expected volatility of two of the most important asset classes react to each other during different volatility regimes.
The VIXTLT Index is calculated using listed options on the iShares® 20+ Year Treasury Bond ETF (TLT), a highly liquid exchange-traded fund (ETF) composed of U.S. Treasury bonds with remaining maturities exceeding twenty years that have a relatively high duration.
“The launch of the VIXTLT Index is another milestone in Cboe’s offering of timely and transparent forward-looking volatility measures. Market participants have long sought a VIX-like gauge for U.S. Treasury volatility, and with the US election and the Federal Reserve’s expected monetary policy shift looming, interest in this asset class remains high,” said Rob Hocking, Head of Product Innovation at Cboe. “With both the VIXTLT and the VIX indices utilizing similar methodologies, investors will be able to gain a more like-to-like view of expected volatility in the bond and equity markets, potentially enabling them to make more informed decisions.”
The VIXTLT Index was developed by Cboe Labs, the company’s product innovation hub, with the administrator being Cboe Global Indices.
The index is the latest addition to Cboe’s growing volatility index suite, which recently welcomed the launch of four new Credit Volatility Indices (Credit VIX), and expands Cboe’s offering of more than 450 derivatives-based indices. Notably in the fixed income space, Cboe Global Indices’ Cboe TLT 2% OTM BuyWrite Index is the benchmark index for the iShares 20+ Year Treasury Bond BuyWrite Strategy ETF (TLTW).
