FOR IMMEDIATE RELEASE
CBOE INTRODUCES NEW IMPLIED CORRELATION INDEX BASED ON THE S&P 500 INDEX; Plans to Develop Realized Correlation Products; Add New Analytical Tools to Award-Winning Website
CHICAGO, June 2, 2008
- The Chicago Board Options Exchange (CBOE) announced today that beginning on Wednesday, June 4, 2008, the Exchange will begin publishing data associated with a new volatility-related benchmark index, the CBOE S&P 500 Implied Correlation Index tied to two different option maturities - January 2009 (ticker symbol ICJ) and January 2010 (ticker symbol JCJ).
The CBOE S&P 500 Implied Correlation Index is a measure of the expected average correlation of components of the S&P 500 Index (SPX).Using SPX options prices, in concert with the prices of options on the 50 largest stocks in the S&P 500 Index, the CBOE S&P 500 Implied Correlation Index offers significant insight into the relative cost of SPX options compared to the price of those options on the individual stocks that comprise the S&P 500.
CBOE plans to disseminate ICJ and JCJ values once per day after the close of trading.Each day, CBOE will publish the index values, and provide on its website the correlation index input values; i.e. the implied volatilities for SPX options and options on each of the top 50 stocks in the S&P 500 Index.Historical information dating back to 2003 will also be available.
In addition to the new Implied Correlation Index, CBOE plans to develop the first exchange-traded realized correlation products tied to the S&P 500 Index.CBOE also plans to add new, interactive volatility-based content on cboe.com at a later date.
"As the leading innovator in the volatility space, CBOE is pleased to add yet another important new benchmark index to CBOE's suite of volatility products.Our new implied correlation index, will offer greater depth of information by providing a pricing snapshot of SPX options versus individual equity options on companies within the S&P 500 Index itself, and pave the way for the next generation of volatility products," said CBOE Chairman and CEO William J. Brodsky.
A complete overview of the CBOE S&P 500 Correlation Index, including methodology, components and pricing information, can be found at www.cboe.com/ImpliedCorrelation.
CBOE, the largest U.S. options marketplace and creator of listed options, is regulated by the Securities and Exchange Commission (SEC).For additional information about the CBOE and its products, access the CBOE website at www.cboe.com.
CBOE®, Chicago Board Options Exchange®, CBOE Volatility Index® and VIX® are registered trademarks of Chicago Board Options Exchange, Incorporated (CBOE).Standard & Poor's®, S&P®, and S&P 500® are registered trademarks of The McGraw-Hill Companies, Inc. and are licensed for use by the CBOE.
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In connection with the proposed restructuring transaction, CBOE Holdings, Inc. ("CBOE Holdings") has filed certain relevant materials with the United States Securities and Exchange Commission (SEC), including a registration statement on Form S-4. Members are encouraged to read the registration statement, including the proxy statement/prospectus that are a part of the registration statement, because it contains important information about the proposed transaction. Members are able to obtain a free copy of the proxy statement/prospectus, as well as the other filings containing information about CBOE Holdings and the Chicago Board Options Exchange, Incorporated ("CBOE"), without charge, at the SEC's Web site, http://www.sec.gov/, and the companies' website, www.cboe.com. In addition, CBOE members may obtain free copies of the proxy statement/prospectus and other documents filed by CBOE Holdings or the CBOE from CBOE Holdings by directing a request to the Office of the Secretary, CBOE Holdings, Inc., 400 South LaSalle Street, Chicago, Illinois 60605.
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