Cboe, CBSX, & CFE Press Releases


CBOE INTRODUCES NEW VOLATILITY INDEXES; Two Based on the Popular CBOE Volatility Index (VIX), Re-launches New Version of CBOE S&P 500 VARB-X Strategy Benchmark

CHICAGO, November 12, 2007 - The Chicago Board Options Exchange (CBOE) today announced that it will publish three new benchmark indexes, the CBOE S&P 500 3-Month Volatility Index (VXV), the CBOE VIX Premium Strategy Index (VPD), and the CBOE Capped VIX Premium Strategy Index (VPN). In addition, CBOE will re-launch a new version of its CBOE S&P 500 VARB-X Strategy Benchmark (VTY).

Introduced in 1993, the CBOE Volatility Index, "VIX", is widely recognized as the premier benchmark of stock market volatility and investor sentiment, often referred to as the market's "fear gauge." In 2003, CBOE updated the VIX methodology, paving the way for exchange-listed products, and establishing volatility as a new, tradable asset class. Today, VIX options and VIX futures are among the most actively traded contracts at CBOE and the CBOE Futures Exchange (CFE), averaging close to 140,000 contracts combined per day.

Today's launch significantly expands the suite of CBOE's and S&P's volatility benchmarks. These new indexes quantify the potential returns of short volatility strategies or measure the market's expectation of 30-day volatility implicit in the prices of near-term index options. They will be leading barometers of investor sentiment and market volatility relating to the S&P 500 Index.

"With this year's rise in volatility and the steady growth of trading in CBOE's volatility complex, we are proud to offer new additions to our expanding family of volatility products. These new indexes will provide investors with a unique opportunity intent on capturing the 'volatility premium', said CBOE Chairman and CEO William J. Brodsky. "As a leader in product innovation, CBOE's success in creating a new asset class with volatility has lead to real value and real options for investors."

"Volatility has shown itself to be one of the most important concepts in understanding and managing risk," said Robert Shakotko, Managing Director of Portfolio Services at Standard & Poor's. "Standard & Poor's has made index development in this area a priority, and we are proud to be working with CBOE, our longtime exchange partner, to bring these new indices to the market."

The new indexes may be described as the following:

CBOE S&P 500 3-Month Volatility Index (VXV)
Like VIX, the CBOE S&P 500 3-Month Volatility Index measures the market's expectation of future volatility conveyed by S&P 500 Index (SPX) option prices. This new index reflects three-month SPX implied volatility rather than the 1-month implied volatility measured by VIX. Investors will be able to use VIX and the CBOE S&P 500 3-Month Volatility Index to track the movement of the SPX volatility term structure in the first four listed contract months. VXV will be calculated every 15 seconds throughout the trading day.

CBOE VIX Premium Strategy Index (VPD)
This index tracks the value of a portfolio that overlays a sequence of short one-month VIX futures on a money market account. The VIX futures are held until expiration and new VIX futures are then sold. The index will be calculated once per day after the close of trading.

CBOE Capped VIX Premium Strategy Index (VPN)
This index tracks the performance of a strategy that systematically sells 1-month VIX futures, capped by the purchase of a VIX call option. The index will be calculated once per day after the close of trading.

The CBOE S&P 500 VARB-XTM ("Volatility ARBitrage") Strategy Benchmark (VTY)
This new version of the VARB-X Benchmark capitalizes on the historical spread between implied and realized volatility by holding a rolling short position in three-month variance futures, subject to a set of objective risk-limiting guidelines. This index will be calculated once per day after the close of trading.

Price in 2005
End-of-year Price in 2006
Closing Price *
% Change Since the End of 2005*
% Change Year-to-date*
CBOE S&P 500 3-Month Volatility Index
CBOE VIX Premium Strategy Index
CBOE Capped VIX Premium Strategy Index
CBOE S&P 500 VARB-X Strategy Benchmark
*As of November 6, 2007

For more information about the four products, please visit the Web site www.cboe.com/volatility.

CBOE, the largest options exchange in the U.S. 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.

Standard & Poor's Index Services, the world's leading index provider, maintains a wide variety of investable and benchmark indices to meet an array of investor needs. Its family of indices includes the S&P 500, an index with $1.3 trillion invested and $4.8 trillion benchmarked, and the S&P Global 1200, a composite index comprised of seven regional and country headline indices. For more information, please visit www.standardandpoors.com/indices.

Contacts at CBOE:
Debbie Baratz
(312) 786-7123

Gary Compton
(312) 786-7612

Contact at S&P:
Dave Guarino
(212) 438-1471

CBOE®, Chicago Board Options Exchange®, CFE®, CBOE Volatility Index® and VIX® are registered trademarks of Chicago Board Options Exchange, Incorporated (CBOE). VARB-XSM, VPDSM, VPNSM, VTYSM and VXVSM are service marks of 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.

This communication shall not constitute an offer to sell or the solicitation of an offer to buy any securities, nor shall there be any sale of securities in any state or jurisdiction in which an offer, solicitation or sale would be unlawful prior to registration or qualification under the securities laws of any such state or jurisdiction. No offering of securities shall be made except by means of a prospectus meeting the requirements of Section 10 of the Securities Act of 1933, as amended.

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, 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.

CBOE Holdings, the CBOE and their respective directors, executive officers and other employees may be deemed to be participants in the solicitation of proxies in connection with the proposed transaction. Information about the directors and executive officers of CBOE Holdings and of the CBOE is available in the prospectus/proxy statement.

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