Cboe EuroCurrency Volatility Index (EVZ)
The Cboe EuroCurrency Volatility IndexSM (EVZ) is a VIX®-style estimate of the expected 30-day volatility of the CurrencyShares Euro Trust (Ticker - FXE). Like VIX, EUVIX is calculated by interpolating between two weighted sums of option midquote values, in this case options on EVZ. The two sums essentially represent the expected variance of the Euro to Dollar exchange rate up to two option expiration dates that bracket a 30-day period of time. EVZ is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.