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