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