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CBOE EFA ETF Volatility Index (VXEFA)

VIX 13.50 -0.08
SPX 2060.72 7.97
OVX 35.04 1.40
GVZ 21.37 -0.13
VXEFA 14.86 -1.20
Delayed Quotes

Chicago Board Options Exchange (CBOE) now applies its proprietary CBOE Volatility Index® (VIX®) methodology to create indexes that reflect expected volatility for options on select exchange-traded funds (ETFs). Introduced in mid-2013, the CBOE EFA ETF Volatility Index (VXEFA) measures the expected volatility of the iShares MSCI EAFE Index Fund (EFA), an exchange traded product (ETP) that offers exposure to developed-market stocks in Europe, Australia, Asia and the Far East.

Key facts about the VXEFA Index include:

  • High and Low Values. Prior to June 2013, the highest daily closing value for the VXEFA Index was 81.02 on Nov. 20, 2008, and the lowest daily closing value was 13.11 on March 15, 2011.
  • Biggest One-day Moves. Prior to June 2013, the biggest one-day up moves (in % terms) for the VXEFA Index were: (1) up 51.3% on May 14, 2010, (2) up 41.9% on August 8, 2011, and (3) up 41.3% on November 9, 2011.
  • Negative Correlations. As shown in the Correlations table below, the daily returns for the VXEFA Index had a correlation of negative 0.64 versus the EFA ETF, negative 0.61 versus the S&P 500 Index (SPXTM) in the period from January 3, 2008 through June 20, 2013. Also please see the line chart below that compares the price movements of the EFA ETF and VXEFA Index.

VXEFA Historical Data

Key Links

Press Release - CBOE Expands Its Global Volatility Franchise With Addition Of CBOE EFA ETF Volatility Index
Spreadsheets with Historical Price Data for Volatility Indexes for Options on ETFs
Volatility Indexes

Price Charts

More Index Charts

Link to more Index Charts

Links for More Up-to-date Price Information

Price Quotes Page
Advanced Charts

Spreadsheets with Historical Price Data

Historical Daily Prices - Spreadsheet with Closing Prices for Several Indexes
Historical Month-end Prices - Spreadsheet with Closing Prices for Several Indexes
In addition, Market Data Express gives users access to more than 16 years of historical options data

If you wish to create customized, up-to-date charts, please visit the Advanced Charts page

Options Profit-and-Loss Diagrams

* In the Protective Put and Buy-write diagrams, the faint grey line represents an equity position, and the colored "hockey-stick-shaped" line represents the combined stock plus options position. For more details, please click on strategies.

CBOE Volatility Index (VIX)