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