The CBOE EuroCurrency Volatility Index ("Euro VIX", Ticker - EVZ) measures the market's expectation of 30-day volatility of the $US/Euro exchange rate by applying the VIX methodology to options on the CurrencyShares Euro Trust (Ticker - FXE).
Like other VIX benchmarks, EVZ uses options spanning a wide range of strike prices.
Euro VIX is just one in a series of new volatility indexes based on new asset classes, marking the next generation of VIX benchmarks. CBOE currently calculates the CBOE Crude Oil Volatility Index (OVX) based on United States Oil Fund (USO) option prices; and also the CBOE Gold Volatility Index (GVZ) based on SPDR Gold Shares (GLD) options.
FXE is an exchange-traded fund (ETF) that holds Euro on-demand deposits in Euro-denominated bank accounts. As such, the performance of FXE is intended to reflect the $US/Euro exchange rate, less fund expenses. Following is a chart comparing FXE prices with the spot Euro exchange rate.
Press Release - July 31, 2008
Updated Price Charts
CBOE EuroCurrency Volatility Index (EVZ): www.cboe.com/EVZ
5 year % change vs. S&P 500 Index (SPX) *
* The S&P 500 Index (SPX) is a price index that does not include reinvested dividends.
More Index Charts
Link to more Index Charts
Links for More Up-to-date Price Information
Price Quotes Page
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
FXE options were first listed on May 9, 2007; CBOE began trading FXE options on January 10, 2008. Today, FXE options are growing in popularity, averaging over 3,000 contracts per day, industry-wide, through July 2008.
For more information and Euro VIX historical prices since November 1, 2007, please see below.
CBOE EuroCurrency Volatility Index historical prices
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