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.