Introduction

The CBOE Crude Oil Volatility Index ("Oil VIX", Ticker - OVX) measures the market's expectation of 30-day volatility of crude oil prices by applying the VIX methodology to United States Oil Fund, LP (Ticker - USO) options spanning a wide range of strike prices.

With the introduction of the first commodity-based volatility index, CBOE embarks on the next generation of VIX benchmarks, extending the franchise to new asset classes. In the coming months, CBOE plans to develop volatility indexes based on other commodities (e.g., gold) and foreign currencies.

The United States Oil Fund is an exchange-traded security designed to track changes in crude oil prices. By holding near-term futures contracts and cash, the performance of the Fund is intended to reflect, as closely as possible, the spot price of West Texas Intermediate light, sweet crude oil, less USO expenses. Following is a chart comparing USO prices with front month NYMEX WTI Crude Oil futures prices.

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CBOE began trading USO options on May 9, 2007. In just over a year, USO options are among the most actively traded contracts, averaging over 50,000 contracts per day, industry-wide, in Q2 2008. As shown below, USO option prices - and implied volatility levels - accurately reflect the implied volatility for front-month NYMEX WTI futures options.

CBOE Crude Oil Volatility Index (OVX)—One-year Graph

CBOE Crude Oil Volatility Index (OVX)—Five-year Graph


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

Links to More Information:

Oil VIX historical prices since May 10, 2007
OVX Press Release

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