FOR IMMEDIATE RELEASE
CBOE TO LAUNCH FIRST NASDAQ
VOLATILITY INDEX, "VXN"
CHICAGO, January 22, 2001 - The Chicago
Board Options Exchange (CBOE) today announced that on Tuesday,
January 23, it will launch a new volatility index, the
VXNSM. Similar in structure to CBOErsquo;s Market
Volatility Index (VIXSM) the widely used benchmark for
tracking market volatility, the VXN will track volatility of
options on the Nasdaq-100 Indexreg; (NDXSM). The VXN
will be calculated using implied volatility of options on the
Nasdaq-100 Index. CBOE developed this new market-tracking index in
response to customer demand for a quantified measure of volatility
in todayrsquo;s tech-heavy marketplace. NDX options are traded
exclusively at CBOE.
CBOE developed the VXN as it became apparent
that there was a dramatic divergence between volatility in the
Nasdaq market and the broad market beginning in early 1999. "This
divergence signaled a need for a new measure of volatility to help
investors make more informed trading decisions," said CBOE Chairman
and CEO William J. Brodsky.
CBOE calculated historical prices of the VXN
dating back to January 1995. Thus, CBOErsquo;s VXN is the only
such index that provides investors with a historical
CBOE will calculate and disseminate the new
Index continuously throughout the trading day under the symbol VXN.
VXN levels can be accessed through the CBOE website at
www.cboe.com/quotes. By using real-time NDX index option quotes,
the CBOE Nasdaq Market Volatility Index provides a real-time
measure of volatility in the Nasdaq market.
"With the availability of a continuously updated
volatility index on the Nasdaq, we expect the VXN will be the
premier benchmark of market sentiment for Nasdaq-based markets"
said Brodsky. CBOE developed and launched the Market Volatility
Index, or CBOE VIXSM, in January 1993. The VIX was the
first and only measure of market volatility and quickly became the
standard for quoting volatility in the broad market.
In addition to NDX options, CBOE also offers a
1/10th size version of the NDX, the CBOE Mini-NDX
(MNXSM) which is suitable for a broad range of
portfolios. The VXN volatility index can also be used as a guide to
assess volatility in the MNX as well as other tech-heavy indexes
Following is a guide for symbols mentioned in
MNXSM - CBOE Mini-NDX. A 1/10th size version of the
Nasdaq-100 Indexreg;. Traded exclusively at CBOE.
NDXSM - Options on the Nasdaq-100 Index. Traded
exclusively at CBOE.
OEXreg; - Options on the Samp;P 100 Index. Traded exclusively at
VIXSM - CBOE Market Volatility Index. Launched in
VXNSM - CBOE Nasdaq Volatility Index.
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CBOE, the worldrsquo;s largest options
marketplace and the creator of listed options, is regulated by the
Securities and Exchange Commission (SEC). For additional
information about the CBOE and its products, access the CBOE site
on the World Wide Web at http://www.cboe.com.