EUVIX (Cboe/CME FX Euro Volatility Index)
The Cboe/CME FX Euro Volatility IndexSM (EUVIX) is a VIX®-style estimate of the expected 30-day volatility of CME CME FX Euro/British pound/ Dollar futures. Like VIX, EUVIX is calculated by interpolating between two weighted sums of option midquote values, in this case options on CME FX Euro/ Dollar futures. The two sums essentially represent the expected variance of the Euro to Dollar exchange rate up to two option expiration dates that bracket a 30-day period of time. EUVIX is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.