Cboe Brazil ETF Volatility Index (VXEWZ)
The Cboe Brazil Volatility IndexSM (VXEWZ) is a VIX®-style estimate of the expected 30-day volatility of returns on the iShares Brazil ETF (EWZ). Like VIX, VXEWZ is calculated by i nterpolating between two weighted sums of option midquote values, in this case options on EWZ . The two sums essentially represent the expected variance of the returns on EWZ up to two option expiration dates that bracket a 30-day period of time. VXEWZ is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.