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New Volatility Index for ETF Tracking MSCI EAFE


The Chicago Board Options Exchange, the creator of the widely observed CBOE Volatility Index, or “VIX,” is launching a new index based on a EAFE exchange traded fund to track volatility in major foreign developed markets.

On July 1, the CBOE EFA ETF Volatility Index (VXEFA) will begin tracking the volatility of the iShares MSCI EAFE Index Fund (EFA) , which provides exposure to developed-market stocks in developed Europe, Australasia and Far East countries, according to a press release.

So far this year, EFA ETF options were the tenth-most-active options on exchange traded products, averaging 82,000 contracts per day.

The CBOE is the largest U.S. derivatives trading platform. Currently, the exchange offers more than two dozen indexes and products, with the most popular being the CBOE Volatility Index, or VIX, which is used as a bellwether for risk in the U.S. stock market. [CBOE Launches ETF-Based Volatility Index Products]

The firm also has a CBOE Emerging Markets ETF Volatility Index (VXEEM), which is based on the iShares Emerging Markets ETF (EEM) .

“We continue to see tremendous interest in trading VIX options and futures and our other volatility-related products and are committed to building our volatility franchise to meet this investor demand,” William J. Brodsky, CBOE Holdings chairman and CEO, said earlier this year.

For more information on the ETF industry, visit our current affairs category.

Max Chen contributed to this article.

The opinions and forecasts expressed herein are solely those of Tom Lydon, and may not actually come to pass. Information on this site should not be used or construed as an offer to sell, a solicitation of an offer to buy, or a recommendation for any product.