Ed Tilly, chairman of the board and CEO of Cboe Global Markets said:
We are committed to continue to innovate in the volatility area and believe that the VIX1D Index can be an excellent addition to the market for participants looking to better understand equity market volatility, or to use different trading strategy. The development of the VIX1D Index is another example of the strength of Cboe and S&P Dow Jones Indices’ long-standing relationship, highlighting the companies’ shared commitment to drive innovation through rigorous data analysis and market solutions.
The VIX1D Index uses similar methods as the VIX Index to estimate expected volatilty, but it is designed to reflect a compressed measurement of volatility expected over a single-day, which differs from the VIX Index. VIX1D Indexes are expected to be volatile due to their nature. They measure volatility over a shorter time period. This is because news events that affect the S&P 500 Index on a particular day are likely to have a more significant impact on short-dated SPX options than longer-dated options when market participants have more time to react.