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CME Group Volatility Index (CVOL)

May 11th, 2021, 3:44 pm

The CME Group Volatility Index (CVOL)

An Introduction to ME Group Volatility Index (CVOL)

Have you friends looked into the into CVOL indexes recently launched by CMEGroup?
 
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Alan
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Re: CME Group Volatility Index (CVOL)

May 11th, 2021, 7:11 pm

Thanks, was not aware. So, looks like they are trying to compute something like [$] E^Q[ (S_T - F)^2] = \sigma_Q^2 \, F^2[$] by option replication (VIX-type methodology), where F is today's forward price for expiration T? 

If so, there is always the caution that [$]\sigma_Q \not= \sigma_P[$], where often the rhs is really what people want. But, [$]\sigma_Q[$] is useful, as well as the associated VIX's for the various underlying [$]S_T[$]'s.  
 
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Alan
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Re: CME Group Volatility Index (CVOL)

May 11th, 2021, 7:44 pm

Typo: should have written [$]\sigma_Q^2 T \times F^2[$] above.