CHICAGO, July 30, 2021 /PRNewswire/ -- Cboe Global
Markets, Inc. (Cboe: CBOE), a leading provider of global market
infrastructure and tradable products, today announced that the
company recently discovered instances where the spot Cboe
Volatility Index® (VIX® Index) calculation differs from the
calculation described in the VIX White Paper, which details the
formula used for deriving values related to the VIX.
![(PRNewsfoto/Cboe Global Markets, Inc.) (PRNewsfoto/Cboe Global Markets, Inc.)](https://mma.prnewswire.com/media/622233/Cboe_Logo.jpg)
The spot VIX Index is disseminated in 15 second intervals and is
not a tradable product. In certain instances, an index level
was not produced at the applicable interval, resulting in the
dissemination of the prior index value. Cboe is investigating the
degree of impact and the number of instances with respect to which
the redissemination occurred. Based on the company's initial
assessment, Cboe believes that, in the vast majority of cases, the
current VIX Index calculation yielded the same result as provided
in the VIX White Paper. The calculation methodology used for the
spot VIX Index is also used to calculate other spot volatility
indices and therefore may impact them in a similar manner.
With respect to the VIX, these instances relate only to the spot
VIX Index. Cboe believes the VIX tradable futures and options, as
well as the NAV of products that track the daily closing prices of
VIX futures, such as volatility ETPs, were not impacted. In
addition, the calculation of the final settlement value for
expiring VIX derivatives, which uses an independent process, was
not impacted.
Cboe intends to publish an addendum to the VIX White Paper by
Monday outlining this difference in methodology in further detail
for market participants. In accordance with its index governance
process, Cboe will promptly open a consultation on the planned
changes for public comment.
About Cboe Global Markets, Inc.
Cboe Global Markets (Cboe: CBOE), a leading provider of market
infrastructure and tradable products, delivers cutting-edge
trading, clearing and investment solutions to market participants
around the world. The company is committed to operating a trusted,
inclusive global marketplace, providing leading products,
technology and data solutions that enable participants to define a
sustainable financial future. Cboe provides trading solutions and
products in multiple asset classes, including equities, derivatives
and FX, across North America,
Europe and Asia Pacific. To learn more, visit
www.cboe.com.
Media
Contacts
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Analyst
Contact
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Angela
Tu
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Gary
Compton
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Debbie
Koopman
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+1-646-856-8734
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+1-312-786-7612
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+1-312-786-7136
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atu@cboe.com
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gcompton@cboe.com
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dkoopman@cboe.com
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CBOE-OE
Cboe®, Cboe Global Markets, Cboe Volatility Index®, and VIX®
are registered trademarks of Cboe Exchange, Inc. Standard
& Poor's®, S&P®, and S&P 500® are registered
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Cautionary Statements Regarding Forward-Looking
Information
This press release contains
forward-looking statements within the meaning of the Private
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could cause our actual results, level of activity, performance or
achievements to differ materially from those expressed or implied
by the forward-looking statements.
We operate in a very competitive and rapidly changing
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and it is not possible to predict all risks and uncertainties, nor
can we assess the impact of all factors on our business or the
extent to which any factor, or combination of factors, may cause
actual results to differ materially from those contained in any
forward-looking statements.
Some factors that could cause actual results to differ
include: the impact of the novel coronavirus ("COVID-19") pandemic,
including changes to trading behavior broadly in the market; the
loss of our right to exclusively list and trade certain index
options and futures products; economic, political and market
conditions; compliance with legal and regulatory obligations; price
competition and consolidation in our industry; decreases in trading
or clearing volumes, market data fees or a shift in the mix of
products traded on our exchanges; legislative or regulatory
changes; our ability to protect our systems and communication
networks from security risks, cybersecurity risks, insider threats
and unauthorized disclosure of confidential information; increasing
competition by foreign and domestic entities; our dependence on and
exposure to risk from third parties; fluctuations to currency
exchange rates; our index providers' ability to maintain the
quality and integrity of their indices and to perform under our
agreements; our ability to operate our business without violating
the intellectual property rights of others and the costs associated
with protecting our intellectual property rights; our ability to
attract and retain skilled management and other personnel; our
ability to minimize the risks, including our credit and default
risks, associated with operating a European clearinghouse; our
ability to accommodate trading and clearing volume and transaction
traffic, including significant increases, without failure or
degradation of performance of our systems; misconduct by those who
use our markets or our products or for whom we clear transactions;
challenges to our use of open source software code; our ability to
meet our compliance obligations, including managing potential
conflicts between our regulatory responsibilities and our
for-profit status; our ability to maintain BIDS Trading as an
independently managed and operated trading venue, separate from and
not integrated with our registered national securities exchanges;
damage to our reputation; the ability of our compliance and risk
management methods to effectively monitor and manage our risks; our
ability to manage our growth and strategic acquisitions or
alliances effectively; restrictions imposed by our debt obligations
and our ability to make payments on or refinance our debt
obligations; our ability to maintain an investment grade credit
rating; impairment of our goodwill, long-lived assets, investments
or intangible assets; and the accuracy of our estimates and
expectations. More detailed information about factors that may
affect our actual results to differ may be found in our filings
with the SEC, including in our Annual Report on Form 10-K for the
year ended December 31, 2020 and
other filings made from time to time with the SEC.
We do not undertake, and we expressly disclaim, any duty to
update any forward-looking statement whether as a result of new
information, future events or otherwise, except as required by law.
Readers are cautioned not to place undue reliance on these
forward-looking statements, which speak only as of the date
hereof.
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SOURCE Cboe Global Markets, Inc.