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CBOE Futures to launch futures on the CBOE/CBOT 10-Year Treasury Note Volatility Index.

BANKING AND CREDIT NEWS-September 5, 2014--CBOE Futures to launch futures on the CBOE/CBOT 10-Year Treasury Note Volatility Index


5 September 2014 -- Chicago-based CBOE Futures Exchange (NASDAQ: CBOE) said that it plans to launch futures trading on the CBOE/CBOT 10-year US Treasury Note Volatility Index (ticker symbol VXTYNSM) beginning on November 13 pending regulatory review.

CBOE CEO Edward Tilly made the announcement during his address to attendees at the CBOE Risk Management Conference Europe, currently taking place outside of Dublin.

The VXTYN Index, on which futures on VXTYN is based, is calculated by applying the CBOE Volatility Index (VIX Index) methodology to futures options data from CME Group's 10-year US Treasury note contract -- one of CME Group's most active interest rate options products.

In May 2013, CBOE began disseminating values on the VXTYN Index as part of an agreement between CBOE and CME Group.

Potential users of futures on VXTYN could include mortgage-backed securities investors and other large credit managers seeking to hedge against adverse interest rate movements; large bond funds that are naturally long interest rate volatility and are seeking a yield-enhancing mechanism; and hedge funds, volatility arbitrage firms and global macro participants seeking to express their views on forthcoming monetary policy events or to capture mispricing anomalies between cross-asset volatility (e.g., fixed income versus equity volatility).

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1 USD = .60 GBP

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Publication:M2 Banking & Credit News (BCN)
Date:Sep 5, 2014
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