By Howard Packowitz
CHICAGO--Inspired by the popularity of its index on stock-market
volatility, the owner of the Chicago Board Options Exchange
announced Wednesday that it will soon publish a first-of-its-kind
index tied to U.S. interest-rate volatility.
CBOE Holdings Inc. (CBOE) will publish a daily reading on swap
rate volatility, to be called the SRVX Index, beginning Monday
after 4 p.m. EDT. The index is "designed to offer fixed income
options traders and portfolio managers a standardized and
transparent measure of interest rate swap volatility," CBOE said in
a news release.
Monday's launch comes at a time when market participants expect
interest-rate markets will be especially vulnerable to sudden price
swings. Sunday's Greek government elections may decide whether the
country will remain a member of Europe's monetary bloc. Also,
investors have become increasingly anxious about credit conditions
in Spain and Italy, and they fear that the U.S. economy is slowing
down.
Timing of the index launch is not connected to the Greek
elections or other market-moving events, said CBOE spokesman Gary
Compton.
The index is based on one- and 10-year U.S. dollar-denominated
swaps, which CBOE said are among the most actively traded contracts
in the $14.5 trillion over-the-counter interest-rate-options
market.
CBOE will calculate the index based on data provided by major
interdealer brokers in the swap option market, the news release
said.
The new benchmark is modeled after the CBOE Volaility Index, or
VIX, that measures potential stock market moves based on option
prices for the Standard & Poor's 500.
CBOE does not currently plan to list futures or options tied to
the new interest-rate-volatility index, said Mr. Compton.
CBOE lists futures and options on the VIX, which was created by
the exchange in 1993.
Write to Howard Packowitz at howard.packowitz@dowjones.com