CBOE Holdings is planning to launch futures and options on the CBOE Gold ETF Volatility Index (Gold VIX) after getting regulatory approval. CBOE Futures Exchange (CFE) will start trading Gold VIX futures on March 25, 2011 and CBOE will introduce Gold VIX options a few weeks later.
The Gold VIX is calculated using real-time bid/ask quotes of GLD options that are listed on CBOE. CBOE also calculates the CBOE Crude Oil ETF Volatility Index (OVX) based on United States Oil Fund option prices and the CBOE EuroCurrency ETF Volatility Index based on CurrencyShares’ Euro Trust options.
Click here for the release from CBOE.