Due to the acceleration of transition from Eurodollar futures and options to SOFR, CME Group Benchmark Administration (CBA), will be bringing forward the permanent cessation of the three Eurodollar CVOL indices to Friday, February 10.
The move will affect the following indices:
- Eurodollar 90-day CVOL
- Eurodollar 1-year Midcurve 90-day CVOL
- Eurodollar 2-year Midcurve 90-day CVOL.
CVOL is the global volatility benchmark index, derived from the world’s most actively traded options on futures, across major asset classes. It is available in real-time streaming and daily benchmarks.
CVOL replicates an equivalent simple variance options portfolio from equal weighted option strips which also produces its auxiliary indicators, DnVar, UpVar, Skew, Convexity and ATM.
