CME Group Volatility Index (CVOLtm)
Benchmark Methodology
CME Group Benchmark Administration Limited
Version 1.4
Publication Date: December 14th , 2023

Version Control
VERSION
1.0.0
1.0.1

2

KEY CHANGES
Initial version
Added:• Tenor Selection Process• Up Var and Down Var Yield Conversion

APPROVAL DATE
November 3rd, 2020
December 8th, 2020

1.1

Added:• New Indices• New Indices Derivative Indicators (ATM andConvexity)• Indices Classification criteria

1.2

Added:• New Indices• New Tenor Selection Groups• New Eurodollar CVOL calculations

1.2.1

Indices Classification (Tenor Selection) annual review

1.2.2

Minor wording updates

August 8th, 2022

1.3

Added:• New Indices

October 17th, 2022

1.3.1

•
•

Annual review
Removal of Eurodollar CVOLs

1.3.2

•

Minor clarifications

February 9th, 2021

April 30th, 2021

February 22nd, 2022

January 30th 2023
July 14th, 2023

1.4

Added:• New Indices

October 10th, 2023

1.4.1

Removal of RBOB CVOL

December 5th, 2023

© 2023 CME Group. All rights reserved.

Contents
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11.
12.

3

Introduction
CME Group Volatility Index (CVOL)
CME Group Volatility Index (CVOL) Methodology for Single Product, Single Expiration
Broad-Based Index Construction (Vega)
Derivative Indicators
Short Term Interest Rate (STIR) Methodology
Yield-Volatility Methodology
Publication and Error Policy
GovernanceAppendix I – Key Terms & Definitions
Appendix II – ESG Disclosures
Appendix III – US Holidays

4
5
10
16
18
22
23
24
26
29
30
31

© 2023 CME Group. All rights reserved.

1. Introduction
This document describes the calculation methodology of the CME Group Volatility Index (CVOLTM) family of
indices and includes their related derivative indicators. The underlying methodology can be used to create
single product indices, that can also be combined to create broad-based indices, described herein.
The components of the CVOL family include:
•
•
•
•
•
•

Volatility Index value
Up Variance (Up Var) – Implied volatility of call options
Down Variance (Down Var) – Implied volatility of put options
Skew – Difference of Up Var and Down Var
At the Money Vol (ATM Vol) - Implied volatility of the theoretical at-the-money (ATM) Premium
Convexity – The degree of curvature of the volatility curve as indicated by the ratio of the Volatility
Index value and the ATM Vol.

The table below in CVOL details the mapping between the Derivative Indicators and underlying indices.
Variants of the basic calculation methodology are introduced to calculate CVOL in interest rate yield
numeraire, when the underlying options are struck against the price of debt instruments, such as US Treasury
Futures or SOFR Futures. The modified construction of these is described in Yield-Volatility Methodology andShort Term Interest Rate (STIR) Methodology.

CME Group and CME Group Benchmark Administration Limited
As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes tomanage risk. Through its four exchanges, CME, CBOT, NYMEX and COMEX, CME Group offers the widest
range of global benchmark products across all major asset classes, including futures and options based oninterest rates, equity indices, foreign exchange, energy, agricultural products and metals.
CME Group Benchmark Administration Limited (CBA) is authorized and supervised, as a Benchmark
Administrator, by the UK Financial Conduct Authority (FCA). CBA is the Benchmark Administrator of the CMEGroup Volatility (CVOL) Family of Benchmarks, with Chicago Mercantile Exchange Group Inc. providing
calculation agent and distribution services.
Bantix Technologies, LLC, operate a suite of products under the QuikStrike name, offering options software
applications as well as a set of custom reporting, data retrieval, market collaboration and historical volatility
tools and will provide calculation services on behalf of CME Group Inc.

Regulatory and IOSCO Compliance
CVOL is a family of benchmarks, designed on the basis of industry best practices and the IOSCO Principles
for Financial Benchmarks. This will include, but is not limited to, the creation of an Oversight Committee and apublished methodology.
CVOL is available for use under the UK Benchmark Regulation (BMR) 1.

1

https://www.fca.org.uk/markets/benchmarks/regulation4© 2023 CME Group. All rights reserved.

2. CME Group Volatility Index (CVOL)
CVOL delivers a view of implied volatility across five different asset classes, derived from the world’s mostactively traded options on futures. CVOL provides a measure of the market’s expectation of forward risk,
calculated each business day in accordance with the CME Globex US Holiday Calendar, along withassociated derivative indicators.

Designated Contract Markets
A wide range of options on various asset classes, including agriculture, energy, equity, FX, interest rates andmetals are actively traded on CME Group Designated Contract Markets (DCMs). Details of the most tradedoptions contracts are available on the CME Group page: CME Group Options.
The entirety of options contracts traded on CME Group DCMs are available on: CME Group All Products –Codes and Slate.

Foreign Exchange
Foreign Exchange – Single Product
CVOL
UpVar
DownVar
Skew
SymbolSymbolSymbolSymbolATM VolSymbolConvexity
Symbol

EUVL

EUUP

EUDN

EUSK

EUAM

EUCV

EUR/USD
(EUU)

CVOL
Group
Tenor
Selection 4

GBP/USD
(GBU)

Tenor
Selection 4

GBVL

GBUP

GBDN

GBSK

GBAM

GBCV

JPY/USD
(JPU)

Tenor
Selection 4

JPVL

JPUP

JPDN

JPSK

JPAM

JPCV

AUD/USD
(AUU)

Tenor
Selection 4

ADVL

ADUP

ADDN

ADSK

ADAM

ADCV

CAD/USD
(CAU)

Tenor
Selection 4

CAVL

CAUP

CADN

CASK

CAAM

CACV

MXN/USD(MP)

Tenor
Selection 2

MPVL

MPUP

MPDN

MPSK

MPAM

MPCV

CHF/USD
(CHU)

Tenor
Selection 2

CHVL

CHUP

CHDN

CHSK

CHAM

CHCV

Foreign Exchange – Broad Based
UpVar
DownVar
Skew
SymbolSymbolSymbolATM VolSymbolConvexity
SymbolFXAM

FXCVContract

Name

CVOL
SymbolFX G5 Volatility
Index(EUVL, GBVL,
JPVL, ADVL, CAVL)

FXVL

5

FXUP

FXDN

FXSK

© 2023 CME Group. All rights reserved.

Interest Rate
Contract
SOFR-SR390-day

CVOL
Group
Tenor
Selection 7(90 DTE)

Skew
SymbolATM VolSymbolConvexity
Symbol

SRVL

SRUP

SRDN

SRSK

SRAM

SRCV

SR3 1-year
Midcurve 90day

Tenor
Selection 7(90 DTE)

S1VL

S1UP

S1DN

S1SK

S1AM

S1CV

SR3 2-year
Midcurve 90day

Tenor
Selection 7(90 DTE)

S2VL

S2UP

S2DN

S2SK

S2AM

S2CV

US 2-year TNote (OZT) Price

Tenor
Selection 3

TUVL

TUUP

TUDN

TUSK

TUAM

TUCV

US 2-year TNote (OZT) Yield

Tenor
Selection 3

TUVY

TUUY

TUDY

TUSY

TUAY

TUCY

US 5-year TNote (OZF) Price

Tenor
Selection 4

FVVL

FVUP

FVDN

FVSK

FVAM

FVCV

US 5-year TNote (OZF) Yield

Tenor
Selection 4

FVVY

FVUY

FVDY

FVSY

FVAY

FVCY

US 10-year TNote (OZN) Price

Tenor
Selection 4

TYVL

TYUP

TYDN

TYSK

TYAM

TYCV

US 10-year TNote (OZN) Yield

Tenor
Selection 4

TYVY

TYUY

TYDY

TYSY

TYAY

TYCY

US 30-year TBond (OZB) Price

Tenor
Selection 4

USVL

USUP

USDN

USSK

USAM

USCV

US 30-year TBond (OZB) Yield

Tenor
Selection 4

USVY

USUY

USDY

USSY

USAY

USCY

Interest Rate – Broad Based
CVOL
UpVar
DownVarSymbolSymbolSymbolSkew
SymbolATM VolSymbolConvexity
SymbolTreasury Curve Volatility
Index - Price(TUVL, FVVL, TYVL, USVL)

TPVL

TPUP

TPDN

TPSK

TPAM

TPCV

Treasury Curve Volatility
Index - Yield(TUVY, FVVY, TYVY, USVY)

TVL

TUP

TDN

TSK

TAM

TCV

Name

6

Interest Rate – Single Product
CVOL
UpVar
DownVarSymbolSymbolSymbol© 2023 CME Group. All rights reserved.

Metals
Contract
Silver (SO)Gold (OG)Copper(HXE)
Platinum(PO)
Aluminum
(AX)

CVOL
Group
Tenor
Selection 4
Tenor
Selection 4
Tenor
Selection 2
Tenor
Selection 2
Tenor
Selection 2

CVOL
SymbolMetals – Single Product
UpVar
DownVarSymbolSymbolSkew
SymbolATM VolSymbolConvexity
Symbol

SIVL

SIUP

SIDN

SISK

SIAM

SICV

GCVL

GCUP

GCDN

GCSK

GCAM

GCCV

HGVL

HGUP

HGDN

HGSK

HGAM

HGCV

POVL

POUP

PODN

POSK

POAM

POCV

ALVL

ALUP

ALDN

ALSK

ALAM

ALCV

Metals – Broad Based
UpVar
DownVarSymbolSymbolSkew
SymbolATM VolSymbolConvexity
Symbol

MSK

MAM

MCV

Skew
SymbolATM VolSymbolConvexity
SymbolName

CVOL
SymbolMetals Volatility Index(SIVL, GCVL, HGVL,
POVL, ALVL)

MVL

MUP

MDN

EnergyContract
WTI Crude
Oil (LO)

7

CVOL
Group
Tenor
Selection 2

CVOL
SymbolEnergy – Single Product
UpVar
DownVarSymbolSymbol

CLVL

CLUP

CLDN

CLSK

CLAM

CLCV

Henry HubNatural Gas
(LN)

Tenor
Selection 2

NGVL

NGUP

NGDN

NGSK

NGAM

NGCV

NY Harbor
ULSD (OH)

Tenor
Selection 2

HOVL

HOUP

HODN

HOSK

HOAM

HOCV

Skew
SymbolATM VolSymbolConvexity
Symbol

ESK

EAM

ECV

Name

CVOL
SymbolEnergy Volatility Index(CLVL, NGVL, HOVL)

EVLEnergy – Broad Based
UpVar
DownVarSymbolSymbolEUP

EDN© 2023 CME Group. All rights reserved.

Agriculture
Contract

CVOL Group

Wheat
(OZW)

Tenor
Selection 3

Corn (OZC)

Agriculture – Single Product
CVOL
UpVar
DownVarSymbolSymbolSymbolSkew
SymbolATM VolSymbolConvexity Symbol

WVL

WUP

WDN

WSK

WAM

WCV

Tenor
Selection 3

CVL

CUP

CDN

CSK

CAM

CCV

Soybean
(OZS)

Tenor
Selection 3

SVL

SUP

SDN

SSK

SAM

SCV

Soybean Oil
(OZL)

Tenor
Selection 1

SOVL

SOUP

SODN

SOSK

SOAM

SOCV

SoybeanMeal (OZM)

Tenor
Selection 1

SMVL

SMUP

SMDN

SMSK

SMAM

SMCV

Lean Hogs
(HE)

Tenor
Selection 6(60DTE)

HEVL

HEUP

HEDN

HESK

HEAM

HECV

Live Cattle
(LE)

Tenor
Selection 6(60DTE)

LEVL

LEUP

LEDN

LESK

LEAM

LECV

Class III Milk
(DC)

Tenor
Selection 6(60DTE)

DCVL

DCUP

DCDN

DCSK

DCAM

DCCV

FeederCattle (GF)

Tenor
Selection 6(60DTE)

GFVL

GFUP

GFDN

GFSK

GFAM

GFCV

Name

CVOL
SymbolAgriculture Volatility
Index(WVL, CVL, SVL,
SOVL, SMVL, HEVL,
LEVL, DCVL, GFVL)

AVLAgriculture – Broad Based
UpVar
DownVar
Skew
SymbolSymbolSymbol
AUP

ADN

ASK

ATM VolSymbolConvexity
SymbolAAM

ACVMulti Asset

8

Name

CVOL
SymbolCommodity – Broad Based
UpVar
DownVar
Skew
SymbolSymbolSymbolATM VolSymbolConvexity
SymbolCommodity Volatility
Index(CLVL, NGVL, HOVL,
WVL, CVL, SVL, SIVL,
GCVL, HGVL, LEVL,
HEVL, DCVL)

CMVL

CMUP

CMAM

CMCV

CMDN

CMSK

© 2023 CME Group. All rights reserved.

Input data
The calculation of CVOL is based on the respective Final Pre-Clearing Prices for futures and options, as
published by CME Group to the Daily Settlements page. Settlement Prices calculation methodologies for each
option series are available on CME, CBOT, NYMEX, COMEX Daily Option Settlement Procedures.
For a given product the following input data are required:
•
•
•
•

•

Selected Option Expiration(s) 𝑇𝑇1 , 𝑇𝑇2 , … 𝑇𝑇𝑁𝑁For Selected Option Expiration, 𝑇𝑇𝑁𝑁 , the vector of all listed strikes, 𝐾𝐾𝑖𝑖
For each strike, 𝐾𝐾𝑖𝑖 , settlement prices for both the call and the put at that strike, 𝐶𝐶𝐾𝐾𝑖𝑖 , 𝑃𝑃𝐾𝐾𝑖𝑖 , respectively
Discounting SOFR interest rate corresponding to selected expiration, 𝑅𝑅𝑁𝑁 . The Discount Factors usedby the model represent the present value of 1 USD at each future date leveraging SOFR rates as thedaily prevailing rate of interest and are generated for each settlement day by CME Clearing.
Settlement price of the Futures contract, 𝐹𝐹𝑁𝑁 , that underlies the Options at the selected expiration, 𝑇𝑇𝑁𝑁For Yield Volatility Variant:•

DV01 value corresponding to the Treasury Future that underlies a particular vector of Treasury Future
Options.

For Broad-Based Index Calculations:••

Total Open Interest Dollar Vega for selected product or complex as calculated and provided by
Bantix-QuikStrikeThe contract multiplier for each product included in the Broad-Based Index

Use of Expert Judgement
The CME Group Volatility Index Methodology does not use expert judgement or discretion during the
calculation process. Input data are sourced from CME Group Designated Contract Markets and areautomatically applied to the calculation algorithm; Indices values are subject to stringent validation as insection Pre-publication reliability checks.

9© 2023 CME Group. All rights reserved.

3. CME Group Volatility Index (CVOL) Methodology for Single Product,
Single Expiration
Single Product CVOL Calculation
For the Single Product indices, the following Single Tenor formula is used to calculate CVOL:
𝑛𝑛

∆𝐾𝐾𝑖𝑖
2
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼 = 𝜎𝜎𝑁𝑁 = 100 ∗ � � 2 𝑒𝑒 𝑅𝑅𝑁𝑁 𝑇𝑇𝑁𝑁 𝑄𝑄�𝑂𝑂𝐾𝐾𝑖𝑖 �
𝑇𝑇
𝐹𝐹𝑁𝑁
𝑖𝑖=𝑚𝑚

Determining the futures contract settlement price

The futures contract settlement price for the CVOL indices is determined as follows:
1. A synthetic future using the strike where the put and call premiums are closest but nonzero is
calculated using Put-Call Parity (in the instance where there are two strikes with equally distantpremium, the lower strike is chosen):••

The strike 𝐾𝐾 is determined as the strike for

The synthetic future price 𝐹𝐹𝑆𝑆 is calculated as

𝑀𝑀𝑀𝑀𝑀𝑀 ��𝐶𝐶K 𝑖𝑖 − 𝑃𝑃K 𝑖𝑖 ��

𝐹𝐹𝑆𝑆 = 𝐾𝐾 + 𝐶𝐶𝐾𝐾 − 𝑃𝑃𝐾𝐾

2. The synthetic future price calculated 𝐹𝐹𝑆𝑆 is compared to the published settled futures price 𝐹𝐹𝑁𝑁 ; if theabsolute difference between the two is greater than two times the minimum option price tick 𝑧𝑧, thesynthetic price 𝐹𝐹𝑆𝑆 is used instead of 𝐹𝐹𝑁𝑁 :•If |𝐹𝐹𝑆𝑆 − 𝐹𝐹𝑁𝑁 | > 2𝑧𝑧 :o•𝐹𝐹𝑆𝑆 is used as the contract settlement price.

Otherwise:o

𝐹𝐹𝑁𝑁 is used as the contract settlement price.

Determining the discount rate
Because CME Group options are fully funded at the time of purchase, their values are a “present value” of afuture contingent cashflow. This means that the option prices collectively will understate the expectedvariance and will need to be adjusted to represent the contingent cashflow at the time of expiry. Each option
price will need to be multiplied by 𝑒𝑒 𝑅𝑅𝑁𝑁 𝑇𝑇𝑁𝑁 with 𝑇𝑇𝑁𝑁 representing the expiry of the option and 𝑅𝑅𝑁𝑁 being a rate
appropriate for 𝑇𝑇𝑁𝑁 and 𝑅𝑅𝑁𝑁 𝑇𝑇𝑁𝑁 will represent the product of the appropriate rate for the appropriate time.

Each date’s discount factor (𝐷𝐷𝑓𝑓𝑁𝑁 ) is drawn from a CME discounting curve and converted into a growth factor,
as described in the Input Data section. The discount factors will be inverted to represent the corresponding
1
growth factor;= 𝑒𝑒 𝑅𝑅𝑁𝑁 𝑇𝑇𝑁𝑁
𝐷𝐷𝑓𝑓𝑁𝑁10© 2023 CME Group. All rights reserved.

Determining Delta K
If the option is the highest struck Call:
If the option is the lowest struck Put:
If the option is the 𝐾𝐾0 struck Call:
If the option is the 𝐾𝐾0 struck Put:
Otherwise:

Where:•

Δ𝐾𝐾 = 𝐾𝐾𝑖𝑖 − 𝐾𝐾𝑖𝑖−1

Δ𝐾𝐾 = 𝐾𝐾𝑖𝑖+1 − 𝐾𝐾𝑖𝑖
Δ𝐾𝐾 = 𝐾𝐾1 − 𝐾𝐾0

Δ𝐾𝐾 = 𝐾𝐾0 − 𝐾𝐾−1

Δ𝐾𝐾 = (𝐾𝐾𝑖𝑖+1 − 𝐾𝐾𝑖𝑖−1 )/2

𝐾𝐾0 = 𝐹𝐹

Determining the Set of Options Included in the Calculation
The forward price determined in many implied volatility calculations requires a Put and a Call of the sametenor with the same strike. Because CME Group options deliver an actual future at expiry, the implied forward
does not need to be calculated because the price of the Future itself serves this purpose and will be
designated as 𝐹𝐹.

When determining a constant forward-looking implied volatility measure using more than one tenor of options
strips, 𝐹𝐹 will be designated with subscripting such as 𝐹𝐹1 and 𝐹𝐹2 , even if the two tenors of options are bothpredicated on the same underlying future; in which case 𝐹𝐹1 and 𝐹𝐹2 will be equal to one another.

Options to be included:••

Any Call Option with a Strike that is equal to or greater than the underlying Future’s price and having
a settlement price greater than zero.
Any Put Option with a Strike that is equal to or less than the underlying Future’s price and having asettlement price greater than zero.

CVOL Index Classification
Each CVOL index will be assessed at launch and classified into a Tenor Selection Group based on thefollowing criteria:••••

Availability of contract tenors
Seasonality impacts on the instruments and related markets
Consistency with other CVOL indices of the same asset class
Liquidity and availability of settlement data

Please refer to CME Group Volatility Index (CVOL) section for the current classification of CVOL instruments.
The Tenor Selection Groups are used to determine the tenor selection applied to each CVOL calculation. The
classification of each CVOL index will be reviewed at least annually by the Administrator and the OversightCommittee, with ad-hoc reviews performed as necessary.

11© 2023 CME Group. All rights reserved.

In circumstances where, based on a review of the criteria, a CVOL index is determined to be classified into a
different Tenor Selection Group, the Administrator will provide stakeholders with at least 1 (one) month notice.

Tenor Selection Groups
Tenor Selection 1
If there is a Monthly where DTE = 30, that single component expiration is used for index calculation.
Otherwise contracts will be selected as follows:
Far contract selection•

The Monthly expiration > 30 DTE and greater than the DTE of the Near contract (if the Near expiry is> 30 DTE) and is the closest monthly to 30 DTE.

Near contract selection•••

The Monthly expiration closest to 30 DTE and < 30 DTE and ≥ 10 DTE.
If there is no contract 10 DTE ≤ Monthly < 30 DTE, then select the closest expiration to 30 DTE.
If the selected contract has no settlement values present to generate a CVOL value, that contract isignored. The next closest monthly contract is selected. This step recurs until either a monthly contract
is found or if no contract is found, in which case the previous days rate is republished.

Tenor Selection 2
If there is a Monthly where DTE = 30, that single component expiration is used for index calculation.
Otherwise contracts will be selected as follows:
Far contract selection•

The Monthly expiration > 30 DTE and greater than the DTE of the Near contract (if the Near expiry is> 30 DTE) and is the closest monthly to 30 DTE.

Near contract selection••

12

The Monthly expiration closest to 30 DTE and < 30 DTE and ≥ 10 DTE.
If there is no contract 10 DTE ≤ Monthly < 30 DTE, then select the closest expiration to 30 DTE.

© 2023 CME Group. All rights reserved.

Tenor Selection 3
If there is a Monthly where DTE = 30, that single component expiration is used for index calculation.
Otherwise contracts will be selected as follows:
Far contract selection•

The Monthly contract expiration > 30 DTE and closest to 30 DTE.

Near contract selection
•
•
•

•

The Monthly contract expiration 14 ≤ DTE < 30 and closest to 30 DTE.
If the shorted dated monthly contract(s) expiration is/are DTE < 14 OR DTE > 30, then Friday Weekly
14 ≤ DTE ≤ 21 and closest to 30 DTE is selected.
If a Friday Weekly contract is selected and there are no settlement values present to generate a
CVOL value, that contract is ignored. The next Friday Weekly contract with 14 < DTE and the shortest
expiry is chosen.
If the next Friday Weekly selected as above has no settlement values, the longest dated Monthly or
Friday Weekly contract 10 ≤ DTE with settlement values available, is taken as the front tenor.

Tenor Selection 4
If there is a Monthly where DTE = 30, that single component expiration is used for index calculation.
Otherwise contracts will be selected as follows:
Far contract selection•

The Monthly contract expiration > 30 DTE and closest to 30 DTE.

Near contract selection••

The Monthly contract expiration 14 ≤ DTE < 30 and closest to 30 DTE.
If the shorted dated monthly contract(s) expiration is/are DTE < 14 OR DTE > 30, then Friday Weekly
14 ≤ DTE ≤ 21 and closest to 30 DTE is selected.

Tenor Selection 5
If there is a Monthly, Weekly or EOM where DTE = 30, that single component expiration is used for index
calculation.
Otherwise contracts will be selected as follows:
Far contract selection•

The Monthly, Weekly or End-of-Month (EOM) expiration > 30 DTE and closest to 30 DTE.

Near contract selection•

13

The Monthly, Weekly or EOM expiration < 30 DTE and closest to 30 DTE.

© 2023 CME Group. All rights reserved.

Tenor Selection 6 (60 DTE)
In some instruments, the market dynamics cause the practical utility of the option contract to cease
approximately one month before expiry. In these markets, a 60 day horizon is used as it is effectively
equivalent to the 30 day horizons employed in the other CVOL indices.
If there is a Monthly where DTE = 60, that single component expiration is used for index calculation.
Otherwise contracts will be selected as follows:
Far contract selection•

The Monthly expiration > 60 DTE and greater than the DTE of the Near contract (if the Near expiry is> 60 DTE) and is the closest monthly to 60 DTE.

Near contract selection••

The Monthly expiration closest to 60 DTE and < 60 DTE and ≥ 20 DTE.
If there is no contract 20 DTE ≤ Monthly < 60 DTE, then select the closest expiration to 60 DTE.

Tenor Selection 7 (90 DTE)
In some instruments, the underlying future of the option contract has a quarterly expiration. In these markets,a 90 day horizon is used as it is effectively equivalent to the 30 day horizons employed in the other CVOL
indices.
If there is a Monthly where DTE = 90, that single component expiration is used for index calculation.
Otherwise contracts will be selected as follows:
Far contract selection•

The Monthly expiration > 90 DTE and greater than the DTE of the Near contract (if the Near expiry is> 90 DTE) and is the closest monthly to 90 DTE.

Near contract selection••

The Monthly expiration closest to 90 DTE and < 90 DTE and ≥ 50 DTE.
If there is no contract 50 DTE ≤ Monthly < 90 DTE, then select the closest expiration to 90 DTE.

Tapering
In order to establish option inclusion boundaries, the calculation methodology looks for three consecutive
options that are priced at the smallest pricing increment for that product. In the event that this occurs, prices
will be adjusted or tapered. The tapering process attributes decreasing weight to the second and third option
prices of the three consecutive prices at such increment and does not incorporate any prices beyond these.
The price of the second option at the smallest pricing increment is weighted 50% of its settlement price andthe price of the third option is weighted 25% of its settlement price.

14© 2023 CME Group. All rights reserved.

Determining TimeThe time 𝑇𝑇 for each strip of options is the amount of time as a fraction of a year (365 days) from the current
time until the expiry of those options.
𝑇𝑇1 = expiry1 − 𝑡𝑡

When determining a constant forward-looking implied volatility measure using more than one tenor of options
strips, then 𝑇𝑇 will be designated with subscripting such as 𝑇𝑇1 and 𝑇𝑇2

Each tenor of options will have its own variance metric, and these two-variance metrics will be time-weighted
to a specific time horizon (for example 30 days 𝑇𝑇𝐻𝐻 , where 𝐻𝐻 = 30 DTE). The time weighting applied is defined
as follows:
𝜎𝜎𝐻𝐻 = �Where:
•
•
•
•
•

15

(𝑇𝑇2 – 𝑇𝑇𝐻𝐻 ) ∗ (𝜎𝜎12 ) + (𝑇𝑇𝐻𝐻 – 𝑇𝑇1 ) ∗ (𝜎𝜎22 )(𝑇𝑇2 – 𝑇𝑇1 )𝑇𝑇1 is the time to expiry of the front tenor
𝑇𝑇2 is the time to expiry of the back tenor
𝜎𝜎1 is the variance of the front tenor
𝜎𝜎2 is the variance of the back tenor
𝜎𝜎𝐻𝐻 is the time-weighted variance© 2023 CME Group. All rights reserved.

4. Broad-Based Index Construction (Vega)
The calculation of broad-based indices uses a combination of the CVOL calculations, Open Interest of theassociated contracts, and the Vega of the options within the strips. The Vega is calculated by BantixQuikStrike, in line with industry standards. The first component (i.e. Implied Volatility calculation) uses current
day data while the other two components (i.e. Open Interest and Vega) are provided by End-of-Day (EOD)
data from the most recent five days prior to today.
The Broad-Based Indices are calculated as the sum of their respective Implied Volatility Calculations,weighted by the Dollar Vega Open Interest ($𝑉𝑉𝑉𝑉𝑉𝑉). The dollar Vega Open Interest for a single day can be
defined as follows:𝑖𝑖

𝑗𝑗$𝑉𝑉𝑉𝑉𝐼𝐼𝑇𝑇 = 𝑀𝑀 � � 𝑣𝑣𝑇𝑇,𝑡𝑡,𝑘𝑘 ∗ 𝑂𝑂𝐼𝐼𝑇𝑇,𝑡𝑡,𝑘𝑘
𝑡𝑡=0 𝑘𝑘=0

We then use five days of $𝑉𝑉𝑉𝑉𝑉𝑉 to arrive at a five-day moving average as defined below:
𝑀𝑀𝐴𝐴 𝑇𝑇=0 =Where:
•
•
•
•
•
•

∑−5
𝑇𝑇=−1 $𝑉𝑉𝑉𝑉𝐼𝐼𝑇𝑇
5

𝑡𝑡 is tenor of a given option.
𝑇𝑇 is the day of a given $𝑉𝑉𝑉𝑉𝐼𝐼𝑇𝑇 , where 𝑇𝑇−5 is five settlement days prior to the current calculation day.
𝑘𝑘 is the strike of a given option.
𝑣𝑣𝑇𝑇,𝑡𝑡,𝑘𝑘 is the Vega of the option at time 𝑡𝑡 with strike 𝑘𝑘 (both calls and puts) for day 𝑇𝑇 .
𝑂𝑂𝐼𝐼𝑡𝑡,𝑘𝑘 is the Open Interest of the option at time 𝑡𝑡 with strike 𝑘𝑘 (both calls and puts) for day 𝑇𝑇.
𝑀𝑀 is the contract multiplier associated with the particular option product.

Summing the product of the above components as shown in the definition will produce the Dollar Vega OpenInterest for a given option product. It is important to note that all outstanding contracts will be used in thecalculation from the most recent five EOD data files.
The weighting is used to capture the overall risk profile in volatility terms for each product represented throughthe product of Vega and Open Interest. This is then normalized using the product’s contract multiplier 𝑀𝑀.

16© 2023 CME Group. All rights reserved.

Using the Dollar Vega Open Interest, we formulate the weighting for each product using the following
definition:
𝑊𝑊𝑛𝑛 =𝑀𝑀𝐴𝐴𝑛𝑛∑𝑞𝑞𝑛𝑛=1 𝑀𝑀𝐴𝐴𝑛𝑛

Where 𝑞𝑞 is the number of products being combined into the index.

With the weightings calculated, we take the final step and calculate the index by combining the weightingsand Implied Volatility values 𝜎𝜎𝑛𝑛 for each respective product in the following manner:𝑞𝑞

𝜎𝜎𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖 = � 𝜎𝜎𝑛𝑛 ∗ 𝑊𝑊𝑛𝑛
𝑛𝑛=1

17

© 2023 CME Group. All rights reserved.

5. Derivative Indicators
In addition to the Index Value a set of derivative indicators, as described in the Introduction section, iscalculated and published.

Derivative Indicators Calculation Methodology
Up Variance (Up Var)
Up Var is the Implied Volatility of the ATM and OTM calls and can be defined as follows:
𝑛𝑛

1
∆𝐾𝐾𝑖𝑖
2
𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥 = 100 ∗ �2 ∗ � 2 𝑒𝑒 𝑅𝑅𝑁𝑁 𝑇𝑇𝑁𝑁 𝑄𝑄�𝐶𝐶𝐾𝐾𝑖𝑖 � + 2 𝑒𝑒𝑅𝑅𝑁𝑁 𝑇𝑇𝑁𝑁 ∗ (𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐴𝐴∓1𝑁𝑁 )
𝑇𝑇
𝐹𝐹𝑁𝑁
𝐹𝐹𝑁𝑁
𝑖𝑖=𝑚𝑚

Where “xx” represents the first two letters of the Index Symbol.
This follows the definition provided previously with the exception that the entirety of the option strip 𝑂𝑂 is
replaced with 𝐶𝐶 which refers solely to the call strip.
Down Variance (Down Var)

Down Var is the Implied Volatility of the ATM and OTM puts and can be defined as follows:
𝑛𝑛

1
∆𝐾𝐾𝑖𝑖
2
𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥 = 100 ∗ �2 ∗ � 2 𝑒𝑒 𝑅𝑅𝑁𝑁 𝑇𝑇𝑁𝑁 𝑄𝑄�𝑃𝑃𝐾𝐾𝑖𝑖 � + 2 𝑒𝑒𝑅𝑅𝑁𝑁 𝑇𝑇𝑁𝑁 ∗ (𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐴𝐴±1𝑁𝑁 )
𝑇𝑇
𝐹𝐹𝑁𝑁
𝐹𝐹𝑁𝑁
𝑖𝑖=𝑚𝑚

This follows the definition provided previously with the exception that the entirety of the option strip 𝑂𝑂 is
replaced with 𝑃𝑃 which refers solely to the put strip.
Skew

Skew refers to the difference of Up Var and Down Var to serve as an indication of the direction of volatility
relative to the put or call wings. Skew is therefore defined as:

ATM Volatility (ATM Vol)

𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥 = 𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥 − 𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥

The theoretical ATM option price is used to estimate the ATM Vol (Brenner and Subrahmanyam - 1988):
𝜎𝜎𝑎𝑎𝑎𝑎𝑎𝑎 ≈ 100 ∗ �

18

2𝜋𝜋 𝑂𝑂0∗
𝑇𝑇 𝐹𝐹© 2023 CME Group. All rights reserved.

Where:•••𝜎𝜎𝑎𝑎𝑎𝑎𝑎𝑎 is the ATM Vol
𝑇𝑇 is the time to expiry in terms of years (365 days)
𝑂𝑂0 is the synthetic ATM option price (as defined in Derivative Indicators Input Data)

Convexity

Convexity refers to the degree of curvature of the volatility curve as indicated by the ratio of the Volatility Index
value and the ATM Vol .The expression to calculate the convexity is as follows:

𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶 =Where:••

𝜎𝜎𝑛𝑛
𝜎𝜎𝑎𝑎𝑎𝑎𝑎𝑎

𝜎𝜎𝑛𝑛 refers to the Volatility Index value of a given product𝜎𝜎𝑎𝑎𝑎𝑎𝑎𝑎 refers to the ATM Vol as specified by the ATM Vol calculation above.

Derivative Indicators Input Data
Synthetic ATM Option Price

In order to determine the ATM Price and Volatility, the following are considered.
••••

When there is a strike that is exactly ATM.
When there is a strike that is closer to the strike of the first out-of-the-money (OTM) Put in the option
strip.
When there is a strike that is closer to the strike of the first OTM Call in the option strip.
When there is a strike exactly half-way between the closest OTM Call and OTM put.

If there is no exact ATM option, a synthetic ATM option price is generated using an assumed delta and a
nearby existing option price, according the following four scenarios:
ATM: the Call and Put prices at the strike are averaged as follows:
If the Call and Put prices are non 0 then:If the Put price is 0 then:If the Call price is 0 then:

𝑂𝑂0 =𝑂𝑂𝑐𝑐0 + 𝑂𝑂𝑝𝑝02

𝑂𝑂0 = 𝑂𝑂𝑐𝑐0
𝑂𝑂0 = 𝑂𝑂𝑝𝑝0

19© 2023 CME Group. All rights reserved.

Put: where the closest strike to ATM is below the Future, we define 𝑂𝑂0 as follows:
𝑂𝑂0 = 𝑂𝑂𝐾𝐾−1 + 0.50 ∗ (𝐹𝐹 − 𝐾𝐾−1 )Call: where the closest strike to ATM is above the Future, we define 𝑂𝑂0 as follows:
𝑂𝑂0 = 𝑂𝑂𝐾𝐾+1 + 0.50 ∗ (𝐾𝐾1 − 𝐹𝐹)

Mid-price: where 𝐹𝐹 is a mid-price between 𝐾𝐾−1 and 𝐾𝐾1 , we define 𝑂𝑂0 as follows:
𝑂𝑂0 =�𝑂𝑂𝐾𝐾−1 + 0.50 ∗ (𝐹𝐹 − 𝐾𝐾−1 )� + �𝑂𝑂𝐾𝐾+1 + 0.50 ∗ (𝐾𝐾1 − 𝐹𝐹)�2

Since (𝐹𝐹 − 𝐾𝐾−1 ) = (𝐾𝐾1 − 𝐹𝐹), the expression is simplified as follows:
𝑂𝑂0 =𝑂𝑂𝐾𝐾−1 + 0.50 ∗ (𝐾𝐾1 − 𝐾𝐾−1 ) + 𝑂𝑂𝐾𝐾+12

𝐾𝐾0 = 𝐹𝐹 is the theoretical ATM strike; the value of Δ𝐾𝐾0 for the ATM option is defined as follows:

ATM Δ𝐾𝐾: where there is a strike that is exactly ATM, the Δ𝐾𝐾0 is already known.

Put Δ𝐾𝐾: where the closest strike to ATM is below the Future, Δ𝐾𝐾0 is defined as follows.
Δ𝐾𝐾0 = �𝐾𝐾−1 + 𝐾𝐾1
� − 𝐹𝐹
2

Call Δ𝐾𝐾: where the closest strike to ATM is above the Future, Δ𝐾𝐾0 is defined as follows.
Δ𝐾𝐾0 = 𝐹𝐹 − �

𝐾𝐾−1 + 𝐾𝐾1
�2

Mid-price: where F is a mid-point between 𝐾𝐾−1 and 𝐾𝐾1 , no adjustment is needed as Δ𝐾𝐾 would be zero in thetwo instances above.
Where:
•
•
•
•
•
•
•
•

20

𝐾𝐾−1 is the nearest to-the-money Put strike and 𝐾𝐾1 is the nearest to-the-money Call strike
Δ𝐾𝐾 is assumed to be 0.5
𝐾𝐾−1 or 𝐾𝐾1 , depending on which strike is used
Δ𝐾𝐾−1 is the delta K for the nearest to-the-money Put (as defined in ‘Determining Delta K’)
Δ𝐾𝐾1 is the delta K for the nearest to-the-money Call (as defined in ‘Determining Delta K’)
𝑂𝑂𝐾𝐾 is the option premium at either strike 𝐾𝐾−1 or 𝐾𝐾1 , depending on which strike is used
𝑂𝑂𝑐𝑐0 is the option premium for the ATM Call
𝑂𝑂𝑝𝑝0 is the option premium for the ATM Put© 2023 CME Group. All rights reserved.

Time Weighting
Derivative indicators are time weighted; the two specific tenors of options each produce its own varianceestimate up to the expiry of those options. These two variance estimates are time weighted with the time
horizon 𝑇𝑇𝐻𝐻 .
𝜎𝜎𝐻𝐻 = �(𝑇𝑇2 – 𝑇𝑇𝐻𝐻 ) ∗ (𝜎𝜎12 ) + (𝑇𝑇𝐻𝐻 – 𝑇𝑇1 ) ∗ (𝜎𝜎22 )(𝑇𝑇2 – 𝑇𝑇1 )Each of the derivative indicators are appropriately time weighted, as described above.
ATM Variance Adjustment
To correctly attribute variances, adjustments are applied to the following scenarios.
The Variance Area is defined as follows:

The ATM Variance Area is specified as follows:

𝑉𝑉𝐴𝐴𝑖𝑖 = Δ𝐾𝐾𝑖𝑖 ∗ 𝑂𝑂𝑖𝑖
𝑉𝑉𝐴𝐴0 = Δ𝐾𝐾0 ∗ 𝑂𝑂0

The following notation is assigned to the Adjusted Variance Area:
Adjusted Variance Area = 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐴𝐴𝑖𝑖

In the instance where the closest strike to ATM is below the Future, the calculated ATM variance from the Putwing is added to the Call wing. This is defined as follows:
𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐴𝐴−1 = 𝑉𝑉𝐴𝐴−1 − 𝑉𝑉𝐴𝐴0
𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐴𝐴1 = 𝑉𝑉𝐴𝐴1 + 𝑉𝑉𝐴𝐴0

In the instance where the closest strike to ATM is above the Future, the calculated ATM variance from theCall wing is subtracted and added to the Put wing. This is defined as follows:
𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐴𝐴1 = 𝑉𝑉𝐴𝐴1 − 𝑉𝑉𝐴𝐴0
𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐴𝐴−1 = 𝑉𝑉𝐴𝐴−1 + 𝑉𝑉𝐴𝐴0

In the previous section, we represent the permutations described above as they apply to either the Call or Put
wings using the following notation:(1) 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐴𝐴∓1(2) 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐴𝐴±1
Where (1) indicates the Adjusted Variance Area being either subtracted or added to the Call wing and (2)indicates the Adjusted Variance Area being either subtracted or added to the Put wing.

21© 2023 CME Group. All rights reserved.

6. Short Term Interest Rate (STIR) Methodology
Due to the nature of the STIR Futures market, the SOFR based CVOL indices require an alternative
calculation methodology. The calculation of the single tenor volatility value is derived from the CME Implied
Volatility methodology and is shown below:
𝑛𝑛

2
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼 = 𝜎𝜎𝑁𝑁 = 100 ∗ � � ∆𝐾𝐾𝑖𝑖 𝑒𝑒 𝑅𝑅𝑁𝑁 𝑇𝑇𝑁𝑁 𝑄𝑄�𝑂𝑂𝐾𝐾𝑖𝑖 �
𝑇𝑇
𝑖𝑖=𝑚𝑚

Up Var and Down Var STIR Conversion
When calculating the Up Var and Down Var for a SOFR volatility, the derivative metrics are inverted whencompared to other CVOL indices.
Call options on the price will behave like Put options on the yield, and vice versa. An Up Var calculation on theprice (which uses Call options on said Future) is equivalent to the Down Var calculation on the yield.
This also affects the calculation of skew for yield volatilities. So, when skew is positive (or above one) for the
price volatility, the equivalent SOFR skew would be negative (or below one).
Up Var for SOFR CVOL indices can be defined as follows:𝑛𝑛

2𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥 = 100 ∗ �2 ∗ � ∆𝐾𝐾𝑖𝑖 𝑒𝑒 𝑅𝑅𝑁𝑁 𝑇𝑇𝑁𝑁 𝑄𝑄�𝐶𝐶𝐾𝐾𝑖𝑖 � + 𝑒𝑒𝑅𝑅𝑁𝑁 𝑇𝑇𝑁𝑁 ∗ (𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐴𝐴∓1𝑁𝑁 )
𝑇𝑇
𝑖𝑖=𝑚𝑚

Down Var for SOFR CVOL indices can be defined as follows:𝑛𝑛

2𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥 = 100 ∗ �2 ∗ � ∆𝐾𝐾𝑖𝑖 𝑒𝑒 𝑅𝑅𝑁𝑁 𝑇𝑇𝑁𝑁 𝑄𝑄�𝑃𝑃𝐾𝐾𝑖𝑖 � + 𝑒𝑒𝑅𝑅𝑁𝑁 𝑇𝑇𝑁𝑁 ∗ (𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐴𝐴±1𝑁𝑁 )
𝑇𝑇
𝑖𝑖=𝑚𝑚

ATM Vol STIR Calculation
The theoretical ATM option price is used to estimate the ATM Vol for the SOFR CVOLs is defined as follows:
𝜎𝜎𝑎𝑎𝑎𝑎𝑎𝑎 ≈ 100 ∗ �

22

2𝜋𝜋
∗ 𝑂𝑂0
𝑇𝑇

© 2023 CME Group. All rights reserved.

7. Yield-Volatility Methodology
For Treasury products, in order to render the price-based volatility as an annualized basis point (BP) volatility
the DV01 of the cheapest-to-deliver bond (CTD) is used; DV01 is the change of a bond price for a 1 basischange of the rate associated with that bond.
To convert a futures price volatility into a BP volatility, the transformation happens at the variance level.
2=
𝜎𝜎𝑏𝑏𝑏𝑏𝐹𝐹𝑇𝑇2∗ 𝜎𝜎𝑇𝑇2
𝐷𝐷𝐷𝐷012𝑇𝑇

Where 𝜎𝜎𝑇𝑇2 is the variance calculation of the single tenor 𝑇𝑇.
From the prior calculation

𝜎𝜎𝐻𝐻 = �Substituting the DV01 formula(𝑇𝑇2 – 𝑇𝑇𝐻𝐻 ) ∗ (𝜎𝜎12 ) + (𝑇𝑇𝐻𝐻 − 𝑇𝑇1 ) ∗ (𝜎𝜎22 )(𝑇𝑇2 – 𝑇𝑇1 )

𝐹𝐹 2
𝐹𝐹 2
(𝑇𝑇2 – 𝑇𝑇𝐻𝐻 ) ∗ � 1 2 � ∗ (𝜎𝜎12 ) + (𝑇𝑇𝐻𝐻 − 𝑇𝑇1 ) ∗ � 2 2 � ∗ (𝜎𝜎22 )𝐷𝐷𝐷𝐷011
𝐷𝐷𝐷𝐷012�
𝜎𝜎𝐻𝐻𝐻𝐻𝐻𝐻 =(𝑇𝑇2 – 𝑇𝑇1 )Up Var and Down Var Yield Conversion
When calculating the Up Var and Down Var for a yield volatility, the derivative metrics are inverted relative tothe price volatility.
Call options on the price will behave like Put options on the yield, and vice versa. An Up Var calculation on theprice (which uses Call options on said Future) is equivalent to the Down Var calculation on the yield.
This also affects the calculation of skew for yield volatilities. So, when skew is positive (or above one) for the
price volatility, the equivalent yield skew would be negative (or below one).

23© 2023 CME Group. All rights reserved.

8. Publication and Error Policy
Publication
The CVOL and related Derivative Indicators are generated from CME Group Final Pre-Clearing Prices for
options and futures. , CVOL is calculated and published each business day in accordance with the CME
Globex US Holiday Calendar. Please refer to Appendix III for a list of holidays.
Settlement prices will be available by 07:00pm ET; in the event that SOFR or DV01 input values areunavailable, the previous day values will be applied.
The CVOL and derivative indicators are calculated as soon as the input data are available and are subject torigorous reliability checks before publication.
Once the pre-publication reliability checks are fully satisfied, Indices are published by 09:00pm ET same day.
Indices are published to CME Group DataMine and CME Group QuikStrike, where historical values for thelast two years are available subject to a license agreement. Daily values are also published to the CME Groupwebsite.

Pre-publication reliability checks
Indices are validated for publication if the following conditions are met in full:•••

Each fixing value for each product or broad-based index (Index fixing, UpVar fixing, DownVar fixing,
Skew fixing) must be a non-zero value;
Each fixing value must be a double-precision floating point format value, i.e. not an integer;
For each of the following values, a tolerance check will be performed:o CVOL Index: the value must be within +/- 30% of the same day’s closing CM_30 2 Implied
Volatility level for that product as calculated by QuikStrike For the US Treasury Yield Volatility version, this same check will apply by using the
US Treasury Yield Volatility CM_30 value as calculated by QuikStrike For CVOL Indices classified into Tenor Selection 6 (60DTE), this same check will
apply by using the same day’s closing CM_60 Implied Volatility level as calculated by
QuikStrike.
 For CVOL Indices classified into Tenor Selection 7 (90 DTE), this same check will
apply by using the same day’s closing CM_90 Implied Volatility level as calculated by
QuikStrikeo UpVar – DownVar (i.e. Skew): (0.5)*(UpVar^2) + (0.5)*(DownVar^2) must be within +/- 30%
of CVOL Index^2

In the event that any of the above conditions are not met, the Calculation Agent will check the integrity of the
input data and re-run the calculation. If the error persists, the index value will be the previous day publishedvalue.

2 The QuikStrike CM_30 value is the result of the interpolation of ATM volatilities derived from widely adopted option pricing models.

24© 2023 CME Group. All rights reserved.

If the input data (settlement prices) for that day are unavailable, the previous day index value will be
published.
The published values include a timestamp; instances where the prior day’s calculation is re-published will be
indicated in an additional field.
If the previous day value is used for more than three consecutive business days, the Administrator must
promptly convene the Oversight Committee to assess available remedial actions.

Error policy
If a calculation error in an Index is identified post publication and prior to the publication of next day values,
the Administrator will investigate and re-run the calculation where necessary. Re-calculation, reliability checks
and re-publication, follow the same rules stated in Publication and Error Policy. Where the difference between
re-calculated index and the original calculation is greater than 5% the index will be re-published.
If an error is identified after next day Index value has been published, no re-publication will occur.

25© 2023 CME Group. All rights reserved.

9. Governance
The Administrator operates under a comprehensive Risk and Control Framework, providing clear policies on
Governance, Oversight, Benchmark Design and Calculation, Outsourcing, Operations, Reporting ofInfringements and Business Continuity.
CBA has in place a "Three Lines of Defence" model, enabling close cross-monitoring of the governanceprocess - this being business, compliance and audit who all have a key role in ensuring that CBA meets its
regulatory requirements.

Oversight Committee
An Oversight Committee is appointed by the Administrator to review the integrity of the benchmark, in
accordance with the CBA Terms of Reference for Oversight Committees.
The Oversight Committee will provide independent oversight of, and challenge to the Administrator on all
aspects of the Benchmark determination process. The Oversight Committee approves proposed changes to
the Calculation Methodology including, but not limited to, the structure of the Benchmark, input data used andall aspects of the Calculation Methodology. The minutes of the Oversight Committee are made available on
the Administrator's website.
The Oversight Committee will escalate to the CBA Board if required.

Review of the Methodology
The Administrator constantly monitors the Benchmark Methodology and its consistency with the statedobjectives. The Benchmark Methodology is reviewed annually by the Administrator and the OversightCommittee.
The Oversight Committee approves proposed changes to the Benchmark Methodology including, but notlimited to, the structure of the Benchmark, input data used and all aspects of the Calculation Methodology.
The Oversight Committee may direct the Administrator to consult on any changes to the methodology with
Stakeholders and the wider market.

Consultation Process
The Administrator will engage relevant stakeholders and end users on material changes to the Benchmark
Methodology, if required by regulation, or where the Oversight Committee requests such consultation.
Changes to the Methodology are deemed material on the basis of an assessment conducted by the
Administrator and submitted to the Oversight Committee for advice and feedback.
The Administrator will publish notice of the consultation on its website, inviting feedback from stakeholders
and the wider market. Notice of a consultation will be posted at least 1 (one) month prior to the deadline forresponses. The notice will include the details of the proposed material change, the timeline and the rationale
for the change.
Findings of the consultation process and proposed changes to the Benchmark Methodology, recommended
as a result of the consultation, will be presented by the Administrator to the Oversight Committee for its
consideration.

26© 2023 CME Group. All rights reserved.

Feedback to a consultation is considered confidential, however the Administrator will publish an anonymized
summary with its conclusions, as soon as is practical, but before implementation of any changes.

Cessation
The Administrator constantly monitors the representativeness of the Benchmark. If the Benchmark is deemed
to be unrepresentative of the underlying economic reality due to paucity of input data or systemic changes in
the related markets, the Administrator will engage the Oversight Committee at the earliest opportunity. Thesecessation arrangements are designed to mitigate cessation and transition risks.
The Oversight Committee may direct the Administrator to consult with Stakeholders as described in the
Review of the Methodology - Consultation Process section.
As a last resort, if no alternative arrangements are feasible, the Oversight Committee may instruct theAdministrator to discontinue the Benchmark, providing Stakeholders at least 6 (six) months’ notice andassistance to explore alternative reference instruments.
The Administrator will endeavour to identify alternative benchmarks; however, this might not always be
possible due to Regulations, market conditions or suitable alternatives.
Users of the benchmark are recommended to ensure that they have adequate fallback policies andprocedures in the event of the Benchmark becoming unrepresentative of its economic interest.

Records Retention
The Administrator has in place policies for the retention of any relevant evidence and documentation related
to the determination and dissemination of the Benchmark, either in paper or in electronic format, for at least
the mandatory term of 5 (five) years.

Auditing
An internal audit process is undertaken regularly, to ensure adherence to the stated Methodology, the IOSCO
principles and regulatory requirements.
External audits can be requested at any time by the Administrator’s board, the Oversight Committee or theinternal audit function.

Data Licensing and Distribution
The Benchmark is made available subject to execution of an Information License Agreement (ILA) together
with the appropriate Schedules. Market participants that intend to subscribe to the benchmark should contact
the Administrator at the following email address: datasales@cmegroup.com

27© 2023 CME Group. All rights reserved.

Complaints Procedures
The CME Group EMEA / APAC Complaints Procedures sets out details on the management of customer
complaints to ensure that they are handed fairly and effectively, in a prompt and transparent manner and inaccordance with applicable regulatory requirements.
Complaints will be dealt with by a senior member of staff not directly involved with the benchmark calculationand dissemination.
Information related to complaints will be stored in a restricted access area and kept for a period of at least 5(five) years following the date when the complaint was first lodged. Complaints can be submitted atinternationalcompliance@cmegroup.com

28© 2023 CME Group. All rights reserved.

10. Appendix I – Key Terms & Definitions
TERM

DESCRIPTION

Administrator

CME Group Benchmark Administration LimitedATM

At-the-Money

ATM VolAt-the-Money Volatility

BMR

UK Benchmark Regulation (Regulation (EU) 2016/2011, as retained in UK
law under the European Union (Withdrawal) Act 2018, as amended fromtime to time)BP

Basis Point (0.01%)

CBA

CME Group Benchmark Administration Limited

CDT

Cheapest to deliver

Convexity

The degree of curvature of the volatility curve

CVOLtm

CME Group Volatility Index

DCM

Designated Contract Market

Down Var

Implied volatility of put options

DTE

Days to Expiry

DV01

Dollar Value of a Basis Point

EOD

End of Day

EOM

End of MonthFCA UK

Financial Conduct Authority (UK)IOSCO

International Organization of Securities Commissions

Skew

Difference of Up Var and Down Var

SOFR

Secured Overnight Financing Rate

Up Var

Implied volatility of call options

29© 2023 CME Group. All rights reserved.

11. Appendix II – ESG Disclosures
Explanation of how ESG Factors are Reflected in the Key Elements of the Benchmark Methodology
Item 1Name of the benchmark administrator.

CME Group Benchmark Administration
LimitedItem 2Type of benchmark or family of benchmarks.

Other

Item 3Name of the benchmark or family of benchmarks.

CME Group Volatility Index

Item 4

Does the benchmark methodology for thebenchmark or family of benchmarks take into
account ESG factors?

No30© 2023 CME Group. All rights reserved.

12. Appendix III – US Holidays
U.S. Holidays
Dr. Martin Luther King, Jr.Day
President's Day
Good Friday
Memorial Day
Juneteenth
US Independence Day
Labor Day
Thanksgiving
Christmas Day
New Year’s Day

31© 2023 CME Group. All rights reserved.