Live Streaming CVOL
Calculation Guide
CME Group Benchmark Administration Limited
Version 1.2.2

Publication Date: September 9th, 2024

Contents
1.

Live Streaming CVOL Overview

3

2.

Product Calculation Windows

73.

Input Data

8

4.

Determining the Discount Rate

95.

Calculation Process

9

5.1.

Determining the futures contract price

9

5.2.

Determining the set of strikes to be included in the calculation

10

5.3.

ATM Volatility Calculation

10

5.4.

ATM Variance Adjustment

11

5.5.

Determining Time

12

5.6.

Derivative Indicators

12

6.

Live Reprint Logic

13

7.

Market Opening Sequence

14

8.

Tenor Selection Process

14

9.

Short Term Interest Rate (STIR) Methodology

16

10.

Yield-Volatility Methodology

17

11.

Broad Based Indices

18

12.

Publication

19

Version
1.0
1.1
1.1.1
1.2
1.2.1
1.2.2

2

Publication Date
August 8th 2022
October 24th 2022
February 13th 2023
October 23rd 2023
December 14th 2023
September 9th 2024

© 2024 CME Group. All rights reserved.

1.

Live Streaming CVOL Overview

The Live Streaming CVOLs provide an intra-day view of implied volatility across five different asset classes,
derived from the world’s most actively traded options on futures. Live Streaming CVOLs provide a measure of
the market’s expectation of forward risk, calculated every 15 seconds throughout the day, along withassociated derivative indicators.
Single Product Live Streaming CVOL IndicesForeign Exchange – Single Product
UpVar
DownVar
Skew
SymbolSymbolSymbolATM VolSymbolConvexity
Symbol

CVOL:EUVLUPVAR:EUVLDNVAR:EUVL

SKEW:EUVL

ATMVOL:EUVLCONVEX:EUVL

CVOL:GBVLUPVAR:GBVL

DNVAR:GBVL

SKEW:GBVL

ATMVOL:GBVLCONVEX:GBVL

CVOL:JPVLUPVAR:JPVLDNVAR:JPVL

SKEW:JPVLATMVOL:JPVLCONVEX:JPVL

CVOL:ADVLUPVAR:ADVL

DNVAR:ADVL

SKEW:ADVLATMVOL:ADVLCONVEX:ADVL

CVOL:CAVLUPVAR:CAVLDNVAR:CAVL

SKEW:CAVLATMVOL:CAVLCONVEX:CAVL

CVOL
SymbolMetals – Single Product
UpVar
DownVar
Skew
SymbolSymbolSymbolATM VolSymbolConvexity
Symbol

CVOL:SIVLUPVAR:SIVL

DNVAR:SIVL

SKEW: SIVL

ATMVOL:SIVL

CONVEX:SIVL

CVOL:GCVLUPVAR:GCVL

DNVAR:GCVL

SKEW:GCVL

ATMVOL:GCVL

CONVEX:GCVL

CVOL:HGVLUPVAR:HGVL

DNVAR:HGVL

SKEW:HGVLATMVOL:HGVLCONVEX:HGVL

CVOL:POVLUPVAR:POUP

DNVAR:PODN

SKEW:POSKATMVOL:POAM

CONVEX:POCV

CVOL:ALVLUPVAR:ALUP

DNVAR:ALDN

SKEW:ALSKATMVOL:ALAM

CONVEX:ALCV

CVOL
Group

CVOL
SymbolEnergy – Single Product
UpVar
DownVar
Skew
SymbolSymbolSymbolATM VolSymbolConvexity
SymbolTenor
Selection 2

CVOL:CLVLUPVAR:CLVL

DNVAR:CLVL

SKEW:CLVL

ATMVOL:CLVL

CONVEX:CLVL

Tenor
Selection 2

CVOL:NGVLUPVAR:NGVL

DNVAR:NGVL

SKEW:NGVLATMVOL:NGVLCONVEX:NGVL

Tenor
Selection 2

CVOL:HOVLUPVAR:HOVL

DNVAR:HOVL

SKEW:HOVL

ATMVOL:HOVL

CONVEX:HOVL

Contract
EUR/USD(EUU)
GBP/USD(GBU)
JPY/USD(JPU)
AUD/USD(AUU)
CAD/USD
(CAU)

Tenor
Selection 4
Tenor
Selection 4
Tenor
Selection 4
Tenor
Selection 4
Tenor
Selection 4

Contract

CVOL
Group

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

Contract
WTI Crude
Oil (LO)
Henry HubNaturalGas (LN)
NY Harbor
ULSD(OH)

3

CVOL
Symbol

CVOL
Group

Tenor
Selection 4
Tenor
Selection 4
Tenor
Selection 2
Tenor
Selection 2
Tenor
Selection 2© 2024 CME Group. All rights reserved.

Contract
SOFR-SR390-daySR3 1-year
Midcurve90-daySR3 2-year
Midcurve90-dayUS 2-year
T-Note(OZT) Price
US 2-year
T-Note(OZT) Yield
US 5-year
T-Note(OZF) Price
US 5-year
T-Note(OZF) Yield
US 10-year
T-Note(OZN) Price
US 10-year
T-Note(OZN) Yield
US 30-year
T-Bond(OZB) Price
US 30-year
T-Bond(OZB) Yield

4

CVOL
SymbolInterest Rate – Single Product
UpVar
DownVar
Skew
SymbolSymbolSymbolATM VolSymbolConvexity
Symbol

CVOL:SRVLUPVAR:SRVL

DNVAR:SRVL

SKEW:SRVL

ATMVOL:SRVL

CONVEX:SRVL

CVOL:S1VLUPVAR:S1VLDNVAR:S1VL

SKEW:S1VLATMVOL:S1VL

CONVEX:S1VL

CVOL:S2VLUPVAR:S2VL

DNVAR:S2VL

SKEW:S2VLATMVOL:S2VL

CONVEX:S2VL

Tenor
Selection
2

CVOL:TUVLUPVAR:TUVL

DNVAR:TUVLSKEW:TUVLATMVOL:TUVLCONVEX:TUVL

Tenor
Selection
2

CVOL:TUVYUPVAR:TUVY

DNVAR:TUVY

SKEW:TUVYATMVOL:TUVY

CONVEX:TUVY

Tenor
Selection
4

CVOL:FVVLUPVAR:FVVL

DNVAR:FVVL

SKEW:FVVLATMVOL:FVVLCONVEX:FVVL

Tenor
Selection
4

CVOL:FVVYUPVAR:FVVY

DNVAR:FVVY

SKEW:FVVYATMVOL:FVVY

CONVEX:FVVY

Tenor
Selection
4

CVOL:TYVLUPVAR:TYVL

DNVAR:TYVL

SKEW:TYVL

ATMVOL:TYVLCONVEX:TYVL

Tenor
Selection
4

CVOL:TYVYUPVAR:TYVY

DNVAR:TYVY

SKEW:TYVY

ATMVOL:TYVY

CONVEX:TYVY

Tenor
Selection
4

CVOL:USVLUPVAR:USVLDNVAR:USVL

SKEW:USVLATMVOL:USVLCONVEX:USVL

Tenor
Selection
4

CVOL:USVYUPVAR:USVY

DNVAR:USVY

SKEW:USVYATMVOL:USVY

CONVEX:USVY

CVOL
Group
Tenor
Selection
7 (90
DTE)
Tenor
Selection
7 (90
DTE)
Tenor
Selection
7 (90
DTE)

© 2024 CME Group. All rights reserved.

Contract
Wheat
(OZW)
Corn
(OZC)
Soybean(OZS)
SoybeanOil (OZL)
Soybean
Meal
(OZM)
Lean
Hogs (HE)Live Cattle(LE)
Class III
Milk (DC)
FeederCattle
(GF)

CVOL
Group
Tenor
Selection 2
Tenor
Selection 2
Tenor
Selection 2
Tenor
Selection 2
Tenor
Selection 2
Tenor
Selection 6(60DTE)
Tenor
Selection
6(60DTE)
Tenor
Selection
6(60DTE)
Tenor
Selection
6(60DTE)

CVOL
SymbolAgriculture – Single Product
UpVar
DownVar
Skew
SymbolSymbolSymbolATM VolSymbolConvexity
Symbol

CVOL:WVLUPVAR:WVL

DNVAR:WVL

SKEW:WVL

ATMVOL:WVL

CONVEX:WVL

CVOL:CVLUPVAR:CVL

DNVAR:CVL

SKEW:CVL

ATMVOL:CVL

CONVEX:CVL

CVOL:SVLUPVAR:SVL

DNVAR:SVL

SKEW:SVL

ATMVOL:SVL

CONVEX:SVL

CVOL:SOVLUPVAR:SOVL

DNVAR:SOVL

SKEW:SOVL

ATMVOL:SOVL

CONVEX:SOVL

CVOL:SMVLUPVAR:SMVL

DNVAR:SMVL

SKEW:SMVL

ATMVOL:SMVLCONVEX:SMVL

CVOL:HEVLUPVAR:HEVL

DNVAR:HEVL

SKEW:HEVL

ATMVOL:HEVL

CONVEX:HEVL

CVOL:LEVLUPVAR:LEVL

DNVAR:LEVL

SKEW:LEVL

ATMVOL:LEVL

CONVEX:LEVL

CVOL:DCVLUPVAR:DCVL

DNVAR:DCVL

SKEW:DCVL

ATMVOL:DCVL

CONVEX:DCVL

CVOL:GFVLUPVAR:GFVL

DNVAR:GFVL

SKEW:GFVLATMVOL:GFVLCONVEX:GFVL

Broad Based Live Streaming CVOL Indices

Name

CVOL
SymbolForeign Exchange – Broad Based
UpVar
DownVar
Skew
SymbolSymbolSymbolATM VolSymbolConvexity
SymbolFX G5 Volatility Index(EUVL, GBVL, JPVL,
ADVL, CAVL)

CVOL:FXVLUPVAR:FXVL

ATMVOL:FXVLCONVEX:FXVL

CVOL
SymbolInterest Rate – Broad Based
UpVar
DownVar
Skew
SymbolSymbolSymbolATM VolSymbolConvexity
Symbol

CVOL:TPVLUPVAR:TPVLDNVAR:TPVL

SKEW:TPVLATMVOL:TPVLCONVEX:TPVL

CVOL:TVLUPVAR:TVLDNVAR:TVL

SKEW:TVL

ATMVOL:TVL

CONVEX:TVL

Name

CVOL
SymbolMetals – Broad Based
UpVar
DownVar
Skew
SymbolSymbolSymbolATM VolSymbolConvexity
SymbolMetals Volatility Index(SIVL, GCVL, HGVL,
POVL, AXVL)

CVOL:MVLUPVAR:MVL

ATMVOL:MVL

CONVEX:MVL

NameTreasury Curve Volatility
Index - Price(TUVL, FVVL, TYVL,
USVL)Treasury Curve Volatility
Index - Yield(TUVY, FVVY, TYVY,
USVY)

5

DNVAR:FXVL

DNVAR:MVL

SKEW:FXVLSKEW:MVL© 2024 CME Group. All rights reserved.

6

Name

CVOL
SymbolEnergy – Broad Based
UpVar
DownVar
Skew
SymbolSymbolSymbolATM VolSymbolConvexity
SymbolEnergy Volatility Index(CLVL, NGVL, HOVL)

CVOL:EVLUPVAR:EVL

ATMVOL:EVLCONVEX:EVL

Name

CVOL
SymbolAgriculture – Broad Based
UpVar
DownVar
Skew
SymbolSymbolSymbolATM VolSymbolConvexity
SymbolAgriculture Volatility
Index(WVL, CVL, SVL, SOVL,
SMVL, HEVL, LEVL,
DCVL, GFVL)

CVOL:AVLUPVAR:AVL

ATMVOL:AVL

CONVEX:AVL

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)

CVOL:CMVLUPVAR:CMVL

ATMVOL:CMVL

CONVEX:CMVL

DNVAR:EVLDNVAR:AVL

DNVAR:CMVL

SKEW:EVL

SKEW:AVLSKEW:CMVL© 2024 CME Group. All rights reserved.

2.

Product Calculation Windows

The following table outlines the periods of time (shown below in Eastern Standard Time) for whichcalculations will be performed for each Live Streaming CVOL index. Note that when a time is indicated as t-1,
it begins the evening of the prior day, with that overnight session combined with the day session as a single
calculation period.
Single Product Live Streaming CVOL Indices7

Product

CVOL

Group

Start

End

Preliminary Settlement Time

DC

DCVL

Ags

10:00 AM ET

2:00 PM ET

2:00 PM ET

OZW

WVL

Ags

2:00 AM ET

2:15 PM ET

2:15 PM ET

OZS

SVL

Ags

2:00 AM ET

2:15 PM ET

2:15 PM ET

LE

LEVL

Ags

9:30 AM ET

2:00 PM ET

2:00 PM ET

OZM

SMVL

Ags

2:00 AM ET

2:15 PM ET

2:15 PM ET

OZL

SOVL

Ags

2:00 AM ET

2:15 PM ET

2:15 PM ET

OZC

CVL

Ags

2:00 AM ET

2:15 PM ET

2:15 PM ET

HE

HEVL

Ags

9:30 AM ET

2:00 PM ET

2:00 PM ET

GF

GFVL

Ags

10:00 AM ET

2:00 PM ET

2:00 PM ET

TU

TUVL/TUVYInterest Rate

8:00 AM ET

4:45 PM ET

3:00 PM ET

FVFVVL/FVVY

Interest Rate

8:00 AM ET

4:45 PM ET

3:00 PM ET

TY

TYVL/TYVYInterest Rate

10:30 PM ET (t-1)

4:45 PM ET

3:00 PM ETUSUSVL/USVYInterest Rate

8:00 AM ET

4:45 PM ET

3:00 PM ET

SR3

SRVL

Interest Rate

2:00 AM ET

4:45 PM ET

3:00 PM ET

S0

S1VL

Interest Rate

2:00 AM ET

4:45 PM ET

3:00 PM ET

S2

S2VL

Interest Rate

2:00 AM ET

4:45 PM ET

3:00 PM ET

ADU

ADVL

FX

1:30 AM ET

4:00 PM ET

3:00 PM ET

CAU

CAVL

FX

1:30 AM ET

4:00 PM ET

3:00 PM ET

EUU

EUVL

FX

1:30 AM ET

4:00 PM ET

3:00 PM ET

GBU

GBVL

FX

1:30 AM ET

4:00 PM ET

3:00 PM ET

JPU

JPVL

FX

1:30 AM ET

4:00 PM ET

3:00 PM ET

OG

GCVL

Metals

10:30 PM ET (t-1)

4:45 PM ET

1:30 PM ET

SO

SIVL

Metals

10:30 PM ET (t-1)

4:45 PM ET

1:25 PM ET

HXE

HGVL

Metals

10:30 PM ET (t-1)

4:45 PM ET

1:00 PM ET

PO

POVL

Metals

4:00 AM ET

4:45 PM ET

2:15 PM ET

AL

ALVL

Metals

4:00 AM ET

4:45 PM ET

2:15 PM ET

LO

CLVL

Energy10:30 PM ET (t-1)

4:45 PM ET

2:30 PM ET

LN

NGVL

Energy10:30 PM ET (t-1)

4:45 PM ET

2:30 PM ET

OH

HOVL

Energy10:00 AM ET

4:45 PM ET

2:30 PM ET© 2024 CME Group. All rights reserved.

Broad Based Live Streaming CVOL Indices
Product

CVOL

Group

AGVL

AGVL

Ags

10:00 AM ET

2:00 PM ET

2:00 PM ET

TVL

TVL

Interest Rate

8:00 AM ET

4:45 PM ET

3:00 PM ET

TPVL

TPVL

Interest Rate

8:00 AM ET

4:45 PM ET

3:00 PM ET

FXVL

FXVL

FX (G5)

1:30 AM ET

4:00 PM ET

3:00 PM ET

MVL

MVL

Metals

4:00 AM ET

4:45 PM ET

1:30 PM ET

EVL

EVL

Energy10:00 AM ET

4:45 PM ET

2:30 PM ET

CMVL

CMVL

Commodity

10:00 AM ET

4:45 PM ET

2:00 PM ET

3.

Start

End

Preliminary Settlement Time

Input Data

The calculation of the Live Streaming CVOL single product indices uses the following data:
•
•
•
•
•
•
•

•
•

•

•

8

The current UTC wall clock time 𝑡
Time (in milliseconds) to Expiration for selected Tenor(s) 𝑇1 , 𝑇2 … 𝑇𝑁
The target time horizon of the volatility index: 𝑇𝐻
The Future bid and ask for each tenor 𝑁 (used to calculate the Future mid, 𝐹𝑁 )The minimum price increment of the product 𝑧
For Selected Option Expiration, 𝑇𝑁 , the vector of all listed strikes, 𝐾𝑖
For each strike, 𝐾𝑖 , live Bid and Ask data for both Calls and Puts:
o Call Asks and Bids: 𝐶𝐴𝑖 , 𝐶𝐵𝑖o Put Asks and Bids: 𝑃𝐴𝑖 , 𝑃𝐵𝑖
Discounting SOFR interest rate curve with continuous integer offsets as made available on theprevious business day relative to the current calculation day
Metrics from the previous calculation at 𝑡 − 1:o The ATM vol of the previous calculation: 𝐴𝑇𝑀𝑡−1
o The CVOL calculation of the previous calculation: 𝐶𝑉𝑜𝑙𝑡−1
o The Skew of the previous calculation: 𝑆𝑘𝑒𝑤𝑡−1
o The total number of strikes by tenor used in the calculation after all filtering processes arecompleted: #𝐾𝑡−1N
o The strike that represents the first Out-of-the-Money (OTM) Put in the prior period for tenor 𝑁:
𝐾𝑆𝑒𝑒𝑑𝑁For Broad Based Indices (i.e. CVOL indices with more than one product making its composition), thefollowing additional data is required:o The vega calculated for each strike of all outstanding options for a given producto The open interest for each strike of all outstanding options for a given producto The Contract Money Multiplier for a given product
For CVOL indices calculated in yield space, the additional data is required:o The DV01 for a given tenor: 𝐷𝑉01𝑁© 2024 CME Group. All rights reserved.

4.

Determining the Discount Rate

The Discount Rate is arrived at through a two-step process: (1) selection of the SOFR rate from the curvefrom the previous day’s End-of-Day fully interpolated curve and (2) calculation of the instantaneous rate toaccount for time passed during the calculation session.
1. The SOFR rate applied to a given contract is determined prior to the start of the calculation session.
𝑅𝑁𝐸𝑂𝐷 is determined by taking the previous End-of-Day SOFR Discount Curve and designating the
integer value for the selected tenors which is closest to but greater than the days to maturity.
2. To arrive at the instantaneous rate, the following formula is used:

𝐺𝑁 = exp (𝑙𝑛(𝑅𝑁𝐸𝑂𝐷 )
)
𝑇𝑁𝐸𝑂𝐷
𝑇𝑁

Where:•

𝑅𝑁𝐸𝑂𝐷 is the EOD SOFR rate queried that corresponds to the given tenor 𝑁 for the given calculation••

session
𝑇𝑁 is the Days To Expiry (DTE) of tenor 𝑇𝑁 as expressed in milliseconds
𝑇𝑁𝐸𝑂𝐷 is the DTE of the EOD SOFR rate 𝑅𝑁𝐸𝑂𝐷

5.

Calculation Process

The following outlines the process to perform a Live Streaming CVOL calculation, including when reprint logic
is invoked.

5.1.

Determining the futures contract price

The synthetic futures contract price for the Live Streaming CVOL calculation is determined as follows:••

The strike 𝐾 is determined as the strike for 𝑀𝑖𝑛 (|𝐾 − 𝐾𝑠𝑒𝑒𝑑𝑁 |) where:o

𝐶𝐴𝐾 ≠ 0o

𝐶𝐵𝐾 ≠ 0o

𝑃𝐴𝐾 ≠ 0o 𝑃𝐵𝐾 ≠ 0
Strike 𝐾 is used to determine the synthetic future:
𝐹𝑠𝑦𝑛𝑡ℎ = 𝐾 + 0.5 ∗ (𝐶𝐴𝐾 + 𝐶𝐵𝐾 ) − 0.5 ∗ (𝑃𝐴𝐾 + 𝑃𝐵𝐾 )This value is compared against the value of the mid of the underlying Future (𝐹𝑢𝑛𝑑𝑒𝑟𝑙𝑦𝑖𝑛𝑔 ) bid and ask. The
value of the future 𝐹𝑁 is determined as:•

If either the bid or ask of the underlying Future is not available but 𝐹𝑠𝑦𝑛𝑡ℎ can be calculated, 𝐹𝑠𝑦𝑛𝑡ℎ =𝐹𝑁

9© 2024 CME Group. All rights reserved.

•

If 𝐹𝑠𝑦𝑛𝑡ℎ is not calculable and 𝐹𝑢𝑛𝑑𝑒𝑟𝑙𝑦𝑖𝑛𝑔 can be calculated, 𝐹𝑢𝑛𝑑𝑒𝑟𝑙𝑦𝑖𝑛𝑔 = 𝐹𝑁•

If |𝐹𝑠𝑦𝑛𝑡ℎ − 𝐹𝑢𝑛𝑑𝑒𝑟𝑙𝑦𝑖𝑛𝑔 | > 4𝑧, where 𝑧 is the minimum option price tick, then 𝐹𝑠𝑦𝑛𝑡ℎ = 𝐹𝑁

5.2.

Determining the set of strikes to be included in the calculation

Once 𝐹𝑁 is determined, the following filtering is applied to all Out-of-the-Money (OTM) options:•

All strikes whose Ask value is zero (𝐶𝐴𝐾 , 𝑃𝐴𝐾 = 0) are removed•

If the sum of three consecutive Call bids is zero (i.e. 𝐶𝐵𝐾𝑖 + 𝐶𝐵𝐾𝑖+1 + 𝐶𝐵𝐾𝑖+2 = 0, where 𝐾𝑖 is theclosest strike of the three to 𝐹𝑁 ), then ignore 𝐾𝑖 and all records above 𝐾𝑖•

If the sum of three consecutive Put bids is zero (i.e. 𝑃𝐵𝐾𝑖 + 𝑃𝐵𝐾𝑖−1 + 𝑃𝐵𝐾𝑖−2 = 0 where 𝐾𝑖 is theclosest strike of the three to 𝐹𝑁 ), then ignore 𝐾𝑖 and all records below 𝐾𝑖

•

5.3.

Of the remaining strikes, all strikes whose Bid value is zero (𝐶𝐵𝐾 , 𝑃𝐴𝐾 = 0) are removed.

ATM Volatility Calculation

Perform the ATM calculation for each tenor 𝑁 and for the timeweighted ATM value by following the steps andformulae below:•

Determine the ATM option premium where 𝐹𝑁 is not an existing strike:𝑂0𝑁 =0.5 ∗ (𝐹 − 𝐾−1 ) ∗ (𝐶𝐾+1 + 𝑃𝐾+1 ) + 0.5 ∗ (𝐾+1 − 𝐹) ∗ (𝑃𝐾−1 + 𝐶𝐾−1 )𝐾+1 − 𝐾−1

Where:
𝑂0 𝑁 = the ATM option premium calculation for tenor 𝑁
𝐾+1 = the strike above 𝐹 as defined in ‘Determining the Strike Closest to the Money’ section
𝐶𝐾+1 = the call premium of strike 𝐾+1 , with the premium being the mid of the bid and offer
𝐶𝐾−1 = the call premium of strike 𝐾−1 , with the premium being the mid of the bid and offer
𝑃𝐾+1 = the call premium of strike 𝐾+1 , with the premium being the mid of the bid and offer
𝑃𝐾−1 = the call premium of strike 𝐾−1 , with the premium being the mid of the bid and offer•

Determine the ATM option premium where 𝐹𝑁 is an existing:
𝑂0 𝑁 = 0.5 ∗ (𝐶𝐾0 + 𝑃𝐾0 )Where:
𝑂0 𝑁 = the ATM option premium calculation for tenor 𝑁
𝐾0 = the strike equal to 𝐹
𝐶𝐾0 = the call premium of strike 𝐾0 , with the premium being the mid of the bid and offer

10© 2024 CME Group. All rights reserved.

𝑃𝐾0 = the call premium of strike 𝐾0 , with the premium being the mid of the bid and offer•

Determine the ATM volatility of tenor 𝑁:
𝐴𝑇𝑀𝑁 = 100√5.4.

2𝜋 𝑂0 𝑁∗𝑇𝑁 𝐹𝑁ATM Variance Adjustment

Calculate Delta K: The value of Delta K (Δ𝐾) for each strike is determined by the following rules:
•
•
•
•
•

If the option is the highest struck Call: Δ𝐾 = 𝐾𝑖 − 𝐾𝑖−1
If the option is the lowest struck Put: Δ𝐾 = 𝐾𝑖+1 − 𝐾𝑖
If the option is a Call at the strike where 𝐾𝑖 = 𝐹𝑁 : 𝛥𝐾 = (𝐾1 − 𝐹)/2
If the option is a Put at the strike where 𝐾𝑖 = 𝐹𝑁 : Δ𝐾 = (𝐹 − 𝐾−1 )/2
Otherwise: Δ𝐾 = (𝐾𝑖+1 − 𝐾𝑖−1 )/2

ATM Adjustment: 𝑉𝐴0 is defined as the variance area as below:
𝑉𝐴0 = Δ𝐾0 ∗ 𝑂0
Where:•

If the closest strike to ATM is below 𝐹, Δ𝐾0 =𝐾−1 +𝐾+1
2−𝐹

𝐾−1 +𝐾+1•

If the closest strike to ATM is above 𝐹, Δ𝐾0 = 𝐹 −

•
•
•
•

If there is a strike that is exactly ATM, Δ𝐾 is already determined
If 𝐹 is a mid-point between 𝐾−1 and 𝐾+1 , no adjustment is needed as Δ𝐾 = 0
𝐾−1 is the closest to the money Put strike
𝐾+1 is the closest to the money Call strike2

With 𝑉𝐴0 calculated, the Variance Area adjustments for the Put (𝑎𝑑𝑗𝑉𝐴−1 ) and Call (𝑎𝑑𝑗𝑉𝐴+1 ) wings areformulated below for the following scenarios:•

In the instance where the closest strike to ATM is below 𝐹, the calculated 𝑉𝐴0 is:
𝑎𝑑𝑗𝑉𝐴−1 = 𝑉𝐴−1 − 𝑉𝐴0
𝑎𝑑𝑗𝑉𝐴+1 = 𝑉𝐴−1 + 𝑉𝐴0•

In the instance where the closest strike to ATM is above 𝐹, the calculated 𝑉𝐴0 is:
𝑎𝑑𝑗𝑉𝐴−1 = 𝑉𝐴−1 + 𝑉𝐴0
𝑎𝑑𝑗𝑉𝐴+1 = 𝑉𝐴−1 − 𝑉𝐴0•

In the instance where there is a strike exactly equal to 𝐹 or 𝐹 is a midpoint between 𝐾−1 , 𝐾+1 , then𝑎𝑑𝑗𝑉𝐴+1 , 𝑎𝑑𝑗𝑉𝐴−1 = 0

The calculated inputs above are entered into the Live CVOL calculation below:
−1

𝑛

2
∆𝐾𝑖
1
∆𝐾𝑖
𝜎𝑁 = 100(∑ 2 𝐺𝑁 𝑄(𝑃𝐾𝑖 )) + 2 𝐺𝑁 ∗ ((𝑎𝑑𝑗𝑉𝐴+1 )𝑁 + (𝑎𝑑𝑗𝑉𝐴−1 )𝑁 ) + (∑ 2 𝐺𝑁 𝑄(𝐶𝐾𝑖 ))
𝑇𝑁
𝐹𝑁
𝐹𝑁
𝐹𝑁
√

11

(

𝑖=−𝑚

𝑖=1

)

© 2024 CME Group. All rights reserved.

This can be simplified to:𝑛2∆𝐾𝑖
𝜎𝑁 = 100 ∗ √ ∑ 2 𝐺𝑁 𝑄(𝑂𝐾 )
𝑇𝑁
𝐹𝑁
𝑖=−𝑚

Where:•••

5.5.

𝑚 is the index of the lowest struck Put
𝑛 is the index of the highest struck Call
𝑄(𝑃𝐾𝑖 ), 𝑄(𝐶𝐾𝑖 ) are the option mid-price for the Puts and Calls respectively

Determining TimeThe time 𝑇 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.
𝑇1 = 𝑒𝑥𝑝𝑖𝑟𝑦1 − 𝑡When determining a constant forward-looking implied volatility measure using more than one tenor of options
strips, then 𝑇 will be designated with subscripting such as 𝑇1 and 𝑇2 .
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 𝑇𝐻 , where 𝐻 = 30 𝐷𝑇𝐸). The time weighting applied is defined
as follows:

𝜎𝐻 = √(𝑇2 − 𝑇𝐻 )(𝜎12 ) + (𝑇𝐻 − 𝑇1 )(𝜎22 )𝑇2 − 𝑇1

Where:
•
•
•
•
•
•

5.6.

𝑇1 is the time to expiry of the front tenor, as expressed in milliseconds
𝑇2 is the time to expiry of the back tenor, as expressed in milliseconds
𝑇𝐻 is the time horizon of the CVOL
𝜎1 is the variance of the front tenor
𝜎2 is the variance of the back tenor
𝜎𝐻 is the time-weighted CVOL level.

Derivative Indicators

Below are the formulae for the CVOL metrics:

12•

𝐷𝑜𝑤𝑛𝑉𝑎𝑟𝑁 = 100√•

𝑈𝑝𝑉𝑎𝑟𝑁 = 100√

2
𝑇𝑁

2
𝑇𝑁

−1

((∑

1

∆𝐾𝑖
2

𝑖=−𝑚 𝐹𝑁

1

𝐺𝑁 𝑄(𝑃𝐾𝑖 )) + 2 𝐺𝑁 ∗ (𝑎𝑑𝑗𝑉𝐴−1 )𝑁 )𝐹𝑁𝑛

( 2 𝐺𝑁 ∗ (𝑎𝑑𝑗𝑉𝐴+1 )𝑁 + (∑
𝐹𝑁

∆𝐾𝑖
2

𝑖=1 𝐹𝑁𝐺𝑁 𝑄(𝐶𝐾𝑖 )))© 2024 CME Group. All rights reserved.

𝑈𝑝𝑉𝑎𝑟𝑁•

𝑆𝑘𝑒𝑤 𝑅𝑎𝑡𝑖𝑜𝑁 =•𝑆𝑘𝑒𝑤 𝐷𝑖𝑓𝑓𝑒𝑟𝑒𝑛𝑐𝑒𝑁 = 𝑈𝑝𝑉𝑎𝑟𝑁 − 𝐷𝑜𝑤𝑛𝑉𝑎𝑟𝑁•

𝐶𝑜𝑛𝑣𝑒𝑥𝑖𝑡𝑦𝑁 =•𝐴𝑇𝑀𝐻 = √ 2

𝐷𝑜𝑤𝑛𝑉𝑎𝑟𝑁

𝐶𝑉𝑂𝐿𝑁
𝐴𝑇𝑀𝑁

(𝑇 – 𝑇𝐻 )∗(𝐴𝑇𝑀12 )+(𝑇𝐻 – 𝑇1 )∗(𝐴𝑇𝑀22 )(𝑇2 – 𝑇1)

Where:
•
•
•
•
•
•

6.

𝑇1 = the time to the shorter dated tenor
𝑇2 = the time to the longer dated tenor
𝑇𝐻 = the time to the target time-horizon
𝐴𝑇𝑀1 = the ATM value for tenor pertaining to tenor 𝑇1
𝐴𝑇𝑀2 = the ATM value for tenor pertaining to tenor 𝑇2
𝐴𝑇𝑀𝐻 = the ATM value for time horizon 𝑇𝐻

Live Reprint Logic

The following section describes the metrics and thresholds used that can trigger a reprint of a given
calculation.
••

Data Checks:oFuture Value Test: If a value for the Future (𝐹𝑁 ) cannot be calculated (i.e. a synthetic Future
value and the mid of the Future both cannot be calculated), the calculation fails and a reprint
is issued.

oMinimum Data Viability Test: If, after data filtering, there is not at least one strike in each
option wing of each tenor, the calculation fails and a reprint is issued.

Value Checks: The values of the current calculation (𝑡) are compared against the last printed value(𝑡 − 1), which represents the values of the last valid calculation for each of the following metrics:o

ATM: If |𝐴𝑇𝑀𝑡 − 𝐴𝑇𝑀𝑡−1 | > 0.02 ∗ 𝐴𝑇𝑀𝑡−1 , the test is failed and the values of 𝑡 − 1 are
reprinted.

oCVOL: |𝐶𝑉𝑂𝐿𝑡 − 𝐶𝑉𝑂𝐿𝑡−1 | > 0.05 ∗ 𝐶𝑉𝑂𝐿𝑡−1 , the test is failed and the values of 𝑡 − 1 are
reprinted.

oStrike Count (𝐾 𝐶𝑜𝑢𝑛𝑡): If 𝐾 𝐶𝑜𝑢𝑛𝑡𝑡 < 0.95 𝐾 𝐶𝑜𝑢𝑛𝑡𝑡−1 , the test is failed and the values of 𝑡 −1 are reprinted.

oSkew: If |𝑆𝑘𝑒𝑤𝑡 − 𝑆𝑘𝑒𝑤𝑡−1 | > 0.1 ∗ 𝑆𝑘𝑒𝑤𝑡−1 , the test is failed and the values of 𝑡 − 1 are
reprinted.

If the Live Streaming CVOL calculation has been reprinted for a period of 2 minutes or less, the checks
described above are used to compare 𝑡 against the last calculation that was not a reprinted value.

13© 2024 CME Group. All rights reserved.

Establishment of new CVOL Level
If the Live Streaming CVOL calculation at time 𝑡 is proceeded by a reprinted calculation at 𝑡 − 1 and theperiod of time for which the reprinted value has been printing exceeds 2 minutes, the process below isfollowed:•

Calculate CVOL and ATM for three consecutive observations (referred to as 𝑆𝑡 , 𝑆𝑡−1 , 𝑆𝑡−2 ).

•Using 𝑆𝑡 , 𝑆𝑡−1 , 𝑆𝑡−2 , calculate a moving average of CVOL and ATM (referred to as 𝐶𝑉𝑂𝐿𝑀𝐴 , 𝐴𝑇𝑀𝑀𝐴 ).

•If all the following tests pass, reprinting is ended and the metrics pertaining to 𝑆𝑡 are printed:

•

7.

o

ATM: If |𝐴𝑇𝑀𝑆𝑡 − 𝐴𝑇𝑀𝑀𝐴 | > 0.02 ∗ 𝐴𝑇𝑀𝑀𝐴 , the test is failed and the values of 𝑡 − 1 areprinted.

o

CVOL: |𝐶𝑉𝑂𝐿𝑆𝑡 − 𝐶𝑉𝑂𝐿𝑀𝐴 | > 0.05 ∗ 𝐶𝑉𝑂𝐿𝑀𝐴 , the test is failed and the values of 𝑡 − 1 areprinted.

oStrike Count (𝐾 𝐶𝑜𝑢𝑛𝑡): If 𝐾 𝐶𝑜𝑢𝑛𝑡𝑆𝑡 < 0.8 𝐾 𝐶𝑜𝑢𝑛𝑡𝑡−1 , the test is failed and the values of 𝑡 − 1
are printed.

If any of the above tests fail, the process is repeated at the next calculation snapshot.

Market Opening Sequence

The Market Opening Sequence represents the first 5 minutes of the product calculation window. During thisperiod the Live Streaming CVOL calculation is performed but not published to provide the algorithm time tobecome calibrated to the market data as a trading session begins.
For the beginning of a given trading session, the following logic is followed, noting that no values are
published until the Market Opening Sequence has completed:8.

•

At the beginning of a session, the last available End-of-Day CVOL number is used as the initialbaseline for all metrics. The strike count by tenor is set to a baseline of 2 strikes by tenor.

•

The first calculation in the Market Opening Sequence uses the baseline of the End-of-Day CVOL as
the 𝑡 − 1 calculation to compare all metrics against.

•

The calculation follows the same process as set out in Calculation Approach and Live Re-Print Logic.

•

At the end of the Market Opening Sequence, the most recent valid CVOL value is printed as the firstprint of the market session.

•

If a valid CVOL was unable to be calculated during the Market Opening Sequence, the previous Endof-Day CVOL number will be printed. In this scenario, the calculation engine will continue to apply theapproach set out in the Establishment of a new CVOL level above.

Tenor Selection Process

The Tenor Selection Groups are used to determine the tenor selection applied to each Live Streaming CVOL
calculation. The option contracts used for a given calculation session remains the same throughout the entire
calculation session, even if a change in expiry would theoretically cause a shift in the tenor selection. The firstaction in the Market Opening Sequence, prior to any calculation, is to apply the tenor selection criteria on
existing contracts and identify the contracts to be used for the calculation session.

14© 2024 CME Group. All rights reserved.

To determine which tenors are used, the available live DTEs are taken and rounded down to an integer value.
If after rounding, the DTE is equal to the time horizon the CVOL is trying to measure (i.e. is exactly 30, 60, or
90 DTE), the tenor selection is assessed using the unrounded DTEs of the tenors to ensure two tenors are
selected.
Tenor Selection 1
Tenor Selection 1 is not currently used for the Live Streaming CVOL calculation.
Tenor Selection 2
Far contract selection:•

The Monthly expiration > 30.0 DTE and greater than the DTE of the Near contract (if the Near expiry
is > 30.0 DTE) and is the closest monthly to 30 DTE.

Near contract selection•

The Monthly expiration closest to 30.0 DTE and < 30.0 DTE and ≥ 10.0 DTE.

•

If there is no contract 10.0 DTE ≤ Monthly < 30.0 DTE, then select the closest expiration to 30.0 DTE.

Tenor Selection 3
Tenor Selection 3 is not currently used for the Live Streaming CVOL calculation.
Tenor Selection 4
Far contract selection:•

The Monthly contract expiration > 30.0 DTE and closest to 30.0 DTE.

Near contract selection:•

The Monthly contract expiration 14.0 ≤ DTE < 30.0 and closest to 30.0 DTE.

•

If the shorted dated monthly contract(s) expiration is/are DTE < 14.0 OR DTE > 30.0, then Friday
Weekly 14.0 ≤ DTE ≤ 21.0 and closest to 30.0 DTE is selected.

Tenor Selection 5
Far contract selection•

The Monthly, Weekly or End-of-Month (EOM) expiration > 30.0 DTE and closest to 30.0 DTE.

Near contract selection•

15

The Monthly, Weekly or EOM expiration < 30.0 DTE and closest to 30.0 DTE.

© 2024 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 60.0 day horizon is used as it is effectively
equivalent to the 30.0 day horizons employed in the other CVOL indices.
Far contract selection:•

The Monthly expiration > 60.0 DTE and greater than the DTE of the Near contract (if the Near expiry
is > 60.0 DTE) and is the closest monthly to 60.0 DTE.

Near contract selection•

The Monthly expiration closest to 60.0 DTE and < 60.0 DTE and ≥ 20.0 DTE.

•

If there is no contract 20.0 DTE ≤ Monthly < 60.0 DTE, then select the closest expiration to 60.0 DTE.

Tenor Selection 7 (90 DTE)
In some instruments, the underlying future of the option contract has a quarterly expiration. In these markets,
a 90.0 day horizon is used as it is effectively equivalent to the 30.0 day horizons employed in the other CVOL
indices.
Far contract selection:•

The Monthly expiration > 90.0 DTE and greater than the DTE of the Near contract (if the Near expiry
is > 90.0 DTE) and is the closest monthly to 90.0 DTE.

Near contract selection:

9.

•

The Monthly expiration closest to 90.0 DTE and < 90.0 DTE and ≥ 50.0 DTE.

•

If there is no contract 50.0 DTE ≤ Monthly < 90.0 DTE, then select the closest expiration to 90.0 DTE.

Short Term Interest Rate (STIR) Methodology

Due to the nature of the STIR Futures market, the SOFR based Live Streaming CVOL indices require analternative calculation methodology. The calculation of the single tenor volatility value is derived from the Live
Streaming CVOL index calculation approach and is shown below:𝑛2𝑆𝑖𝑛𝑔𝑙𝑒 𝑇𝑒𝑛𝑜𝑟 𝐼𝑛𝑑𝑒𝑥 = 𝜎𝑁 = 100 ∗ √ ∑ ∆𝐾𝑖 𝐺𝑁 𝑄(𝑂𝐾𝑖 )
𝑇
𝑖=𝑚

16

© 2024 CME Group. All rights reserved.

10.

Yield-Volatility Methodology

In order to render the price-based volatility as a basis point volatility the DV01 is used. The DV01 is thechange of a bond price for a 1 basis change of the rate associated with that bond. To convert a futures pricevolatility into a BP volatility, the transformation happens at the variance level.
2
𝜎𝑏𝑝= 𝜎2 ∗𝐹2
𝐷𝑉012

From the prior calculation𝜎=√(𝑇2 – 𝑇𝐻 ) ∗ (𝜎12 ) + (𝑇𝐻 – 𝑇1 ) ∗ (𝜎22 )(𝑇2 – 𝑇1 )Substituting the DV01 formula
𝐹2
𝐹2(𝑇2 – 𝑇𝐻 ) ∗ (𝜎12 ) ∗ ( 1 2 ) + (𝑇𝐻 – 𝑇1 ) ∗ (𝜎22 ) ∗ ( 2 2 )
𝐷𝑉011
𝐷𝑉012
√
𝜎𝑏𝑝 =
(𝑇2 – 𝑇1 )17

© 2024 CME Group. All rights reserved.

11.

Broad Based IndicesDue to the composition of the Broad-Based Indices with certain products having different market hours, theindex calculation uses the last printed CVOL observation for each component. The weightings of thecomponents of the Broad-Based Indices are determined by the Dollar Vega Data from the most recent Endof-Day data and persist for the entire day.
The following table outlines the current Broad Based Indices, with the market calculation times and thecomponent times provided in the Product Calculation Windows section:
Symbol
AVL
ENVL
FXVL
TPVL

CMVL

Name
Ag Products Volatility Index
Energy Volatility Index
FX Volatility Index
Treasury Curve Volatility Index Price
Treasury Curve Volatility Index Yield
Commodities Volatility Index

MEVL

Metals Volatility Index

TVL

Components
OZC, OZW, OZS, OZM, OZL, LE, HE, DC, GF
LO, LN, OB, OH
EUU, GBU, JPU, AUU, CAU
TU, FV, TY, US (price version)
TU, FV, TY, US (yield version)
LO, LN, OH, OB, OZC, OZW, OZS, HXE, OG,
SO, LE, HE, DC
OG, SO, HXE, PO, AL

The calculation of the indices described above is the sum of Implied Volatility Calculations weighted by the
Dollar Vega Open Interest ($𝑉𝑂𝐼). The dollar Vega Open Interest can be defined as follows:𝑖𝑗$𝑉𝑂𝐼𝑇 = 𝑀 ∑ ∑ 𝑣𝑡,𝑘 ∗ 𝑂𝐼𝑡,𝑘
𝑡=0 𝑘=0We then use five days of $𝑉𝑂𝐼 to arrive at a five-day moving average as defined below:
𝑀𝐴 𝑇=0 =∑−5
𝑇=−1 $𝑉𝑂𝐼𝑇
5

Where:••••••𝑡 tenor of a given option.
𝑇 is the day of a given $𝑉𝑂𝐼, where 𝑇−5 is five settlement days prior to the current calculation day.
𝑘 is the strike of a given option from the EoD settlement data
𝑣𝑡,𝑘 is the Vega of option position 𝑡, 𝑘 from the EoD settlement data
𝑂𝐼𝑡,𝑘 is the Open Interest of option position 𝑡, 𝑘 (both Calls and Puts) from the EoD settlement data
𝑀 is the contract multiplier/Contract Value Factor (CVF) associated with the product for the option
position

Using the five-day moving averages, we formulate the weighting for each product using the following
definition:
𝑊𝑛 =

18

𝑀𝐴𝑛
∑𝑞𝑛=1 𝑀𝐴𝑛

© 2024 CME Group. All rights reserved.

Where:••𝑞 is the number of products being combined into the index
𝑀𝐴𝑛 is the 5-day moving average of the $𝑉𝑂𝐼

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

𝜎𝑖𝑛𝑑𝑒𝑥 = ∑ 𝜎𝑛 ∗ 𝑊𝑛
𝑛=1

12.

Publication

The Live Streaming CVOL Indices are calculated and published every 15 seconds during the times defined in
Product Calculation Windows. The Live Streaming CVOL Indices follow the CME Globex Holiday Calendar.
If an error is reported in the input data or in the calculation, the Index is not re-calculated.

19© 2024 CME Group. All rights reserved.

cmegroup.com© 2024 CME Group. All rights reserved.