CME Group Volatility Index
UK BMR Benchmark Statement
CME Group Benchmark Administration Limited
Publication Date: July 17th, 2023

Introduction
This Benchmark Statement “CME Group Volatility Index”, classified as a “family of benchmarks” under Article
3(1)(4) BMR.
The Benchmark family consists of, single product indices, broad-based indices and derivative indicators. The
components of the CME Group Volatility Index 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) - Premium of the theoretical at-the-money (ATM) volatility
Convexity – The degree of curvature of the volatility curve as indicated by the ratio of the Volatility
Index value and the ATM Vol.

These Benchmarks are administered and calculated by CME Group Benchmark Administration Limited,authorized and supervised as a Benchmark Administrator by the UK Financial Conduct Authority.

2© 2023 CME Group. All rights reserved.

BMR /RTS

BMR Benchmark Statement requirement

Administrator’s statement

Within two weeks of the inclusion of an
administrator in the register referred to in Article 36,
the administrator shall publish, by means that
ensure fair and easy access, a benchmark
statement for each benchmark or, where applicable,
for each family of benchmarks, that may be used in
In order to facilitate fair and easy access,the Union in accordance with Article 29. Where that
this Benchmark Statement appears on theadministrator begins providing a new benchmark or
Administrator’s website.
family of benchmarks that may be used in the Union
Article 27in accordance with Article 29, the administrator shall(1) BMR
The Administrator shall ensure that thispublish, within two weeks and by means that ensure
Benchmark Statement is updated in thea fair and easy access, a benchmark statement forevent of any material changes and no later
each new benchmark or, where applicable, family ofthan every two years.
benchmarks. The administrator shall review and,
where necessary, update the benchmark statement
for each benchmark or family of benchmarks in theevent of any changes to the information to beprovided under this Article and at least every two
years.
The Benchmark Statement shall:
CME Group Volatility Index (CVOL)
measures the implied volatility of anunderlying futures based on the information
derived from the prices of options on that
underlying future.
The underlying methodology can be used
to create single product indices, that canalso be combined to create broad-based
indices.
In addition to the single product indices,
related derivative indicators are calculated
and published as part of the index family:(a)clearly and unambiguously define the market or
economic reality measured by the benchmark andthe circumstances in which such measurement may
become unreliable;

•
•
•
•
•

Up VarDown Var
Skew
At the money vol
Convexity

Variants of the basic calculation
methodology are introduced to calculate
CME Group Volatility Index in interest rateyield numeraire, when the underlying
options are struck against the price of debt
instruments, such as US Treasury Futures.
The CME Group Volatility Index may
become unreliable as a result of insufficient
input data or severe market disruption.

3© 2023 CME Group. All rights reserved.

BMR /RTS

BMR Benchmark Statement requirement

Administrator’s statement
Details of the most traded options contracts
are available on the CME page: CME
Group Options. The entirety of options
contracts traded on CME DCMs areavailable on: CME Group All Products –Codes and Slate.

(b)

(c)

lay down technical specifications that clearly andunambiguously identify the elements of thecalculation of the benchmark in relation to which
No expert judgement is applied in the daily
discretion may be exercised, the criteria applicable determination of the CME Group Volatility
to the exercise of such discretion and the position of Index.
the persons that can exercise discretion, and how
such discretion may be subsequently evaluated;
There is the possibility that factors,
including external factors beyond thecontrol of the Administrator, may
necessitate changes to, or the cessation of,
the Benchmarks.
provide notice of the possibility that factors,
including external factors beyond the control of the
Where material changes to or the cessation
administrator, may necessitate changes to, or theof the Benchmarks become necessary, thecessation of, the benchmark; andAdministrator will engage stakeholders andusers by way of a public consultation.
All changes are reviewed and approved by
the Oversight Committee.
Changes to, or the cessation of, theBenchmarks may have an impact upon thefinancial contracts and financial
instruments that reference the benchmark
or the measurement of the performance ofinvestment funds.

(d)advise users that changes to, or the cessation of,
the benchmark may have an impact upon thefinancial contracts and financial instruments that
The Administrator advises users of thereference the benchmark or the measurement of the Benchmarks to regularly assess whether it
performance of investment funds.
remains appropriate, suitable and fit for
purpose. Users should develop
contingency provisions and fall-back plansin the event of the benchmark becoming
unavailable.

ArticleA benchmark statement shall contain at least:
27(2) BMR
the definitions for all key terms relating to the(a)benchmark;(b)4

the rationale for adopting the benchmark
methodology and procedures for the review andapproval of the methodology;

See the Appendix for definitions used inthis Benchmark Statement.
The aim of the Benchmarks is to provide abenchmark for the volatility of un underlying
future. The Administrator regularly reviews
the methodology to ensure that theBenchmarks remain representative of theeconomic reality. Amendments to the© 2023 CME Group. All rights reserved.

BMR /
RTS

(c)

(d)

(e)

(f)

(g)

RTS 1(1)
(a)

(b)

5

BMR Benchmark Statement requirement

Administrator’s statement

methodology are proposed by the
Administrator, after wide consultation withthe relevant stakeholders, and approved by
the Oversight Committee.
The calculation is based on a waterfall
methodology including publicly available
settlement data from the Designated
The criteria and procedures used to determine the Contract Market (DCMs) operated by CMEbenchmark, including a description of the input data, Inc.
the priority given to different types of input data, theminimum data needed to determine a benchmark,Details of the CME Option contracts andthe use of any models or methods of extrapolation their executed volumes are available atand any procedure for rebalancing the constituents CME Group Options page.
of a benchmark's index;
The published benchmark methodology
provides details the hierarchy of data inputs
and how they are used in the calculation.
the controls and rules that govern any exercise of
No expert judgement is applied in the daily
judgement or discretion by the administrator or any
determination of the CME Group Volatility
contributors, to ensure consistency in the use of
Index.
such judgement or discretion;
The methodology includes contingency
measures to deal with determination of thethe procedures which govern the determination of
Benchmarks in periods of stress or periods
the benchmark in periods of stress or periods where where settlement data sources may betransaction data sources may be insufficient,insufficient, inaccurate or unreliable.
inaccurate or unreliable and the potential limitationsof the benchmark in such periods;
In a circumstance where there is acomplete lack of trading activity, theBenchmarks will not be published.
The Administrator has in place operatingprocedures to ensure the integrity of input
the procedures for dealing with errors in input data data and prompt correction of calculation
or in the determination of the benchmark, including errors, including re-publication of thewhen a redetermination of the benchmark is
Benchmark. These are facilitated throughrequired; andChicago Mercantile Exchange Inc., who
acts as calculation agent to the
Administrator for the Benchmarks.
The methodology relies on settlement
the identification of potential limitations of theprices of options on CME DCMs. The
benchmark, including its operation in illiquid or
Administrator continuously monitors
fragmented markets and the possible concentration liquidity of the underlying market andof inputs.
reports back to the Oversight Committee toassess whether the input data is sufficient.
The benchmark statement shall state:
Please see the beginning of this document
the date of publication of the statement and, where
for the date of publication and last update.
applicable, the date of its last update;where available, the international securities
identification number (ISIN) of the benchmark or
benchmarks; alternatively, for a family ofbenchmarks, the statement may provide details of

Not applicable to these Benchmarks© 2023 CME Group. All rights reserved.

BMR /RTS

BMR Benchmark Statement requirement

Administrator’s statement

where the ISINs are publicly accessible free ofcharge;(c)(d)

RTS 1(2)

(a)

(b)

(c)

RTS 1(3)(a)

6whether the benchmark, or any benchmark in thefamily of benchmarks, is determined using
contributions of input data;

The Benchmarks are not determined using
contributions of input data.

whether the benchmark or any benchmark in thefamily of benchmarks qualifies as one of the types The CME Group Volatility Index are not anof benchmarks listed under Title III BMR, including interest rate benchmark in accordance withthe specific provision by virtue of which the
Article 18 of the BMR (Title III, Chapter 2).
benchmark qualifies as that type.
In defining the market or economic reality, the benchmark statement shall include at least thefollowing information:
CME Group Volatility Index (CVOL)
measures the implied volatility of ana general description of the market or economic
underlying futures based on the information
reality;derived from the prices of options on that
underlying future.
The CME Group Volatility Index reflects theimplied volatility of the underlying futures,the geographical boundaries, if any, of the market or derived from option process, traded on
economic reality;
CME DCMs. The markets represented by
the benchmark family are global in nature.

any other information that the administrator
reasonably considers to be relevant or useful tohelp users or potential users of the benchmark tounderstand the relevant features of the market or
economic reality, including at least the following
elements insofar as reliable data on these elements
is available:(i) information on actual or potential participants inthe market;(ii) an indication of the size of the market or
economic reality.

CME Group DCMs are open to a large
number of market participants, ensuring anelevated level of liquidity and market depth.
All customer segments are represented
including proprietary trading groups, banks,
hedge funds and asset managers.
The options of the selected instrumentsthat make up the CME Group Volatility
Index Benchmark Family have a combined
average daily volume of more than 3.1
million contracts.

In defining the potential limitations of the benchmark and the circumstances in which themeasurement of the market or economic reality may become unreliable, the benchmark
statement shall include at least:
Input data would be unavailable if the CME
DCMs are unable to provide a settlementa description of the circumstances in which theprice as per their rulebook.
administrator would lack sufficient input data to
determine the benchmark in accordance with theThis might occur if dealers were unwilling
methodology.
to post executable quotes on the DCM
platforms as might occur in times of
economic uncertainty, or alternatively if the© 2023 CME Group. All rights reserved.

BMR /RTS

BMR Benchmark Statement requirement

Administrator’s statement
DCM platforms were to suffer an
unexpected closure or outage.

(b)

(c)

RTS 1(4)The accuracy and reliability of the
Benchmarks could no longer be ensured inwhere relevant, a description of instances when the the event of continued insufficient liquidity
accuracy and reliability of the methodology used for in the underlying CME Options contracts.
determining the benchmark can no longer be
To that extent, the Administrator regularly
ensured, such as when the administrator deems the reviews options volumes and will report any
liquidity in the underlying market as insufficient;concern regarding the liquidity of theunderlying markets to the OversightCommittee.
The Benchmarks rely on the regular
any other information that the administrator
functioning of the underlying CME Options
reasonably considers to be relevant or useful tocontracts; reliable representation ofhelp users and potential users to understand theunderlying markets could be severely
circumstances in which the measurement of theaffected if CME Options contracts markets
market or economic reality may become unreliable,
were not operating due to severe
including a description of what might constitute an
disruptions or regulatory limitations to their
exceptional market event.
normal functioning.
In specifying the controls and rules that govern any
exercise of judgement or discretion by theadministrator or any contributors in calculating thebenchmark or benchmarks, the benchmark
No expert judgement is applied in the dailystatement shall include an outline of each step ofdetermination of the CME Group Volatility
the process for any ex post evaluation of the use of Index.
discretion, together with a clear indication of theposition of any person(s) responsible for carryingout the evaluations.
The methodology provides that theAdministrator will consult with stakeholders
on material changes to the methodology.

RTS 1(5)In specifying the procedures for review of themethodology, the benchmark statement shall at
least outline the procedures for public consultation
on any material changes to the methodology.

Consultation will ordinarily consist of
publishing of proposals, providing
stakeholders with a reasonable time torespond and publishing actions as a resultof the consultation.
In addition, the Oversight Committee canrequest the Administrator to consult on any
change as appropriate.

RTS 2
(a)

In addition to the information to be included pursuant to Article 1, for a regulated-data benchmark
or, where applicable, family of regulated-data benchmarks, the benchmark statement shall state
at least the following in its description of the input data:
the sources of the input data used;
N/A – Not a regulated data benchmark
N/A – Not a regulated data benchmark(b)for each source, the relevant type, as listed in
Article 3(1)(24) of Regulation (EU) 2016/1011.

RTS 3

In addition to the information to be included pursuant to Article 1, for an interest rate benchmark
or, where applicable, family of interest rate benchmarks, the benchmark statement shall include
at least the following information:

7© 2023 CME Group. All rights reserved.

BMR /RTS

BMR Benchmark Statement requirement

Administrator’s statement(a)a reference alerting users to the additional
regulatory regime applicable to interest ratebenchmarks under Annex I to Regulation (EU)2016/1011;

N/A - The CME Group Volatility Index are
not interest rate benchmarks.

(b)a description of the arrangements that have been
put in place to comply with that Annex.

N/A - The CME Group Volatility Index are
not interest rate benchmarks.

RTS 4

(a)

(b)
(c)

(d)

RTS 5

(a)

(b)

RTS 6

(a)

(b)

8

In addition to the information to be included pursuant to Article 1, for a commodity benchmark or,
where applicable, family of commodity benchmarks, the benchmark statement shall at least:
indicate whether the requirements of Title II of, orAnnex II to, Regulation (EU) 2016/1011 apply to the
N/A – Not a commodity benchmark
benchmark, or family of benchmarks as prescribedby Article 19 of that Regulation;
include an explanation as to why Title II of or, as the
N/A – Not a commodity benchmark
case may be, Annex II to that Regulation applies;
include in the definitions of key terms a concise
description of the criteria that define the relevant
N/A – Not a commodity benchmark
underlying physical commodity;
where applicable, indicate where the explanations
are published that the administrator is required to
N/A – Not a commodity benchmark
publish under paragraph 7 of Annex II to that
Regulation.
In addition to the information to be included pursuant to Article 1, for a critical benchmark, or,where applicable, a family of benchmarks that contains at least one critical benchmark, thebenchmark statement shall include at least the following information:a reference alerting users to the enhanced
regulatory regime applicable to critical benchmarks N/A – Not a critical benchmark
under Regulation (EU) 2016/1011;
a statement indicating how users will be informed ofany delay in the publication of the benchmark or of
N/A – Not a critical benchmark
any re-de-termination of the benchmark andindicating the (expected) duration of measures.
In addition to the cases referred to in the third subparagraph of Article 27(1) of Regulation (EU)2016/1011, an update of the benchmark statement shall be required whenever the information
contained in the statement ceases to be correct or sufficiently precise, and including in any eventin the following cases:
This Benchmark Statement shall be
updated where information contained
whenever there is a change in the type of thewithin it ceases to be correct or sufficiently
benchmark;precise, including where there is a change
to the type of input data.
whenever there is a material change in themethodology used for determining the benchmark
or, if the benchmark statement is for a family ofbenchmarks, in the methodology used for
determining any benchmark within the family ofbenchmarks.

This Benchmark Statement shall be
updated where there is a material change
in the methodology used for determining
the Benchmarks.

© 2023 CME Group. All rights reserved.

1.

Appendix I – Key Terms & Definitions

Capitalised terms used in this Benchmark Statement that are not otherwise defined have the meaning set out
below:TERM

9DESCRIPTION

Administrator

CME Group Benchmark Administration LimitedATM

At the money

At the money vol

Premium of the theoretical ATM volatility

BMR
CBA

UK Benchmark Regulation (Regulation (EU) 2016/2011, as retained in UK
law under the EUWA)
CME Group Benchmark Administration Limited

CME Options

Options traded on CME DCMs

Convexity
DCM

The degree of curvature of the volatility curve relative to the at-the-money(ATM) implied volatility (IV)
Designated Contract Market

Down Var

Implied volatility of put options

EUWA

European Union (Withdrawal) Act 2018, as amended from time to time

FCA UK

Financial Conduct Authority (UK)OC

Oversight Committee

RTS
Skew

Regulatory Technical Standard, which in the context of the BMR means
Regulation (EU) 2018/1643 (as retained in UK law under the EUWA)
Ratio of Up Var to Down Var

SLAService Level Agreement

Up Var

Implied volatility of call options© 2023 CME Group. All rights reserved.

2. 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.

Item 2Type of benchmark or family of benchmarks.

CME Benchmark Administration
LimitedOther

Item 3Name of the benchmark or family of benchmarks.

CME Group Volatility Index

Item 4

Are there in the portfolio of the benchmark
administrator any Climate Transition Benchmarks,
Paris-aligned Benchmarks, benchmarks that pursue
ESG objectives or benchmarks that take into accountESG factors?
Does the benchmark or family of pursue ESG
objectives?
Does the benchmark align with the target of reducing
carbon emissions or the attainment of the objectives of
the Paris Agreement
The temperature scenario, in accordance withinternational standards, used for the alignment with thetarget of reducing GHG emissions or attaining of theobjectives of the Paris Agreement
The name of the provider of the temperature scenario
used for the alignment with the target of reducing GHG
emissions or the attainment of the objectives of theParis Agreement
The methodology used for the measurement of thealignment with the temperature scenario
The hyperlink to the website of the temperature
scenario usedNo

Item 5Item 10

10

No
No

N/A

N/A

N/A
N/A

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