CBOE Euro Currency Volatility Index (EVZ)

The Cboe EuroCurrency Volatility Index (EVZ) is a measure of the expected volatility of the Euro currency relative to the US Dollar. It is created and maintained by Cboe Global Markets, a leading provider of financial market infrastructure and trading solutions.

The EVZ index is derived from the prices of Euro currency options traded in the options market. It reflects the market’s expectations of future volatility in the Euro currency. Volatility, in this context, refers to the degree of fluctuation or variability in the price of an asset. Higher volatility indicates larger and more rapid price swings, while lower volatility suggests more stable price movements.

The EVZ index is used as a reference point for pricing and managing risk in derivative products based on Euro currency volatility. It provides insights into market sentiment and expectations regarding the Euro. Investors and institutional players can monitor the Euro’s volatility to manage their risks and develop option strategies. Additionally, the EVZ index can be used to gauge market sensitivity and assess market expectations.

Similar to other Cboe volatility indices, the EVZ index is calculated using a weighted average of volatility values derived from Euro currency options prices. The index is typically expressed as a percentage and can be tracked on a daily, weekly, monthly, or yearly basis.

In summary, the Cboe EuroCurrency Volatility Index (EVZ) is an index that measures the expected volatility of the Euro currency relative to the US Dollar. It is derived from Euro currency options prices and serves as a reference for pricing and managing risk in Euro currency volatility-related derivative products. The index provides insights into market expectations and can be used by investors and institutions for risk management and option strategies.