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Credit Volatility Benchmarks for CDX and iTraxx Indices

Article Quant Q&A · Author: zeng cece
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Summary

The document asks whether credit markets have a volatility index comparable to familiar measures for equities and interest rates. Its answer points to four daily implied-volatility measures covering North American investment-grade and high-yield CDX indices, as well as the iTraxx Europe Main and Crossover indices. The named measures are VIXIG, VIXHY, VIXIE, and VIXXO.

This gives a practical set of benchmarks for tracking implied volatility across major credit-index segments and regions. The evidence is limited to the announcement that these measures were launched; the document does not describe their construction, calculation inputs, history, liquidity, or interpretation. It therefore serves as a pointer to available credit volatility gauges rather than a guide to using or comparing them. The measures cover specified index families, so the text does not establish that they represent every credit market or instrument.

Key ideas

  • The document identifies daily implied-volatility measures for credit index markets.
  • VIXIG and VIXHY cover North American investment-grade and high-yield CDX indices.
  • VIXIE and VIXXO cover the iTraxx Europe Main and Crossover indices.
  • The document names the benchmarks but does not explain their construction or interpretation.

Tags

Fixed incomeVolatilityDerivatives pricing
Full text
# what is the index to measure the credit volatility


# what is the index to measure the credit volatility












Similar to VIX to measure the equity vol and Move for rates vol, is there a simple index to measure the credit vol

## Answer by Dimitri Vulis (score 3)

https://quant.stackexchange.com/a/77069

The CBOE has recently launched four new daily measures of implied volatility for CDX NAM IG (VIXIG - North American investment grade), CDX NAM HY (VIXHY - North American high yield), VIXIE iTraxx Europe Main, VIXXO iTraxx Europe Crossover.

Press release: https://www.spglobal.com/spdji/en/documents/index-news-and-announcements/20231003-spdji-cboe-credit-vix-indices-launch.pdf

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.