CBOE developing tail event index

drawing-bell-curve

The Chicago Board of Options Exchange (CBOE) is developing a new index designed to allow investors to take positions on market expectations of extreme losses.

Speaking at Risk magazine's Quant Congress USA event in New York last week, Catherine Shalen, director of research and product development at the CBOE, said a new skew index would be launched once the testing phase is complete.

"The skew index will offer the chance to take hedging or speculative positions on the skew of S&P 500 Index

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