Cboe EuroCurrency Volatility Index (EVZ)
20 hours agoThe Cboe EuroCurrency Volatility Index monitors the anticipated near-term volatility of the euro/U.S. dollar exchange rate.
It gauges the market's forecast of 30-day volatility for the EUR/USD exchange rate by utilizing the VIX methodology on options related to the CurrencyShares Euro Trust (FXE).
Commonly referred to as the "Euro VIX," the Cboe EuroCurrency Volatility Index has the ticker symbol EVZ.
Similar to the VIX, EUVIX is computed by interpolating between two weighted sums of option midquote values, specifically for options on EVZ.
These two sums effectively represent the anticipated variance of the Euro to Dollar exchange rate across two option expiration dates that encompass a 30-day timeframe.
EVZ is derived by annualizing the interpolated value, taking its square root, and expressing the outcome in percentage points.
Like other VIX benchmarks, EVZ incorporates options with a broad spectrum of strike prices.
FXE is an exchange-traded fund (ETF) that maintains Euro on-demand deposits in Euro-denominated bank accounts.
Consequently, the performance of FXE aims to mirror the USD/EUR exchange rate, minus the expenses of the fund.
Here’s a chart example showing the Cboe EuroCurrency Volatility Index (EVZ).
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