CBOE, CBSX, & CFE Press Releases

FOR IMMEDIATE RELEASE


CBOE ANNOUNCES INTRADAY CALCULATION OF IMPLIED CORRELATION INDEX BASED ON THE S&P 500 INDEX

Chicago, July 22, 2009 - The Chicago Board Options Exchange (CBOE) today announced that beginning Monday, July 27, the Exchange will begin publishing intraday data for the CBOE S&P 500 Implied Correlation Index tied to two different option maturities - January 2010 (ticker symbol ICJ) and January 2011 (ticker symbol JCJ). CBOE will disseminate ICJ and JCJ values four times per minute during the trading day versus once a day currently.

The CBOE S&P 500 Implied Correlation Index is the first widely disseminated, market-based estimate of the average correlation of the stocks that comprise the S&P 500 Index (SPX).Using SPX options prices, together with the prices of options on the 50 largest stocks in the S&P 500 Index, the CBOE S&P 500 Implied Correlation Index offers insight into the relative cost of SPX options compared to the price of options on individual stocks that comprise the S&P 500.

"Combined with the CBOE Volatility Index (VIX) - CBOE's widely followed measure of equity market risk - the newly expanded calculations on the CBOE S&P 500 Implied Correlation Index will give index and equity options traders, portfolio managers and other asset allocation decision-makers a more complete picture of the options market's assessment of equity risk," said CBOE Chairman and CEO William J. Brodsky.

Intuitively, one would expect that the implied volatility of an index option would reflect a corresponding change in the implied volatilities of options on the index components. Yet, there are times when this is not the case.This outcome is often attributed to the index option market's changing views on correlation.For example, from November 20, 2008, through May 29, 2009, the closing value of ICJ ranged from a low of 56.54 on November 21, 2008, to a high of 74.78 on March 20, 2009.During the same time period, the CBOE Volatility Index (VIX) declined significantly from a record-high close of 80.86 on November 20, 2008.Conversely, the ICJ has remained relatively high with a closing value of 58.94 recorded on June 30, 2009, revealing an expectation that equity prices will continue to move together.

"The CBOE S&P Implied Correlation Index illustrates how far the industry has come in fine-tuning effective risk-management benchmarks," said Robert Shakotko, Managing Director at Standard & Poor's Index Services. "Working with CBOE for more than 25 years, Standard & Poor's has been privileged to be part of the evolution of index-based investment products that have become household names."

According to Joe Levin, CBOE's Vice President of Research and Product Development, "One of the perceived benefits of owning a portfolio of stocks is diversification related to the correlation between stocks. While less correlation between stocks in a portfolio typically leads to greater diversification, the correlation between stocks is constantly changing, and in times of market stress the correlation increases as stock prices tend to move together. As a result, the diversification benefits of a portfolio of stocks may be less than initially anticipated." Levin says that the CBOE S&P 500 Implied Correlation Index addresses this phenomenon and others and will be of use to those making asset-allocation decisions.

A complete overview of the CBOE S&P 500 Correlation Index, including methodology, components and pricing information, can be found at http://www.cboe.com/ImpliedCorrelation.The market capitalization of the 50 stocks used in the calculation and Historical information dating back to 2007 are also available.

Chicago Board Options Exchange (CBOE), the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education. CBOE offers equity, index and ETF options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options on the CBOE Volatility Index (VIX), the world's barometer for market volatility. Other groundbreaking products engineered by CBOE include equity options, security index options, LEAPS, FLEX options, and benchmark products such as the CBOE BuyWrite Index (BXM). CBOE's Hybrid Trading System incorporates electronic and open-outcry trading, enabling customers to choose their trading method.CBOE's Hybrid is powered by CBOEdirect, a proprietary, state-of-the-art electronic platform that also supports the CBOE Futures Exchange (CFE), CBOE Stock Exchange (CBSX) and OneChicago. CBOE is home to the world-renowned Options Institute and http://www.cboe.com/, named "Best of the Web" for options information and education.

Media contacts:
Gail Osten
(312) 786-7123
osten@cboe.com

Gary Compton
(312) 786-7612
comptong@cboe.com

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