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Derivatives

CBOE capitalises on rates vol fears with novel futures

DV EQ CBOE image

Investors with large exposures to US interest rates are looking at new futures on the Chicago Board Options Exchange Futures Exchange 10 year US Treasury note volatility index, which will give them the means to manage interest rate volatility risk now that the US government has wound up its quantitative easing programme. From November 13, the so called VXTYN futures will allow investors to hedge pure interest rate volatility risk based on US government debt in a single product for the first time.

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