Cboe S&P 500 Left Volatility Index

The Cboe S&P 500 Left Tail Volatility Index (LTV) aims to provide market participants with access to a robust tail risk measure estimating the expected (risk-neutral) return volatility stemming from large negative price moves over short horizons. Specifically, the Index measures the expected volatility due to a ten-standard deviation, or larger, down move in the S&P 500 Index over one week.

Resources

• LTV Methodology
• Whitepaper: Beyond the VIX: Model-free Spot Volatility and Tail Indices from Short-dated Options