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The Tel Aviv Stock Exchange Will Launch A Volatility Index – VTA35 Index: With The Launch Of The VTA35 Index, TASE Is Aligning Itself With Leading Index Providers Around The World Who Calculate Volatility Indices

Date 29/11/2018

​The Tel Aviv Stock Exchange published today (November 25, 2018) a proposal to calculate and disseminate a new index - the "VTA35" Index, which represents implied volatility level in options on the TA-35 Index traded on the Stock Exchange.

With the launch of the VTA35 index, the Tel Aviv Stock Exchange is aligning itself with leading Index providers around the world who calculate volatility indices such as VIX, VSTOXX, VFTSE, etc.

The VTA35 Index is a new index that was developed by TASE in accordance with the unique characteristics of the derivatives market on the Tel Aviv Stock Exchange.  The Index will reflect the implied standard deviation in the options on the TA-35 Index, for 30 days, in annual terms. The Index values will reflect the implied standard deviation in percentage terms (for example, 15 points = 15%).

The Index will be calculated on the basis of bid and ask prices of two Call options and two Put options "at the money", out of the two series of options closest to 30 days to expiration, with expiry term of the shorter series not exceeding 30 days, and expiry term of the longer series exceeding 30 days. Options with expiry term of less than one day shall not take part in the calculation of the index, in order to avoid possible distortions in calculation results.

The Index will be calculated and disseminated on real time basis, every 15 seconds, from starting of continuous trading phase in the equity market until the end of the derivatives trading session.

TASE strongly believes that the Index will be widely used, both as a benchmark for the level of volatility in the domestic market as well as an underlying asset for derivatives.

TASE proposal was published on TASE website for "Public Comments". The public is encouraged to submit comments on the proposal by 16.12.18. Afterwards, and taking into consideration the comments received, the proposal shall be submitted to TASE's Board of Directors for approval.