NYSE Euronext and FTSE Group announce the launch of a new volatility index: the FTSE 100® Volatility Index. Operational from 23 June 2008, this index will capture, on a real time basis, implied volatility embedded in prices of FTSE 100 options available on Liffe, NYSE Euronext’s derivatives market.
A result of the combination of NYSE Euronext and FTSE Group expertise, the FTSE 100® Volatility Index (VFTSE) will be calculated in a transparent manner using prices of out- of- the- money FTSE 100 call and put options. Quoted in terms of percentage points, it will translate on an annualized basis the expected movement in the underlying index over the next 30-day period.
Market participants consider volatility indices to work like a barometer; a high value translates to a greater degree of underlying index turbulence; a low value is consistent with greater stability.
Imogen Dillon-Hatcher, Managing Director, FTSE Europe Middle East and Africa said, “FTSE Group continues to work closely with our partners to produce new and innovative index products. With FTSE and NYSE Euronext’s combined index expertise and knowledge of investor needs, the new FTSE 100® Volatility Index will be used by modern investors for further analysis of this complex market.”
Jonathan Seymour, Director of Equity Derivatives at Liffe said, “The VFTSE will provide an instant view of short-term implied volatility in the FTSE 100 Index options market. It will provide the market with a guide to sentiment and the trend in, what is colloquially known as, the ‘fear factor’.”
Additional information:
The FTSE 100® Volatility Index is calculated by NYSE Euronext using the VIX® methodology, a sentiment indicator for the US market based on the S&P 500 index option prices on the Chicago Board Options Exchange.
ISIN/ QS0011052162
Mnemonic / Short Name: VFTSE
Long Name: FTSE 100 Volatility Index
Underlying Index: FTSE 100