.jpg)
STOXX Limited, a global index provider and creator of the leading European equity indices, today announced the launch of the EURO STOXX 50 Investable Volatility Index. The new index complements the existing VSTOXX index by measuring forward implied volatility in a replicable format that can serve as the basis of financial products.
The EURO STOXX 50 Investable Volatility Index was jointly developed with BofA Merrill Lynch and is owned, calculated and maintained by STOXX Limited. The index has been licensed to BofA Merrill Lynch to offer exchange-traded products and over-the-counter derivatives linked to the index.
“Volatility as an asset class has grown increasingly important among investors in recent years, especially as economic uncertainty continues to prevail in the world’s markets. The EURO STOXX 50 Investable Volatility Index measures this market sentiment in a manner that is well-suited for use in exchange-traded funds, structured products and other financial instruments,” said Hartmut Graf, chief executive officer, STOXX Limited. “Furthermore, the index offers the benefits of a transparent, rules-based methodology to those market participants seeking to include volatility in their portfolios.”
According to Eric Personne, Co-Head of Cross Asset Retail Sales and Head of Equity & Fund Structuring at BofA Merrill Lynch, the new index meets a growing demand from investors for an investable European volatility product: “BofA Merrill Lynch has for a number of years recognized the benefits of volatility as a diversifying asset in equity portfolios, and our clients are increasingly looking for a simple way to access this asset class. The EURO STOXX 50 Investable Volatility Index will allow investors to efficiently gain exposure to volatility through a liquid and transparent index product.”
The EURO STOXX 50 Investable Volatility Index measures forward implied volatility - or the level of uncertainty and near-term expectations among investors in the Eurozone equity market. It is a rolling index that aims to capture a consistent three-month forward volatility exposure based on the implied volatility of EURO STOXX 50 Index options available on the international derivatives exchange Eurex. The index is calculated using the VSTOXX sub-indices representing the spot implied volatility of each option expiry date from one month out to one year.
The index is the latest addition to the VSTOXX index family that was first launched in April 2005 and later expanded in May 2010 to include 12 rolling sub-indices for each options expiry date. The VSTOXX is a key measure of market expectations of near and long-term volatility in the Eurozone based on the EURO STOXX 50 index options prices.
The EURO STOXX 50 Investable Volatility Index is available in total and excess return versions and calculated in euro. Daily history is available back to October 23, 2006.
