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Tokyo Stock Exchange, Inc. (TSE) will start calculating and publishing a new index “JPX JGB Futures Volatility Index”, an index that shows the volatility of 10-year Japanese Government Bond Futures contracts, from November 1, 2013.
JPX JGB Futures Volatility Index will be calculated based on settlement price of JGB Futures Option contracts listed on TSE, and it will indicate the future volatility of 10-year JGB Futures contract. The index will be a benchmark to measure market expectation of 10-year JGB Futures market volatility over a certain period of time in the future, for the index uses aggregated information of settlement price of all strike prices with certain maturity/expiration date.
1. Outline of Index
| Index Name | JPX JGB Futures Volatility Index |
| Calculation Method | Calculated from settlement price of all strike prices in the first and second contract month of put and call options of JGB Futures |
| Start of Publication | November 1, 2013 |
| Frequency of Calculation | Daily (Index data of previous trading day will be published) |
| Publication of Index Value | Published on the TSE website 10:00AM JST |
2. Disclaimer
JPX JGB Futures Volatility Index is an intellectual property of JPX Group, Inc. and all rights on the index including but not limited to calculation, publication and use of the index are reserved by the JPX Group.
The calculation and publication of the index is scheduled to be tentative as of today and change in the index or termination of the index will be separately announced.
