Jul 24, 2010

New Volatility Indexes

The stock indexes around the world were up this week, while international volatility indexes feel on average 5%, or 1 point. As I mentioned in the previous post VSTOXX was inexplicably up 1 point for the week; I really don't have an explanation why would a major index buck the overall trend like it did.


There are several additions to my list of volatility indexes:

VKOSPI - based on Korean KOSPI200 options markets. The details on index calculation are here, but the algorithm is no different from the one used for VIX.

CHIX - AlphaShares China Volatility Index, which measures the implied volatility on FTSE Xinhua China 25 and Hang Seng (HSI) indices, and is also calculated like VIX. I could not find the technical details on the index, but the press release from the firm is available from their website here.

Six Asian volatility indexed from Citigroup, on which I could not find any information. There is some overlap with other volatility indexes, but the values are different - maybe because the method of calculation is different, or maybe because they're based on different indexes.

CITJAVIX - Australia Volatility Index
CITJHVIX - Hong-Kong Volatility Index
CITJIVIX - India Volatility Index
CITJJVIX - Japan Volatility Index
CITJKVIX - Korea Volatility Index
CITJTVIX - Taiwan Volatility Index

Also, I removed the VXJ - Japanese volatility index. The reason is that Osaka University which disseminates the index has up to 2 weeks delay, which creates problems in tracking week to week changes. I will continue to monitor the index - maybe in the future it will become more prompt.

There are few volatility indexes that I am missing:

SAVI - South Africa Volatility Index, there is some information on the exchange website, but no time series, and don't know the Bloomberg symbol for it.

VOI ? - Brazil Volatility Index. Bovespa website seem to indicate that the index exists somewhere, but no further information.

AVIX - Australia VIX, based on ASX 200 Index options.

IVO - Russian Volatility Index based on options in RTS / FORTS index. At the end of May Interfax reported that RTS is planning to launch the volatility index sometime this fall.

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