Nov 10, 2010

Canadian VIX - VIXC

Few weeks ago Montreal Exchange changed the methodology of its volatility index. The old index, MVX was constructed in the same way as the VXO - using implied volatility of ATM options, while the new index VIXC (Bloomberg symbol VIXC:IND) uses the same methodology as the VIX. Here is a presentation on the index construction. Unfortunately the old index was completely discontinued, while the new index has only one year of history. For my research purposes I combined the two, averaging closing values on the overlapping period. Exchange data here, and you can download the combined data here.

Below is the chart of the combined history MVX-VIXC vs VIX.

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