Jun 18, 2011

World Map of Volatility, Updated



Single Country Volatility Indexes (+Bloomberg Codes)

CITJTVIX:IND - Taiwan Volatility Index, one of the Asian volatility indexes developed by citigroup
INVIXN:IND - India VIX
RTSVX:IND - Russian Volatility Index
SAVIT40:IND - South Africa Volatility Index
SPAVIX:IND - Australia, also known as XVI. As I blogged earlier ASX has concrete plans to launch futures on the index
V1X:IND - Germany, also known as VDAX
V3X:IND - Switzeland, also known as VSMI
VAEX:IND - Netherlands
VBEL:IND - Belgium, has no data since November of last year, appears to be discontinued
VCAC:IND - France
VFTSE:IND - United Kingdom
VIMEX:IND - Mexico Volatility Index based on IPC, unlike others this is a 3 month index
VIX:IND - United States
VIXC:IND - Canada
VKOSPI:IND - Korea
VNKY:IND - Japan, Nikkei Volatility Index. There is also VXJ:IND but it is being updated every two weeks; VNKY is updated daily
VHSI:IND - Hong Kong, HSI Volatility Index. There is also ASCNCHIX:IND which averages implied volatilities of HSI options and FXI ETF options, so it is not a "pure" HK volatility as FXI also has currency risk. At this point there is no mainland China volatility index, since there are no listed options on A-shares.
VXEWZ:IND - one of the new CBOE volatility indexes based on ETFs, this one measures implied volatility of EWZ ETF. Unfortunately there does not seem to be any other Brazil volatility index at this time. Can Bovespa get its own vol index?

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  1. Anonymous12/30/2011

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