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?

AlphaShares China Volatility Index

There is a (relatively) new volatility index, that I think does not get as much attention as it should - the AlphaShares China Volatility Index, ASCNCHIX, or CHIX. I won't pretend to be an economist, but Chinese volatility is an important factor to consider for all traders and investors. The index is also interesting because it is actually composed of two underlying indexes.

The description on Bloomberg website here is actually somewhat misleading: "The AlphaShares Chinese Volatility Index measures the implied volatility of options on the FTSE Xinhua China 25 and Hang Seng (HSI) indices." In a private email Alphashares representative explained that the index is an equal-weighted average of  ATM volatilities of FXI ETF (US) and HSI (HK) .

Over the last five years VIX and CHIX moved in tandem, with CHIX about 1.5 times the VIX. However in the last 3 months this ratio fell below 1, with CHIX trading below VIX.

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.