S&P/ASX 200 VIX available in real-time

From 28 February, Australia’s equity market volatility benchmark, the S&P/ASX 200 VIX (VIX), will be made available in real-time.

This will provide the market with intra-day volatility information and importantly, enables ASX to create derivative products for hedging and trading the volatility asset class.

The real-time S&P/ASX 200 VIX will replace the current end-of-day VIX index by using the real-time bid/ask prices of S&P/ASX 200 index options to calculate the VIX index value.

The VIX is a tool for investors, financial media, researchers and economists to monitor the level of near-term volatility in the Australian benchmark equity index. The level of the VIX implies market expectations of volatility in the S&P/ASX 200 over the next 30 days and provides an indicator of investor sentiment.

ASX Deputy CEO Peter Hiom said: “Over the past few years of global economic uncertainty, volatility has emerged as an asset class in its own right. As a consequence, we have seen the global development of derivatives products that can hedge, trade and diversify investment portfolios against volatility.

“In Australia, customer appetite for derivative products over the VIX has grown since the launch of the end-of-day VIX index in 2010. The real-time VIX is an important pre-requisite for ASX to launch VIX futures, which we are on track to deliver towards the second half of this calendar year.”

“The real-time S&P/ASX 200 VIX constitutes an exciting step forward in the development of the Australian financial services industry,” said Guy Maguire, Head of S&P Dow Jones Indices in Australia. “The Index will allow Australian investors to gauge equity market volatility, while also serving as the basis for future investment products.”

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