TSE News

About New "JPX JGB Futures Volatility Index" (Tentative Calculation and Publication)

Update : Nov. 01, 2013

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[Tokyo Stock Exchange, Inc.]

Tokyo Stock Exchange, Inc. (TSE) will start calculating and publishing a new index “JPX JGB Futures Volatility Index”, an index that shows the volatility of 10-year Japanese Government Bond Futures contracts, from November 1, 2013.
JPX JGB Futures Volatility Index will be calculated based on settlement price of JGB Futures Option contracts listed on TSE, and it will indicate the future volatility of 10-year JGB Futures contract. The index will be a benchmark to measure market expectation of 10-year JGB Futures market volatility over a certain period of time in the future, for the index uses aggregated information of settlement price of all strike prices with certain maturity/expiration date.

1. Outline of Index

Index Name JPX JGB Futures Volatility Index
Calculation Method Calculated from settlement price of all strike prices in the first and second contract month of put and call options of JGB Futures
Start of Publication November 1, 2013
Frequency of Calculation Daily (Index data of previous trading day will be published)
Publication of Index Value Published on the TSE website 10:00AM JST

2. Disclaimer

JPX JGB Futures Volatility Index is an intellectual property of JPX Group, Inc. and all rights on the index including but not limited to calculation, publication and use of the index are reserved by the JPX Group.
The calculation and publication of the index is scheduled to be tentative as of today and change in the index or termination of the index will be separately announced.

Contact

Tokyo Stock Exchange, Inc. Derivatives Dept.
Phone: +81-(0)50-3377-7629 / E-mail:tdex-biz@jpx.co.jp

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