Wednesday, August 1, 2007

Euronext Adding Three New Volatility Indices

Euronext, the European arm of NYSE Euronext, recently announced the creation of three new volatility indices: the AEX Volatility Index; the BEL 20 Volatility Index; and the CAC 40 Volatility Index. These indices will be calculated in the same manner as the current VIX methodology and will be launched on September 3, 2007.

Euronext has also historical data available for download for all three indices and has some summary information available for each index:

The three new volatility indices will compete with the VDAX, which is the incumbent volatility index of choice for the European markets and also a product of the Deutsche Börse.

It should come as no surprise that volatility products are proliferating in the US and across the globe, with volatility in the headlines as of late, demand for these products growing rapidly, and the battle for supremacy among the major exchanges heating up at the same time. I wonder, though, given that we already have a volatility index for the Frankfurt Stock Exchange, do we gain anything significant by adding new ones for Amsterdam, Brussels and Paris as well?

1 comments:

Bill said...

If one were to make the (dubious) assumption that fear was non-correlated across different countries' indices, one could use VIX based timing to enter/exit a basket of stock markets.

Nah ....

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