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