JP Morgan launches forex volatility index

Risk staff
01 Jan 2007

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JP Morgan has launched indexes tracking the level of implied volatility in G7 and emerging market economies.

The VXY and EM-VXY indexes follow aggregate volatility in currencies through a turnover-weighted index of G7 and emerging market volatility, based on three-month at-the-money forward options. The indexes are designed to allow investors to measure aggregate risk premiums in currency markets, calibrate trading strategies and express views on volatility as an asset class.

John Normand, global

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