FTSE and NYSE Euronext launch FTSE 100 volatility index

Index provider FTSE and NYSE Euronext have launched the FTSE 100 Volatility index which is designed to capture implied volatility embedded in the price of FTSE 100 options traded on Liffe, the derivatives trading arm of Euronext.

The index represents the implied volatility on the FTSE 100 allowing investors to anticipate variations of the FTSE 100 in 30 calendar days. It is calculated using the prices of FTSE 100 options covering out of the money strike prices. Euronext Indexes will act as the supervisor and will be responsible for setting the rules and using the Vix methodology of the index.

Vix is a sentiment indicator for the US market based on the S&P 500 index option prices on the Chicago Board Options Exchange.

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