Euronext to launch volatility indexes
Stock exchange Euronext is to launch three volatility indexes to capture implied volatility embedded in option prices. The AEX Volatility Index, the BEL 20 Volatility Index and the CAC 40 Volatility Index can be used as underlyings for structured products and ETFs.
The volatility indexes are launched to stimulate the trading of standard index options and variance futures available from Liffe, the derivatives trading arm of Euronext. The AEX Volatility Index, BEL 20 Volatility Index and CAC 40 Volatility Index all follow the current VIX methodology, a sentiment indicator for the US market based on the S&P 500 Index option prices listed on the Chicago Board of Exchange (CBOE).
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