Euronext to launch volatility indexes

Euronext will launch its first three volatility indexes on September 3: the AEX Volatility Index, the BEL20 Volatility Index and the CAC40 Volatility Index.

Euronext hopes the launch will stimulate the trading of standard index options and variance futures available from its derivatives business, Liffe.

Mark Adema, general manager at Euronext Indices, said: “Volatility has become a much-discussed topic in financial markets, and the arrival of these indexes will be a welcome tool for market participants to improve their perception of the market.”

AEX Volatility, BEL 20 Volatility and CAC 40 Volatility indexes follow the methodology used to calculate the VIX measure of S&P 500 volatility used by the Chicago Board Options Exchange. The three Euronext indexes measure volatility on the Euronext AEX in Amsterdam, the Euronext Brussels exchange and the Paris Bourse.

The volatility indexes calculate annualised implied volatility over the next 30 days from the prices of out-of-the-money index call and put options, and the risk-free interest rate.