S&P Dow Jones Indices (S&P DJI), Japan Exchange Group (JPX) and its group company Osaka Exchange entered into a strategic agreement to jointly introduce a full-scale fixed income volatility index in Japan.
The S&P/JPX JGB VIX Index, which measures the implied volatility of Japanese government bonds using options on JGB futures listed on OSE, is constructed using the methodology for the CBOE Volatility Indexâ (VIXâ Index), the world’s leading gauge of equity market volatility, the companies say in a joint statement.
The new benchmark will become the first ever full-scale fixed income volatility index available in the Japan market, with index calculation expected to start later this year.
Under this agreement, the S&P/JPX JGB VIX Index will be co-sponsored by S&P DJI and JPX, which have obtained a license from the Chicago Board Options Exchangeâ (“CBOEâ”) to use its methodology for calculating volatility indices. Employing the VIX methodology, this Index is only the second of its kind in the global fixed-income space, after the CBOE/CBOT 10-year U.S. Treasury Note Volatility IndexSM (TYVIXSM Index) launched in the US in 2013.
“We are excited to collaborate with JPX and OSE to launch the S&P/JPX JGB VIX, which will be based on CBOE’s widely recognized methodology,” comments Alex Matturri, CEO of S&P DJI.“We expect that this transparent Index will not only serve as a leading benchmark for measuring the volatility of Japanese government bonds, but will play an important role for comparing volatility across different global markets.”
“S&P DJI is the world’s leading provider and distributor of financial market indices and we are pleased that our collaboration has been taken to a new level with the launch of this robust Index,” said Hiromi Yamaji, president and CEO at OSE and Director at JPX. “We are confident that the investment community will benefit tremendously from this powerful measure of market risk.”
The CBOE Volatility Index, otherwise known as the VIX Index, is the leading measure of the stock market’s expectation of 30-day volatility, as implied by S&P 500 Index (SPX) options prices. S&P DJI calculates various benchmarks tracking the performance of the futures contracts that settle to the VIX Index, as well as other indices that employ the VIX Index methodology.
CBOE has granted S&P DJI the exclusive rights to license third parties to use certain CBOE indices, proprietary index methodologies, and related marks and data, such as in connection with structured products based on the VIX Index.
