S&P DJI, JPX launch real-time index
Access to intraday moves of the S&P/JPX JGB VIX index helps global investors manage volatility trades in Japan’s bond market
11 Jul 2019 | The Asset

S&P Dow Jones Indices (S&P DJI), Japan Exchange Group (JPX) and its group company Osaka Exchange (OSE) have launched the S&P/JPX JGB VIX Real-time Index, which went live on July 10. This new real-time index reflects the intraday moves of the S&P/JPX JGB VIX Index, which is currently calculated on end-of-day basis to measure the implied volatility of Japanese government bonds using options on JGB futures listed on the OSE.

The S&P/JPX JGB VIX Index, launched in October 2015, adopts the methodology of the CBOE Volatility Index® (VIX® Index), a global gauge of equity market volatility introduced by the Chicago Board Options Exchange®. The index, the first fixed-income volatility benchmark in Japan and the second in the world, provides a measure of the 30-day implied volatility of 10-year JGB futures and is calculated based on the put and call options on those contracts.

The new index will provide a real-time measure of the 30-day implied volatility intraday during JGB futures trading hours. It could support the growth of volatility trading strategies in Japan as well as global markets as Japanese government bonds and JGB futures are one of the most widely traded fixed income instruments worldwide. 

“Since its market launch in 2015, the S&P/JPX JGB VIX Index is now a widely recognized and closely followed benchmark among Japan’s financial institutions,” says Alex Matturri, CEO of S&P Dow Jones Indices.

“We are pleased to mark this second phase of our collaboration with S&P DJI to provide the real-time version of this popular volatility index,” says Hiromi Yamaji, President & CEO at OSE and board member at JPX. “This real-time index allows us to provide more timely guidance on the volatility of JGB futures and opens up additional opportunities for options and futures trading as we seek to meet increased demand from Japanese and global investors for risk management tools in the fixed-income space.” 

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