ASX launches futures product for trading equity market volatility
SYDNEY, Oct. 21, 2013
SYDNEY, Oct. 21, 2013 /PRNewswire/ --ASX today commenced trading of S&P/ASX
200 VIX futures, a new exchange- traded product that allows users to trade,
hedge and arbitrage anticipated volatility in the Australian equity market.
The new S&P/ASX 200 VIX futures will allow market participants to trade
anticipated changes in volatility in a single transaction and in a manner
independent of the factors that normally complicate volatility strategies,
such as expiring options and price movements in the underlying market.
The S&P/ASX 200 VIX index (A-VIX), Australia's equity market volatility
benchmark and gauge of the near-term volatility in the Australian equity
market over the next 30 days, will be the underlying for the new futures
contract. S&P/ASX 200 VIX futures will allow users to isolate local equity
market volatility and avoid the timing, currency and matching risk incurred
when using volatility products based on offshore indices.
ASX Deputy CEO Peter Hiom said: "ASX is committed to providing new products to
meet the changing needs of the market. One of those needs is the ability to
trade in volatility as an asset class in its own right. S&P/ASX 200 VIX
futures will provide users with the opportunity to more easily and efficiently
hedge their investment portfolios against volatility, while also providing new
"The launch of S&P/ASX VIX futures is set to change how investors can measure
and trade the financial markets in Australia," says Alex Matturri, CEO of S&P
Dow Jones Indices. "Combining the premier global measure of market volatility,
the VIX, with the principal Australian equity benchmark, the S&P/ASX 200, will
provide Australian investors with an essential means of managing equity market
risk in their portfolio."
Dedicated market makers will provide liquidity for the futures contract which
will be listed alongside the current ASX SPI 200™ ^ contract to provide
additional trading opportunities.
S&P/ASX 200 VIX Futures:
oA futures product is a financial derivatives contract obliging the buyer
to purchase the contract or the seller to sell the contract at a
predetermined future date and price.
oS&P/ASX 200 VIX futures can be used either to hedge or to speculate on
movement in the S&P/ASX 200 VIX based on whether the investor expects high
or low levels of volatility.
oThey can be used to exploit the negative correlation between S&P/ASX 200
VIX and the S&P/ASX 200 to hedge equity portfolios.
oEnable investors to diversify their portfolios by adding volatility as an
asset class, with a low or negative correlation to other asset classes
including the AUD/USD exchange rate.
oAllows users to take advantage of pricing differentials between other
volatility indices and the term structure of volatility.
About S&P/ASX 200 VIX (A-VIX)
The S&P/ASX 200 VIX (A-VIX) is Australia's Market Sentiment Indicator and
equity market volatility benchmark. It is used by market participants and
watchers to monitor the anticipated level of near-term volatility in the
Australian equity market over the next 30 days. A high A-VIX value implies the
market expects high levels of equity volatility; conversely a low volatility
index value implies expectation of minimal change. The A-VIX is based on the
implied volatility of put and call options over the Australian equity
benchmark index, the S&P/ASX 200.
As part of this announcement, the ASX is now a member of the VIX Network, a
global network of exchanges with agreements regarding use of the CBOE
Volatility Index (VIX) methodology owned by Chicago Board Options Exchange,
ASX Group (ASX) is one of the world's leading exchange groups, ranked among
the top 10 by market capitalisation.
oWe operate a fully integrated exchange across multiple asset classes –
equities, fixed income and derivatives.
oWe service a wide range of retail, institutional and corporate customers,
directly and through intermediaries.
oWe offer a broad range of services that allow our customers to invest,
trade and manage risk. This includes listings, trading, post-trade
services, and technical and information services.
oWe operate infrastructure that supports the systemic stability of
Australia's financial markets and which is critical for the efficient
functioning of the nation's economy, economic growth and position in the
Asia Pacific region.
oMore information about ASX can be found at: www.asxgroup.com.au
About S&P Dow Jones Indices
S&P Dow Jones Indices LLC, a part of McGraw Hill Financial, is the world's
largest, global resource for index-based concepts, data and research. Home to
iconic financial market indicators, such as the S&P 500® and the Dow Jones
Industrial Average™, S&P Dow Jones Indices LLC has over 115 years of
experience constructing innovative and transparent solutions that fulfill the
needs of investors. More assets are invested in products based upon our
indices than any other provider in the world. With over 830,000 indices
covering a wide range of asset classes across the globe, S&P Dow Jones Indices
LLC defines the way investors measure and trade the markets. To learn more
about our company, please visit www.spdji.com.
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The VIX® -- CBOE Volatility Index® methodology is the property of Chicago
Board Options Exchange, Incorporated ("CBOE"). CBOE has granted S&P Dow Jones
Indices LLC a license to use such methodology to create the S&P/ASX 200 VIX
Index. S&P has granted ASX Ltd a license to use and distribute the S&P/ASX 200
VIX Index, and to use it as the basis for S&P/ASX 200 VIX futures contracts,
with the permission of CBOE. Neither CBOE nor S&P or their respective
affiliates, sponsors, endorses, sells or promotes any investment product that
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