Published On: Sat, Sep 3rd, 2011

Asia August 2011 Volatility Summary

August 2011 Asia VolatilityVolatility this past August reached highs, not seen since early 2009 when markets had reached their post-GFC low, in response to the credit downgrade leveled by Standard & Poor’s on the United States AAA rating. The downgrade came on Friday August 5 when Asia’s markets were closed allowing media outlets to put the fear of God into traders over the weekend with doomsayer predictions and end of the world forecasts. And in their wake August 9 saw huge spikes in volatility.

Australia’s S&P/ASX 200 VIX closed at 42.58 with the previous 20 day volatility averaging just 22.74. The 200 moving average has just been 19.25

The rest of Asia was no different with the KOSPI 200 Volatility Index seeing the highest volatility in the zone spiking 372% to 70.33 from its month low of 19.17. This volatility index finished the month down at 28.05.

Hong Kong’s HSI Volatility Index (VHSI) saw its August high at 58.61 more than 291% above its 200 Day moving average. While the Index did close at 21.29, just 1.17 points above the 200MA, it is interesting to note that despite the HKEx’s large market capitalization its volatility change in August was second only to the Korea Exchange, a much smaller bourse. The KRX has the largest option product in the world and the HKEx has a growing index option business and is dominant in warrant derivatives.

India came in at the lower end of the scale in terms of the magnitude of change in its VIX Index moving only 72% above its 200MA (High 37, 200MA 21.55).

By the end of the month markets began to return to their pre-downgrade level with the S&P/ASX 200 VIX closing at 28.55 and the India VIX at 24.88.

Data was provided by the National Stock Exchange of India, the Hang Seng Indexes Company, the Australian Stock Exchange and Bloomberg.

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