Published On: Mon, Nov 15th, 2010

BSE Launches First Ever Realized Volatility (REALVOL) Index in India

Bombay Stock Exchange on Friday, Nov 12, 2010, launched the SENSEX Realized Volatility (REALVOL) Index – the first of its kind in India. Realized volatility is a measure of actual price volatility, based on past price movements over a specific period of time. The SENSEX Realized Volatility (REALVOL) Index will provide market participants with an accurate measure of the historic volatility of the SENSEX over fixed 1-, 2-, and 3-month time horizons. BSE intends to launch financial products based on the REALVOL and other new indices in the near future, as one of many parts of its broader strategy to strengthen the Exchange’s existing equity derivatives segment.

Madhu Kannan, MD & CEO, BSE, said, “The introduction of the SENSEX Realized Volatility Index, the first of its kind in India, represents an important, new innovation that will give market participants a new way to measure and mitigate market risk. BSE plans to launch futures & options contracts on BSE’s new family of realized volatility indices after the required approvals are received. We are also exploring offering of licensing options to structured product providers, who wish to create variance and volatility swaps based on the SENSEX REALVOL Index.”

To know more about the SENSEX REALVOL Index, please visit: www.bseindia.com/realvol

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