New JPX JGB Futures Volatility Index
JPX JGB Futures Volatility Index will be calculated based on settlement price of JGB Futures Option contracts listed on TSE, and it will indicate the future volatility of 10-year JGB Futures contract. The index will be a benchmark to measure market expectation of 10-year JGB Futures market volatility over a certain period of time in the future, for the index uses aggregated information of settlement price of all strike prices with certain maturity/expiration date.
1. Outline of Index
Index Name: JPX JGB Futures Volatility Index
Calculation Method: Calculated from settlement price of all strike prices in the first and second contract month of put and call options of JGB Futures
Start of Publication: November 1, 2013
Frequency of Calculation: Daily (Index data of previous trading day will be published)
Publication of Index Value: Published on the TSE website 10:00AM JST