S&P Dow Jones Indices (S&P DJI) and the Brazil exchange, B3, have launched an implied volatility index to monitor Brazil’s domestic market.
The S&P/B3 Ibovespa VIX index measures near-term volatility implied by the Bovespa Index (Ibovespa), the main performance indicator of B3 traded stocks. It provides a 30-day view of the Brazilian market’s volatility expectations, with the goal of giving market participants a better understanding of the Brazilian equity market and a way to measure risk perception.
Cboe Global Markets’ Cboe Volatility Index (VIX) uses real-time, mid-quote prices of the S&P 500 Index call and put options to measure constant, 30-day expected volatility in the US stock market.
Henio Scheidt, manager of indices at B3, stated that “The options market in Brazil has reached a new level in terms of traded volume, which has allowed the launch of this index and made it possible to bring to the local market a methodology that is already well established in other parts of the world.”
VIX Index methodology has been licensed to a number of exchanges and index firms globally.
“The launch of the new B3 index underscores the universal utility and innovation of the VIX Index as a benchmark for equity market volatility, and also marks a significant step in enhancing the financial ecosystem across regions globally,” commented Catherine Clay, head of global derivatives at Cboe Global Markets.
©Markets Media Europe 2024
