The Japan Exchange Group (JPX) will launch a new volatility index later this year, measuring the implied volatility of Japanese government bonds using options on JGB futures.
JPX along with the Osaka Exchange and S&P Dow Jones Indices will introduce the S&P/JPX JGB VIX Index after obtaining a license from the Chicago Board Options Exchange to use its methodology for calculating volatility indices.
“We expect that this transparent Index will not only serve as a leading benchmark for measuring the volatility of Japanese government bonds, but will play an important role for comparing volatility across different global markets,” said Alex Matturri, CEO of S&P DJI.
The new benchmark will become the first ever full-scale fixed income volatility index available in the Japan market and the second globally after the CBOE/CBOT 10-year US Treasury Note Volatility IndexSM launched in the US in 2013.
“We are confident that the investment community will benefit tremendously from this powerful measure of market risk,” said Hiromi Yamaji, president and CEO at OSE and director at JPX.