S&P DJI partnering in volatility index for Japanese government bonds

By Wendy Van Sickle

Columbus, Ohio, July 22 – S&P Dow Jones Indices LLC and Japan Exchange Group Inc. will launch a new joint index to measure the implied volatility of Japanese government bonds, according to a Wednesday press release.

The S&P/JPX JGB VIX Index uses options on Japanese government bond futures listed on Japan Exchange Group’s Osaka Exchange, according to the release.

The new index uses the methodology for the CBOE Volatility Index and will be the first “full-scale fixed income volatility index available in the Japan market, with index calculation expected to start later this year,” the release states.

The CBOE Volatility Index, also called the VIX Index, measures the stock market’s expectation of 30-day volatility, as implied by S&P 500 Index options prices. “S&P DJI calculates various benchmarks tracking the performance of the futures contracts that settle to the VIX Index, as well as other indices that employ the VIX Index methodology,” the release states.

CBOE has granted S&P DJI the exclusive rights to license third parties to use certain of its indices, proprietary index methodologies and related marks and data.

New York-based S&P Dow Jones Indices is a part of McGraw Hill Financial and provides index-based concepts, data and research.

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