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Where is the FTSE volatility index?
Posted: Fri Jul 05, 2019 2:24 pm
by CaptainMarvel
Hi all,
Euronext discontinued the calculation and publication of the FTSE 100 volatility index (VFTSE) as of 28 June 2019. Has it moved elsewhere? Is there no more real-time FTSE vol index? Surely there must be contracts that depend on this out there.
Thanks
Where is the FTSE volatility index?
Posted: Thu Jul 11, 2019 12:40 am
by Baltazar
Did you find anything to replace it?
Where is the FTSE volatility index?
Posted: Thu Jul 11, 2019 10:45 am
by Kitno
I'd bet that the docs will refer to a stated dealer calculation agent in the event the index ceases...!
Although small problem if that dealer is Deutsche Bank Applause
Where is the FTSE volatility index?
Posted: Thu Jul 11, 2019 3:24 pm
by CaptainMarvel
I had a model that used it as a signal but luckily I had an idea just prior to this that allowed me not to have to depend on it - it was too noisy anyway. Neither Euronext nor my data provider (not BBg) can tell me if it will appear elsewhere. The S&P vix indexes keep expanding with the vol of vix etc. It was always odd to me that the FTSE vix was in Amsterdam (which has different holidays from the UK) but now the UK will have no vix at all? Is it Brexit? ICE ought to publish it as it is based on ICE futures options but I can't find anything in ICE.