Nikkei Stock Average Volatility Index

16.79
-3.45% -0.60 May/17/2024(15:20)
Open 17.27 09:00
High 17.38 09:24
Low 16.79 14:25

Overview

The Nikkei Stock Average Volatility Index (Nikkei 225 VI) indicates the expected degree of fluctuation of the Nikkei stock Average (Nikkei 225) in the future. The greater the index values are, the larger fluctuation investors expect in the market.

  • Chart
    Nikkei Stock Average Volatility Index
  • Constituents
    Nikkei 225 Options
  • Underlying index
    Nikkei 225
  • Calculation Method
    • The Nikkei Stock Average Volatility Index are calculated by using prices of Nikkei 225 futures and Nikkei 225 options on the Osaka Exchange (OSE).
    • In the calculation, taking near-term future price as the basis of ATM, the volatility of near-term option and next-term option are calculated with OTM option prices of each delivery month.
    • The index value is calculated by linear interpolation or linear extrapolation between the volatilities of each delivery month to make the time to expiration as 30 days.
  • Calculation frequency
    Real time (every 5 seconds)
  • Commencement date
    November/19/2010
  • Inception date
    June/12/1989