The Nikkei 225 VI Futures Index is designed to reflect the daily price fluctuation of a position that combines the near-term and the next-term Nikkei Stock Average Volatility Index Future (Nikkei 225 VI Future) prices at specified weights. The weights are adjusted daily to keep the maturity of the combined future contracts constant as the term exact one month.
The Nikkei 225 VI Futures Index is calculated on the Nikkei 225 VI Futures on the Osaka Exchange. The Nikkei 225 VI Futures are the future contracts based on the Nikkei Stock Average Volatility Index (Nikkei 225 VI), which indicates how market participants expect fluctuation of the Nikkei 225.
The Nikkei 225 VI Futures Index is calculated using prices of the near-term (first -term) and next-term (second-term) contracts of the Nikkei 225 VI Futures. The index reflects the daily price fluctuation of the combined futures. The combined future contract with exact one month maturity is composed by changing the weights for the two future contracts on a daily basis.
The index was first published on December 3, 2012. The inception value was 100,000 points on February 27, 2012 (base date). The index has been calculated and published on the end-of-day basis.