FTSE FACTSHEET
FTSE 100 Implied Volatility Index
The FTSE 100 Implied Volatility Index (IVI) is a volatility index, which measures the interpolated
30,60, 90, 180 and 360 day annualised implied volatility of the underlying FTSE 100 Index.
underlying index between now and the
index options expiration, enabling
FTSE 100 IVI Implied Volatility
| 30 Day Volatility | 60 Day Volatility | 90 Day Volatility | 180 Day Volatility | 360 Day Volatility
| mean | max | min | mean | max | min | mean | max | min | mean | max | min | mean | max | min
2015
2014
2013
2012
2011
Since 2000
17.1
44.0
10.9
17.4
32.9
11.9
17.8
33.4
12.9
18.3
24.7
14.4
18.7
22.9
16.2
13.8
25.1
9.8
14.1
23.5
11.1
14.5
23.7
11.5
15.9
22.7
13.5
16.8
23.0
14.9
17.1
14.3
17.9
23.6
21.5
44.0
10.9
17.4
32.9
11.9
17.8
33.4
12.9
18.3
24.7
14.4
18.7
22.9
16.2
22.1
10.8
14.8
21.3
12.0
15.2
21.3
12.0
16.8
21.2
14.3
18.1
21.3
16.4
45.5
12.4
23.6
41.4
16.1
23.7
38.3
15.1
25.4
38.8
19.1
25.6
34.3
21.0
27.4
84.8
12.3
9.0
18.8
21.6
27.7
64.2
12.8
9.1
19.4
21.5
28.7
55.1
14.3
9.0
22.1
22.6
30.3
49.6
16.5
10.2
23.8
22.6
29.5
43.8
18.6
11.2
investors to make better informed risk
management and trading decisions.
Eligibility
The index is comprised of out-of-themoney put and call options from two
expirations which span the period of
interest.
The price of each option reflects the
markets expectation of future volatility.
Transparency
FTSE 100 IVI Implied Volatility
95
7500
75
6500
85
The indices are managed according to a
transparent and publicly available set of
7000
65
6000
55
5500
45
5000
35
4500
25
rules.
FTSE 100
FTSE 100 IVI
Objective
markets volatility expectations on the
market, where the price of each option represents a market expectation of future volatility.
1Y
FEATURES
The index provides an estimate of the
Expected volatility is calculated from the prices of out-of-the money options available in the
Year
Data as at: 31 December 2015
4000
15
5
Jan00 Jan01 Jan02 Jan03 Jan04 Jan05 Jan06 Jan07 Jan08 Jan09 Jan10 Jan11 Jan12 Jan13 Jan14 Jan15
FTSE 100 IVI 30 Day Index
FTSE 100 IVI 180 Day Index
FTSE 100 IVI 60 Day Index
FTSE 100 IVI 360 Day Index
3500
3000
FTSE 100 IVI 90 Day Index
FTSE 100 Index
Source: FTSE Group as at 31 December 2015. Past performance is no guarantee of future results. Please see disclaimer for important legal information.
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FTSE 100 Implied Volatility Index
Data as at: 31 December 2015
FTSE 100 IVI Correlation Implied Volatility & Index Level
|
|
Year
YTD
mean
0.0
30 Day Correlation
max
0.5
min
-0.5
|
|
mean
-0.7
2015
-0.7
0.4
-1.0
-0.7
2013
-0.6
0.0
-0.9
-0.8
-0.7
2014
0.0
-0.8
2012
2011
0.0
-0.8
Since 2000
-0.9
0.0
-0.7
FTSE 100 IVI Realised and Implied Volatility
Year
YTD
|
|
17.1
2015
17.1
2013
14.3
RV
-0.7
13.8
2014
2012
2011
|
|
0.0
-0.9
0.0
-0.9
-0.9
IVI
17.8
RV
-0.7
15.2
12.1
23.7
19.6
18.1
Tickers
IVUKX30
IVUKX60
IVUKX90
IVUKX180
IVUKX360
90 Day Volatility
11.6
20.5
Index Rules
[Link]
-0.9
16.6
21.5
Historical Data
04 January 2000
-0.9
17.8
14.3
Index Calculation
End of Day
-0.8
16.3
17.9
Index Launch
18 February 2013
min
-0.9
-0.1
10.3
23.6
Since 2000
0.0
-0.8
30 Day Volatility
IVI
-0.1
0.0
-0.5
-1.0
max
0.0
-0.9
-0.9
0.1
-0.8
-1.0
INFORMATION
90 Day Correlation
14.5
9.9
19.4
16.2
21.5
18.6
90
0.6
70
0.2
80
0.4
60
0.0
50
-0.2
40
-0.4
30
-0.6
20
-0.8
10
0
May 09
Correlation
Realised/Implied Volatility
FTSE 100 Implied and Realised Volatility
Nov 09
May 10
Nov 10
FTSE 100 IVI 30 Day Implied Volatility
May 11
Nov 11
May 12
Nov 12
FTSE 100 30 Day Realised Volatility
May 13
Nov 13
May 14
-1.0
Nov 15
FTSE 100 IVI 30 Day Correlation
Data definitions available from [Link]
2015 London Stock Exchange Group companies.
London Stock Exchange Group companies includes FTSE International Limited (FTSE), Frank Russell Company (Russell), MTS Next Limited (MTS), and FTSE TMX Global Debt Capital
Markets Inc (FTSE TMX). All rights reserved.
FTSE, Russell, MTS, FTSE TMX and FTSE Russell and other service marks and trademarks related to the FTSE or Russell indexes are trade marks of the London Stock
Exchange Group companies and are used by FTSE, MTS, FTSE TMX and Russell under licence. All information is provided for information purposes only. Every effort is made to ensure that all
information given in this publication is accurate, but no responsibility or liability can be accepted by the London Stock Exchange Group companies nor its licensors for any errors or for any
loss from use of this [Link] the London Stock Exchange Group companies nor any of their licensors make any claim, prediction, warranty or representation whatsoever, expressly
or impliedly, either as to the results to be obtained from the use of the FTSE 100 Implied Volatility Index or the fitness or suitability of the FTSE 100 Implied Volatility Index for any particular
purpose to which it might be put.
The London Stock Exchange Group companies do not provide investment advice and nothing in this document should be taken as constituting financial or investment advice. The London
Stock Exchange Group companies make no representation regarding the advisability of investing in any asset. A decision to invest in any such asset should not be made in reliance on any
information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. The general information contained in this
publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional.
No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise,
without prior written permission of the London Stock Exchange Group companies. Distribution of the London Stock Exchange Group companies index values and the use of their indexes to
create financial products require a licence with FTSE, FTSE TMX, MTS and/or Russell and/or its licensors. The Industry Classification Benchmark (ICB) is owned by FTSE. FTSE does not
accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual trading of
investable assets. Certain returns shown may reflect back-tested performance. All performance presented prior to the index inception date is back-tested performance. Back-tested
performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officially launched.
However, back- tested data may reflect the application of the index methodology with the benefit of hindsight, and the historic calculations of an index may change from month to month
based on revisions to the underlying economic data used in the calculation of the index.
For further information visit [Link],
email info@[Link] or call your local FTSE office:
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Source: FTSE Group as at 31 December 2015. Past performance is no guarantee of future results. Please see disclaimer for important legal information.
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