FTSE Launches the FTSE Implied Volatility Index Series

London - 27 February 2013

FTSE Group (“FTSE”), the award winning global index provider, today announces the launch of the FTSE Implied Volatility Index Series (IVI), an end-of-day index series that measures the implied volatility of the FTSE 100 and FTSE MIB indices.

The new indices provide an estimate of the market’s volatility expectations on the underlying index between now and the index options’ expiration, enabling investors to make better informed risk management and trading decisions.

Peter Gunthorp, Managing Director, Research & Analytics, FTSE Group said: “We are delighted to announce the launch of the FTSE Implied Volatility Index Series, which provides investors with an indicator of market sentiment and potential future volatility. The new index series is calculated using an improved algorithm which captures the curvature of the index option price profile better than other approaches.”

Sudir Raju, Managing Director, ETP Relationships – EMEA, FTSE Group said: “Volatility is a key component in the pricing of structured products and volatility indices are widely used as the underlying for tradable volatility products. The FTSE IVI allows a wider investor base, including institutional and retail investors, asset allocators and hedge funds, to observe equity index volatility more easily.”

For each market 30, 60, 90 and 180 day implied volatility estimates are available. Additionally, a 360 day implied volatility estimate is available for the FTSE 100. All indices are calculated and disseminated on an end of day basis and are managed in accordance to FTSE’s world class standards of index design, which emphasises transparency, independence, innovation and strong governance.

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