VDAX NEW

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VDAX NEW
ISIN DE000A0DMX99
WKN A0DMX9
symbol V1X
RIC .V1Xi
Bloomberg code V1X

The VDAX-NEW is a volatility index calculated and published by Deutsche Börse AG . It measures the implied volatility for the leading German share index DAX - i.e. its expected range of fluctuation - for the period of the next 30 days and is quoted in annualized form. The calculation is based on the "at-the-money" and "out-of-the-money" DAX options traded on the EUREX futures exchange . A high VDAX-NEW value indicates a restless market, while low values ​​suggest a development without strong price fluctuations. The VDAX-NEW is therefore also known as the »fear barometer«. In principle, it does not provide any information about the direction of the change, i.e. rising or falling prices, but the historical highs were reached in difficult market phases. The VDAX-NEW achieved its highest value to date with an index level of 93.3 on March 16, 2020 during the COVID-19 pandemic , on this day it also reached its historically highest daily closing price of 86.01 points.

In contrast to its predecessor, the VDAX , the VDAX-NEW can be replicated with a portfolio of options actually traded on the futures market on the DAX as an underlying . It is therefore basically suitable for investments that are intended to make volatility tradable as a separate asset class .

The VDAX-NEW has been determined every minute every trading day since April 18, 2005 from 9:15 a.m. to 5:30 p.m. Deutsche Börse provides a historical time series of the VDAX-NEW on a daily basis since January 2, 1992 in a back calculation.

Eurex stopped trading futures contracts on the VDAX-NEW on July 1, 2009. This means that there are no longer any certificates that run on the VDAX-NEW. Since then, it has only been calculated by Deutsche Börse.

The method for calculating the VDAX-NEW was developed by Deutsche Börse in cooperation with the investment bank Goldman Sachs . The VSTOXX (volatility index for the Euro Stoxx 50 share index) and the VSMI (volatility index for the Swiss Market Index ) are calculated using the same calculation method.

The VDAX-NEW is intended to replace the VDAX, which differs in terms of duration and calculation method, in the medium term.

Sub-indices

In addition to the main index, eight sub-indices for option periods from one month to two years are published for the VDAX-NEW. The sub-indices are calculated from the variance of a specially designed options portfolio that reacts exclusively to fluctuations in the underlying , i.e. the DAX. The main index VDAX-NEW is interpolated from the next two sub-indices to 30 days.

The expiry dates of the options on which the sub-indices are based can be derived from the respective index code V1 mj . M denotes the month of expiry, starting with A for January to L for December; j stands for the last digit of the expiry year (0, ..., 9). The index labeled VML9 thus denotes the sub-index with the option maturity date on the third Friday in December 2009.

Deutsche Börse also publishes sub-indices that are tied to a fixed term under fixed ISINs . The respective options with a fixed expiry date change the sub-index affiliation according to their remaining term on the respective date.

Calculation example

With an assumed index level of the DAX of 5000 points and the VDAX-NEW of 25 (percentage) points, market participants expect the DAX to fluctuate over the next 30 days (with a confidence interval of 68%) in the range of

The market participants therefore expect the DAX to be between 4642 points and 5358 points with a probability of 68% within 30 days. The annualized representation using the root term must be converted to a period of 30 days.

To be more precise: If the price increased from 5000 to 5358, the factor would be 1.071672772. Since the returns are assumed to be normally distributed, there is the same probability for the price (according to the Black-Scholes assumption, the "returns" are normal and the underlyings, however, are lognormally distributed!). The probability of 68% also relates to the assumption of normal distribution. Almost all stock exchange listings, however, are not distributed lognormally: In contrast to the normal distribution, their returns have peaks around the zero point and characteristics of the extreme returns.

Difference to the VDAX

Compared to the VDAX, the VDAX-NEW has a few differences:

  • While the VDAX-NEW is interpolated from the next two sub-indices to 30 days, the VDAX is based on an option period of 45 days.
  • The VDAX is not based on options actually traded, but on fictitious option prices. While a theoretical option price model is required to calculate the VDAX , the VDAX-NEW is determined from the variance of a special option portfolio.
  • The calculation of the VDAX is based exclusively on "at-the-money" options.

See also

Web links

Individual evidence

  1. DAX: All signs are green! In: Finanztreff.de. March 24, 2020, accessed July 30, 2020 .
  2. See VDAX-NEW and Sub-Indices. ( MS Excel ; 973 kB) (No longer available online.) Deutsche Börse AG, January 23, 2006, formerly in the original ; Retrieved November 7, 2009 .  ( Page no longer available , search in web archivesInfo: The link was automatically marked as defective. Please check the link according to the instructions and then remove this notice.@1@ 2Template: Dead Link / deutsche-boerse.com  
  3. eurex circular 113/09  ( page no longer available , search in web archivesInfo: The link was automatically marked as defective. Please check the link according to the instructions and then remove this notice.@1@ 2Template: Dead Link / www.eurexchange.com  
  4. Deutsche Börse AG website for VDAX-NEW  ( page no longer available , search in web archivesInfo: The link was automatically marked as defective. Please check the link according to the instructions and then remove this notice.@1@ 2Template: Dead Link / deutsche-boerse.com  
  5. The options traded on EUREX usually expire on the third Friday of the respective maturity month at 1:00 p.m. Strictly speaking, the VDAX-NEW sub-indices therefore indicate the volatilities up to the corresponding option expiration dates. In this sense, the sub-indices of the VDAX-NEW are based on option remaining terms of 1, 2, 3, 6, 9, 12, 18 and 24 months.