Article by: Siân Williams
Published by: Futures and Options Intelligence
Date: 13 Dec 2010
“The Volatility Exchange (VolX) is considering launching contracts on the volatility of metals, rates and stock indices, its chief executive told FOi.
“The exchange has a patented methodology which calculates realised volatility over a specific time period. It uses closing prices of an asset over a defined period of one, three or twelve months to calculate the asset’s volatility over that period. It contrasts with the VIX methodology, which uses options to calculate implied volatility. Implied volatility is based on perceived volatility and realised volatility is actual volatility.
“The products are similar to volatility swaps and variance swaps, which are…”
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