CHICAGO, Feb. 9, 2011 /PRNewswire/ --The Chicago Board Options Exchange (CBOE) and Standard & Poor's (S&P) announced today that Hang Seng Indexes Company Limited (Hang Seng Indexes) will begin disseminating a volatility index for the Hang Seng Index on February 21, 2011, which will use the CBOE Volatility Index (VIX) methodology.
The new HSI Volatility Index (VHSI) will reflect expected equity market volatility over the next 30 days, using bid/ask quotes for Hang Seng Index options traded on the derivatives market of Hong Kong Exchanges and Clearing Limited to calculate a weighted average of the implied volatility of the options using the proprietary VIX methodology owned by CBOE.
The HSI Volatility Index has been created under a licensing agreement with Standard & Poor's with the permission of CBOE. Standard & Poor's will calculate and maintain the HSI Volatility Index, calculated back to January 2, 2001.
"We welcome Hang Seng indexes to the growing international roster of major index providers now using CBOE's VIX methodology to calculate volatility. We are excited about further broadening the application of CBOE's VIX methodology in Asia through our long-standing partnership with S&P," said CBOE Executive Vice President Richard DuFour. "As the benchmark of the Hong Kong Stock Market, the Hang Seng Index is one of the best known indices in Asia."
"S&P, along with CBOE, has been active over the last several months in bringing the VIX methodology to key markets throughout the world — including Canada, Australia and now Hong Kong," said Robert Shakotko, Managing Director at S&P Indices. "This new Index will not only serve as a key market measure of risk, but will also lead to the development of a volatility trading and hedging market in Hong Kong."
CBOE, through its partnership with Standard & Poor's, has licensing agreements allowing other exchanges — including NYSE Euronext, Taiwan Futures Exchange, National Stock Exchange of India, the Australian Stock Exchange, and the TMX Group — to use the VIX methodology.