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CaptainMarvel


Total Posts: 2
Joined: Jul 2019
 
Posted: 2019-07-05 14:24
Hi all,
Euronext discontinued the calculation and publication of the FTSE 100 volatility index (VFTSE) as of 28 June 2019. Has it moved elsewhere? Is there no more real-time FTSE vol index? Surely there must be contracts that depend on this out there.
Thanks

Baltazar


Total Posts: 1773
Joined: Jul 2004
 
Posted: 2019-07-11 00:40
Did you find anything to replace it?

Qui fait le malin tombe dans le ravin

Kitno


Total Posts: 392
Joined: Mar 2005
 
Posted: 2019-07-11 10:45
I'd bet that the docs will refer to a stated dealer calculation agent in the event the index ceases...!

Although small problem if that dealer is Deutsche Bank Applause

"Yeh, after that blow out I bid the bonds at 76 and you hit man...You're 77/81 now? Cool man...What? Do I care at 80? No mate... I'm 73 bid now...I'm sure you didn't just load up just for me...".

CaptainMarvel


Total Posts: 2
Joined: Jul 2019
 
Posted: 2019-07-11 15:24
I had a model that used it as a signal but luckily I had an idea just prior to this that allowed me not to have to depend on it - it was too noisy anyway. Neither Euronext nor my data provider (not BBg) can tell me if it will appear elsewhere. The S&P vix indexes keep expanding with the vol of vix etc. It was always odd to me that the FTSE vix was in Amsterdam (which has different holidays from the UK) but now the UK will have no vix at all? Is it Brexit? ICE ought to publish it as it is based on ICE futures options but I can't find anything in ICE.
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