A new family of volatility indices that will track the Dax, Stoxx, and SMI equity indices will launch this September.
The new indices, the VDax-New, VStoxx and VSMI, are based on a methodology jointly developed by Deutsche Börse and Goldman Sachs that takes into account all relevant option prices on the Eurex derivatives exchange, including all but the most out-of-the-money options.
Deutsche Börse, Stoxx and the Swiss Exchange (SWX), which run the Dax, Stoxx and SMI indices, will also launch futures contracts on the new volatility indices.
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