JPMorgan launches benchmark indices for G-7 and emerging market implied volatility

e-mail print

Dec 14, 2006

Press Release

London, 12 December 2006 – JPMorgan announced the launch of VXY™ and EM-VXY™, the first benchmark indices for the level of G-7 and emerging market implied volatility.

The indices track aggregate volatility in currencies through a simple, turnover-weighted index of G-7 and emerging market volatility based on a 3-month at-the-money forward options.

“JPMorgan is filling an industry gap by establishing a benchmark for measuring aggregate volatility in G-7 and emerging markets currencies,” said John Normand, Global Currency and Commodity Strategist at JPMorgan. Through VXY™ and EM-VXY™ investors can track overall volatility in currency markets or express a broad view on volatility as an asset class. They can also use VXY to calibrate other trading strategies whose returns are correlated with volatility.

The two indices are priced continuously and intra-day updates are reported on Bloomberg through the tickers JPMVXYG7 <Index> and JPMVXYEM <Index>.