S&P/JPX JGB VIX

Ticker:

SPJGBV

The S&P/JPX JGB VIX® is designed, through the VIX methodology, to measure a constant 30-day forward volatility of 10-year JGB futures prices. The index uses put and call options, on the 10-year JGB futures, to calculate implied volatility, which captures volatility across all the strikes contained in the skew of out-of-the-money (OTM) and at-the-money (ATM) option prices, and represents a purely model-free and “strikeless” volatility measure.

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