FTSE MIB Implied Volatility

FTSE FACTSHEET
FTSE MIB Implied Volatility Index
CARATTERISTICHE
L'indice FTSE MIB Implied Volatility (IVI) è un indice di volatilità che – facendo riferimento al
valore implicito nei prezzi delle opzioni su indice – misura la volatilità dell’indice FTSE MIB. Sono
calcolate e diffuse le versioni (con dati annualizzati) a 30, 60, 90 e 180 giorni.
Anni
2016
2015
2014
2013
2012
Da 4/2010
media
29.33
26.22
23.05
24.22
30.69
27.93
|
max
50.32
40.92
35.46
33.26
43.68
64.17
|
min
20.35
19.38
17.48
18.50
19.30
16.57
volatilità a 60 giorni
media
29.16
25.26
22.50
23.81
30.68
27.42
periodo tra il momento attuale e la
scadenza delle opzioni, consentendo agli
FTSE MIB IVI - Volatilità implicita
|
|
• L’indice fornisce una stima delle
volatilità dell’indice sottostante, riferite al
sull’IDEM, che incorporano le previsioni sull’evoluzione futura della volatilità.
volatilità a 30 giorni
Obiettivo
aspettative espresse dal mercato sulla
La volatilità attesa è calcolata partendo dai prezzi delle opzioni outofthe money disponibili
|
|
aggiornamento: 30 dic 2016
|
max
43.38
|
33.69
34.21
30.14
40.93
54.04
min
23.61
|
|
volatilità a 90 giorni
media
20.95
18.62
19.45
19.33
18.62
29.58
25.13
|
max
42.96
32.11
|
min
24.12
20.58
|
|
investitori di effettuare decisioni di risk
management e trading meglio informate.
volatilità a 180 giorni
media
29.54
|
24.82
max
36.36
|
29.67
min
25.82
21.96
• L’indice è calcolato sulla base delle opzioni
22.82
scadenze a cavallo del periodo di interesse
22.54
30.41
19.72
22.80
30.82
20.35
31.06
39.77
21.15
32.03
40.74
24.35
24.13
27.59
29.88
50.37
19.58
19.58
24.67
27.85
28.48
44.16
Idoneità
20.35
out-of-the-money put e call delle due
(30, 60, 90, 180 giorni).
• Il prezzo delle opzioni incorpora le
aspettative del mercato sulla volatilità
futura.
FTSE MIB IVI - Volatilità implicita
Trasparenza
75
28000
23000
55
• Gli indici sono gestiti in base a regole
trasparenti e disponibili al pubblico.
18000
45
FTSE MIB
FTSE MIB IVI
65
35
13000
25
8000
15
5
Apr 10 Ott 10 Apr 11 Ott 11 Apr 12 Ott 12 Apr 13 Ott 13 Apr 14 Ott 14 Apr 15 Ott 15 Apr 16
FTSE MIB IVI 30 Day Index
FTSE MIB IVI 180 Day Index
FTSE MIB IVI 60 Day Index
FTSE MIB Index
Ott16
3000
FTSE MIB IVI 90 Day Index
Source: FTSE Group as at 30 December 2016. Past performance is no guarantee of future results. Please see disclaimer for important legal information.
1 of 2
FTSE MIB Implied Volatility Index
aggiornamento: 30 dic 2016
Correlazione tra FTSE MIB e FTSE MIB IVI
|
|
anno
2016
media
-0.47
correlazione 30 giorni
|
max
0.00
-0.55
2015
0.00
-0.48
2014
Da 4/2010
-0.58
|
|
Year
2016
2015
IVI
29.33
26.22
2014
23.05
24.22
2013
30.69
2012
Da 4/2010
27.93
|
EFF
28.65
24.75
21.66
20.77
27.94
25.66
Frequenza di calcolo dell’indice
A fine giornata
-0.67
-0.67
Dati storici
Dal 1° aprile 2010
-0.71
-0.32
|
|
Lancio dell’indice
18 febbraio 2013
min
-0.70
-0.76
0.00
-0.57
volatilità a 30 giorni
|
0.00
-0.61
FTSE MIB: volatilità implicità (IVI) ed effettiva (EFF)
0.00
0.00
-0.57
-0.92
max
0.00
-0.52
-0.75
0.06
|
-0.58
-0.78
0.00
-0.53
media
-0.75
0.00
-0.55
2012
min
-0.75
INFORMAZIONI
correlazione 90 giorni
-0.92
0.06
-0.50
2013
|
|
|
-0.77
Regole dell’indice
www.ftserussell.com
Tickers
IVMIB30
IVMIB60
IVMIB90
IVMIB180
volatilità a 90 giorni
IVI
29.58
|
25.13
EFF
30.39
26.13
22.54
20.65
24.13
21.32
31.06
31.16
26.99
26.11
FTSE MIB: volatilità implicità ed effettiva
60
0.0
50
-0.2
40
-0.4
30
-0.6
20
-0.8
10
0
Ago 10
Correlazione
Volatilità implicita / effettiva
70
Feb 11
Ago 11
Feb 12
Ago 12
FTSE MIB IVI 30 Day Implied Volatility
Feb 13
Ago 13
Feb 14
Ago 14
FTSE MIB 30 Day Realised Volatility
Feb 15
Ago 15
Feb 16
Ago 16
-1.0
FTSE MIB IVI 30 Day Correlation
© 2016 London Stock Exchange Group companies.
London Stock Exchange Group companies includes FTSE International Limited (“FTSE”), Frank Russell Company (“Russell”), MTS Next Limited (“MTS”), and FTSE TMX Global Debt Capital
Markets Inc (“FTSE TMX”). All rights reserved.
“FTSE®”, “Russell®”, “MTS®”, “FTSE TMX®” and “FTSE Russell” and other service marks and trademarks related to the FTSE or Russell indexes are trade marks of the London Stock
Exchange Group companies and are used by FTSE, MTS, FTSE TMX and Russell under licence. All information is provided for information purposes only. Every effort is made to ensure that all
information given in this publication is accurate, but no responsibility or liability can be accepted by the London Stock Exchange Group companies nor its licensors for any errors or for any
loss from use of this publication.Neither the London Stock Exchange Group companies nor any of their licensors make any claim, prediction, warranty or representation whatsoever, expressly
or impliedly, either as to the results to be obtained from the use of the FTSE MIB Implied Volatility Index or the fitness or suitability of the FTSE MIB Implied Volatility Index for any particular
purpose to which it might be put.
The London Stock Exchange Group companies do not provide investment advice and nothing in this document should be taken as constituting financial or investment advice. The London
Stock Exchange Group companies make no representation regarding the advisability of investing in any asset. A decision to invest in any such asset should not be made in reliance on any
information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. The general information contained in this
publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional.
No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise,
without prior written permission of the London Stock Exchange Group companies. Distribution of the London Stock Exchange Group companies’ index values and the use of their indexes to
create financial products require a licence with FTSE, FTSE TMX, MTS and/or Russell and/or its licensors. The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not
accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual trading of
investable assets. Certain returns shown may reflect back-tested performance. All performance presented prior to the index inception date is back-tested performance. Back-tested
performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officially launched.
However, back- tested data may reflect the application of the index methodology with the benefit of hindsight, and the historic calculations of an index may change from month to month
based on revisions to the underlying economic data used in the calculation of the index.
Definizioni disponibili su [email protected]
Per maggiori informazioni visitate
www.ftserussell.com, scrivete a
[email protected] o contattate il vostro
ufficio locale di FTSE:
EMEA
+44 (0) 20 7866 1810
North America
+1 877 503 6437
Asia-Pacific
Hong Kong
Tokyo
Sydney
+852 2164 3333
+81 3 3581 2764
+61 (0) 2 8823 3521
Source: FTSE Group as at 30 December 2016. Past performance is no guarantee of future results. Please see disclaimer for important legal information.
2 of 2