BSE launches Realised Volatility Index

REALVOL Index will provide market participants with an accurate measure of the historic volatility of the Sensex over fixed one,two and three-month time horizons,a press release issued here stated.

The BSE intends to launch financial products based on the REALVOL and other new indices in the near future,as one of many parts of its broader strategy to strengthen its existing equity derivatives segment,it said.

BSE Managing Director & CEO Madhu Kannan said: “The introduction of the Sensex Realised Volatility Index,the first-of-its-kind in India,represents an important,new innovation that will give market participants a new way to measure and mitigate market risk.

BSE plans to launch futures & options contracts on its new family of realised volatility indices,after the required approvals are received. We are also exploring offering of licensing options to structured product providers,who wish to create variance and volatility swaps based on the Sensex REALVOL Index.”