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BSE launches a Realized Volatility Index

Tuesday, November 16, 2010
By A Business Reporter

The Bombay Stock Exchange has launched a Sensex Realized Volatility (REALVOL) Index - the first of its kind in India. The Realized volatility is a measure of actual price volatility, based on past price movements over a specific period of time. The Sensex Realized Volatility (REALVOL) Index will provide market participants with an accurate measure of the historic volatility of the Sensex over fixed 1-, 2-, and 3-month time horizons. In fact, the exchange 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 the Exchange’s existing equity derivatives segment.

"The introduction of the Sensex Realized 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 BSE’s new family of realized volatility indices after the required approvals are received.” Madhu Kannan, MD & CEO, BSE, has said


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