S&P/JPX JGB VIX Index

Index Outline

S&P/JPX JGB VIX Index measures the implied volatility of Japanese government bonds using options on JGB futures listed on OSE. This index uses the methodology for the CBOE Volatility Index® (VIX® Index), the world’s leading gauge of equity market volatility.

Index Value

Index Name Index Value in Dec. 08, 2017
(As of Dec. 11, 2017)
S&P/JPX JGB VIX Index 1.62 points
(note)
  • ・If the S&P/JPX JGB VIX Index is 2.50 points, the market estimate of the price fluctuation of 10-year JGB Futures over the next 30 days is expected to be 2.5% per annum.
S&P/JPX JGB VIX Index and Settlement Prices of 10-year JGB Futures

S&P/JPX JGB VIX Index and Settlement Prices of 10-year JGB Futures

Historical Data

Historical Data on S&P/JPX JGB VIX Index icon-xls

Reference Materials

S&P/JPX JGB VIX Index Guidebook icon-pdf
S&P/JPX JGB VIX Update (November 2017) icon-pdf

Press Release

S&P/JPX JGB VIX Index Introduced by S&P Dow Jones Indices and Japan Exchange Group icon-pdf
S&P Dow Jones Indices websiteicon-block

Disclaimer

Osaka Exchange, Inc. (“OSE”), Japan Exchange Group, Inc. (“JPX”) and S&P Dow Jones Indices LLC (“S&P DJI”) calculate and publish the S&P/JPX JGB VIX Index based on the volatility of 10-year JGB Futures contract in accordance with, as a general rule, the methods described in the white paper. When an event that is not specified in the document occurs, or if OSE, JPX and S&P DJI decide that it is difficult to use the methods described in the document, OSE, JPX and S&P DJI may use an alternative method of index calculation as they deem appropriate. Information expressed in the document is subject to change without notice and in those cases OSE, JPX and S&P DJI undertake no obligation to notify users of the document of such changes. OSE, JPX and S&P DJI may delay or terminate calculation of the S&P/JPX JGB VIX Index as a result of system failure, power failure, natural disaster, maintenance work, or any other reason. OSE, JPX and S&P DJI will not accept any responsibility for any damage or loss arising from delayed transmission or inability to transmit information. OSE, JPX and S&P DJI provide no assurance regarding the accuracy or completeness of the S&P/JPX JGB VIX Index. OSE, JPX and S&P DJI shall not be liable for the miscalculation or incorrect publication of the S&P/JPX JGB VIX Index and will not accept any responsibility for any decisions made based on the use of this information.