NEW
YORK, March 19, 2024 /PRNewswire/ -- S&P Dow
Jones Indices (S&P DJI), the world's leading index provider,
and B3, the exchange of Brazil,
today announced the launch of a new implied volatility index, the
first to monitor Brazil's domestic
market, based on Cboe Global Markets' proprietary Cboe Volatility
Index (VIX® Index) Methodology.
Designed to measure near-term volatility implied by Ibovespa B3
options prices, the S&P/B3 Ibovespa VIX index offers a
transparent and efficient 30-day view into the Brazilian market's
expectations for volatility.
This new Brazilian benchmark seeks to provide market
participants with a better understanding of the magnitude of
potential movements within the Brazilian equity market and a
glimpse into how those movements may impact their portfolios.
"S&P Dow Jones Indices is pleased to collaborate with B3 on
this momentous launch, which further expands the applicability of
volatility-based benchmarking tools, not just within the U.S., but
in key markets around the world," said Tim
Brennan, Head of Capital Markets at S&P Dow Jones
Indices. "Introducing implied volatility indices such as the
S&P/B3 Ibovespa VIX index reflects the liquid ecosystem of
products in Brazil and is additive
to S&P DJI's market-leading indices offering."
"The new index adds to B3's product portfolio a volatility
indicator that can be used by financial professionals as a
reference to measure risk perception. The options market in
Brazil has reached a new level in
terms of traded volume, which has allowed the launch of this index
and made it possible to bring to the local market a methodology
that is already well established in other parts of the world," said
Henio Scheidt, Manager of Indices at
B3.
S&P DJI and Cboe have licensed the use of the VIX Index
methodology to several exchanges and index firms around the world.
As such, the S&P/B3 Ibovespa VIX index further expands S&P
DJI's suite of implied volatility barometers measuring investor
sentiment and market volatility globally.
"Cboe is pleased to work with S&P DJI and B3 and provide
licensing of our VIX Index methodology for use in new markets,"
said Catherine Clay, Head of Global
Derivatives at Cboe Global Markets. "The launch of the new B3 index
not only underscores the universal utility and innovation of the
VIX Index as a benchmark for equity market volatility but also
marks a significant step in enhancing the financial ecosystem
across regions globally. The new index launch reflects the global
financial community's recognition of the important role the VIX
Index has in providing market participants with a clear and
measurable gauge of expected volatility."
Cboe's VIX Index is a calculation designed to produce a measure
of constant, 30-day expected volatility of the U.S. stock market,
derived from real-time, mid-quote prices of the S&P 500® Index
(SPX℠) call and put options. Developed based on the VIX Index
methodology, the S&P/B3 Ibovespa VIX index similarly uses
options prices rather than stock prices in its calculation because
options prices reflect the buyers and sellers' expectations of
volatility on the Ibovespa B3. While the S&P/B3 Ibovespa VIX
index is not a tradeable product, the benchmark index is designed
to provide visibility into market sentiment that can aid market
participants' understanding of the level of perceived risk and a
30-day view of the potential range of Ibovespa B3 returns.
For more information about S&P Dow Jones Indices, please
visit https://www.spglobal.com/spdji/en/.
ABOUT S&P DOW JONES INDICES
S&P Dow Jones Indices is the largest global resource for
essential index-based concepts, data and research, and home to
iconic financial market indicators, such as the S&P 500® and
the Dow Jones Industrial Average®. More assets are invested in
products based on our indices than products based on indices from
any other provider in the world. Since Charles Dow invented the first index in 1884,
S&P DJI has been innovating and developing indices across the
spectrum of asset classes helping to define the way investors
measure and trade the markets.
S&P Dow Jones Indices is a division of S&P Global (NYSE:
SPGI), which provides essential intelligence for individuals,
companies, and governments to make decisions with confidence. For
more information, visit https://www.spglobal.com/spdji/en.
ABOUT B3
B3 S.A. (B3SA3) is one of the main financial market
infrastructure companies in the world and one of the largest in
terms of market value among global leaders in the exchange
industry.
It connects, develops, and enables the financial and capital
market and, together with customers and society, it boosts
Brazil's growth.
It trades in stock exchange and OTC environments, and offers
products and services to the financing chain. Headquartered in
São Paulo and with offices in Chicago, London, Singapore, and Shanghai, it performs important functions in
the market by promoting best practices in corporate governance,
risk management and
sustainability.
VIX® and Cboe® are registered trademarks
of Cboe Exchange, Inc. ("Cboe") and have been licensed for use by
S&P Dow Jones Indices.
The VIX Methodology is the property of the Cboe, and Cboe has
granted S&P Dow Jones Indices a license to use the VIX
Methodology to create the S&P/B3 Ibovespa VIX index and has
agreed that S&P Dow Jones Indices may permit values of the
S&P/B3 Ibovespa VIX index to be disseminated. Cboe does not
make any representation regarding the S&P/B3 Ibovespa VIX index
or the advisability of relying on such index for any purpose, and
Cboe does not sponsor, endorse, sell or promote any investment
product that is or may be based on such index.
Ibovespa, Ibovespa B3, and B3 are trademarks of B3 S.A. -
Brasil, Bolsa, Balcão.
FOR MORE INFORMATION:
S&P Dow Jones Indices
Alyssa
Augustyn
Americas Communications
(+1) 773 919 4732
alyssa.augustyn@spglobal.com
B3
+55 11 2565 7639
imprensa@b3.com.br
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SOURCE S&P Dow Jones Indices