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S&P/TSX 60 VIX
Seeks to measure the 30-day implied volatility of the Canadian stock market using S&P/TSX 60 index options.
VIX has negative correlations to the stock market historically and is considered a useful tool to hedge the potential downturn of the broad equity market. While the S&P/TSX 60 index options have various expirations, the S&P/TSX 60 VIX indicates the implied volatility of the fixed 30-day period.
Index Construction
The S&P/TSX 60 VIX approximates the 30-day implied volatility that is derived by the near-term and next-term options. To minimize the pricing anomalies on the expiring options during the last few trading days, options roll to the next-term and third-term five (5) calendar days prior to expiration. CORRA (Canadian Overnight Repo Rate), 1-, 2-, and 3-month CDOR (Canadian Dealer Offered Rate) rates are used to interpolate the risk free rates of each maturity.
Click here for the complete methodology document and for more information regarding the calculation of the index.The S&P/TSX 60 VIX is maintained by the S&P/TSX Canadian Index Committee, which comprises a team of seven, including four members from S&P Indices, and three from the Toronto Stock Exchange (TSX). The Index Committee draws on the significant experience in index management of its members at a local and global level.
Contract Rebalancing
The Roll Period begins on the fifth calendar day prior to the expiration of the near-term options when the Montreal Exchange is open, excluding weekends and holidays.
About the S&P/TSX 60
The S&P/TSX 60 index covers approximately 73% of Canada's equity market capitalization, and represents the Canadian component of the S&P Global 1200 index. The S&P/TSX 60 addresses the needs of investment managers who require a portfolio index of the large-cap market segment of the Canadian equity market. Adequate liquidity is a prerequisite for all constituents, allowing for efficient portfolio replication and minimal tracking error. The S&P/TSX 60 is part of the S&P/TSX index series, which provides the building blocks for portfolio construction.
Source: Standard & Poor's; Data as of September 30, 2010; Charts and graphs are provided for illustrative purposes only. Indices are unmanaged statistical composites and their returns do not include payment of any sales charges or fees an investor would pay to purchase the securities the Index represents. Such costs would lower performance. It is not possible to invest directly in an index. Past performance is not an indication of future results. The S&P/TSX 60 VIX was not in existence throughout the time period represented and all data presented reflects hypothetical historical performance based on a number of assumptions. Please see page with the Performance Disclosure at the end of this document for more information on the inherent limitations associated with back-tested Index performance.
