Methodology of SSE50 ETF Volatility Index

Base on SSE 50 ETF Option, SSE 50 ETF Volatility Index is to reflect the expectation of 30-days volatility with investors. SSE 50 ETF Volatility Index can reflect the sentiment of investor and to be the underlying for derivatives products.

  1. Index Name and Index Code

Index Name: SSE 50 ETF Volatility Index

Shortened Name: iVX

IndexCode:000188

  1. Index Calculations

Base on Variance Transformation Theory, SSE 50 ETF Volatility Index using SSE 50 ETF data for calculations.

2.1 Get the price of options contract

Using this method to get the price of options contract:

If trade price, ask price and bid price exist: a) the last trade price between ask price and bid price, then using last trade price; b) else using the mean of ask and bid price;

If trade price and bid price exist, but ask price not exist: using the maximum of last trade price and bid price;

If trade price and ask price exist, but bid price not exist: using the minimum of last trade price and ask price;

If trade price exist, but bid price and ask price not exist: using the last trade price;

If bid price and ask price exist, but trade price not exist: using the mean of ask and bid price;

If bid price exist, but trade price and ask price not exist: using the maximum of bid price and last settlement price;

If ask price exist, but trade price and bid price not exist: using the minimum of ask price and last settlement price;

If trade price, bid price and ask price not exist: using the last settlement price;

When trade breaker happen, if the virtual trade price exist, and then using virtual trade price, else using the price before trade breaker.

2.2 The current-month volatility and the next-month volatility

SSE 50 ETF volatility rolling-date is 7 days. The current-month volatility is the implied volatility of the recent expirationoptions; the next-month volatility is the implied volatility of the next expiration options.

The current-month volatility formula:

Note1：The next-month volatility formula is same with current-month volatility；

Note2: when the strike price is not enough for calculation, using B-S formula to add some virtual contract.

2.3 SSE 50 ETF Volatility Index

The SSE 50 ETF volatility Index formula:

Note3: when the time to expiration is less than 30 days, only using current-month volatility for calculation. iVX is current-month volatility.

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