HSI Volatility Index (VHSI) 
29/04/2011 
 

HSI Volatility Index (VHSI)

Real-time display of HSI Volatility Index (VHSI)* is now available on HKEx website homepage for public reference.  VHSI measures expectations of volatility or fluctuations in price of the Hang Seng Index and is published by Hang Seng Indexes Company Limited (HSIL).

* Please select HSI Volatility Index from the pull down box of Market Index on the top right hand side of the homepage.

Potential VHSI related Products

As VHSI moves according to changes in expected volatility of the Hang Seng Index, VHSI can be used as the underlying index for futures and options, which are useful for market participants to hedge their volatility exposure.  HKEx is exploring with market participants the possibility of introducing a futures contract on the HSI Volatility Index and its potential design.

What does VHSI measure?

VHSI reflects the market’s expectations of stock market volatility over the next 30 day period.  It is calculated real-time  using prices of the Hang Seng Index Options listed on HKEx. 

The VHSI is quoted in percentage points.  Higher values for the VHSI indicate that investors expect the value of the HSI to fluctuate sharply - up, down, or both - in the next 30 days. 

Benefits of VHSI as a Volatility Benchmark

Expected volatility is a key component in pricing exchange-traded stock options, stock index options and related products such as equity warrants, as well as various equity-linked instruments in the over-the-counter (OTC) market, which all reflect the expected returns of the underlying stocks.

It is also a key indicator for the growing numbers of professional traders and fund managers employing options strategies which focus on trading opportunities generated from volatility movements instead of returns from the underlying assets.

VHSI can contribute to the development of equity derivatives markets by enhancing the transparency of HSI options and other volatility-linked derivatives products. It can be used by investors as a convenient tool for comparing the pricing of options, derivative warrants, equity-linked instruments and other structured products.

For details of the calculation formulae and procedures, please refer to the methodology book at HSIL website.

VHSI is not necessarily a “Fear Index”

Although volatility index is commonly known as a “fear index”, a high VHSI reading is not necessarily bearish for stocks.  Instead, the VHSI is a measure of market perceived volatility in either direction.  Hence high VHSI readings mean investors expect that the market will move significantly, regardless of direction. 

VHSI Vendor Access Code

Bloomberg

ET Net

Factset

Infocast

Interactive Data

VHSI

VHS

VHSI-HKX

VHSI

eSignal: $VHSI-HKG; Real-time Service: I:VHSI

Morningstar

Quotepower

SIX Telekurs

Thomson Reuters

Yahoo

VHSI

HSIV

CH11887292

.VHSI

^HSIL

 

Disclaimer
HSI Volatility Index (the “Index”) is published by HSIL, which has contracted with Standard & Poor’s Financial Services LLC (“S&P”) to maintain and calculate the Index. "Standard & Poor's" and “S&P” are trademarks of S&P and have been licensed for use by HSIL. “VIX®” is a trademark of Chicago Board Options Exchange, Incorporated (“CBOE”) and S&P has granted a license to HSIL, with permission from CBOE, to use such mark for purposes relating to the Index. The Index is not owned, sponsored, endorsed or promoted by S&P or CBOE and neither S&P nor CBOE makes any representation regarding the advisability of investing in products that are based on such Index or otherwise relying on such Index for any purposes and neither S&P, CBOE nor HSIL shall have any liability for any errors or omissions in the Index or any values thereof.