BSE launches first-ever Realised Volatility Index in India

BSE launches first-ever Realised Volatility Index in India

Mumbai: Asia’s oldest bourse, the Bombay Stock Exchange (BSE), has launched its Sensex Realised Volatility (REALVOL) Index—the first of its kind in India.

Realised volatility is a measure of actual price volatility, based on past price movements over a specific period of time.

The Sensex Realised Volatility (REALVOL) Index will provide market participants with an accurate measure of the historic volatility of the Sensex over fixed 1, 2 and 3-month time horizons, a press release issued here stated.

BSE intends to launch financial products based on the REALVOL and other new indices in the near future, as one of many parts of its broader strategy to strengthen the Exchange’s existing equity derivatives segment, it said.

BSE’s managing director & CEO, Madhu Kannan, said, “The introduction of the Sensex Realised Volatility Index, the first-of-its-kind in India, represents an important, new innovation that will give market participants a new way to measure and mitigate market risk.

BSE plans to launch futures & options contracts on BSE’s new family of realised volatility indices after the required approvals are received. We are also exploring offering of licensing options to structured product providers, who wish to create variance and volatility swaps based on the Sensex REALVOL Index."