Osaka SE introduces Nikkei Stock Average Volatility Index Futures

Osaka SE introduces Nikkei Stock Average Volatility Index Futures

Sep. 28, 2011

Considering the increased attention of institutional investors, etc. to volatility indices after the global financial crisis, the Osaka Securities Exchange Co., Ltd. (OSE) has decided to introduce futures contracts on the Nikkei Stock Average Volatility Index(*) as follows, from the viewpoint of providing market participants with diversified investment and hedging tools.

Outline of contract specification

·         (1) Contract months: 8 nearest serial contract months

·         (2) Trading hours: From 9:00 a.m. to 3:15 p.m.

·         (3) Contract size: 10,000 yen times the index point

·         (4) Tick size: 0.05 point

Schedule

·         (1) Public comment period: September 28 to October 27, 2011

·         (2) Target launch date: This winter

·         (*) The Nikkei Stock Average Volatility Index ("Nikkei 225 VI") is an index indicating the extent of the fluctuations in Nikkei Stock Average (volatility) over the next one-month period that investors expect. It is calculated using the prices of Nikkei 225 Options traded on the OSE market.