Introduction of Volatility Index
Summary
SEBI directs stock exchanges to construct and disseminate a Volatility Index using either global models or proprietary methods. The circular mandates that exchanges publish the detailed computation methodology for market participants. Derivatives on this index will be considered for introduction at a later stage based on experience gained.
Text
Exchanges shall construct a Volatility Index and disseminate the same.
The Exchanges are free to decide whether they want to adopt any of the Volatility Index computation models available globally or may like to develop their own model for computation of Volatility Index.
The detailed methodology for computing the Volatility Index shall be disseminated by the Exchange for the benefit of the market participants and investors.
Based on experience gained and awareness generated, derivatives on Volatility Index shall be considered for introduction in due course of time.
This circular is being issued in exercise of powers conferred by sub-section (1) of Section 11 of the Securities and Exchange Board of India Act, 1992, to promote the development of the securities market.
Source: SecMarx — Introduction of Volatility Index. Verbatim text is public record; SecMarx structuring (linkage to applying orders) is cited to us.