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Hang Seng Indexes launches HSCEI Volatility Index

Hang Seng Indexes has launched the HSCEI Volatility Index (VHSCEI), which aims to reflect the 30-calendar-day expected volatility of the Hang Seng China Enterprises Index (HSCEI).

The VHSCEI is calculated using a spectrum of prices of the two nearest-term expiration months of HSCEI options currently trading on the derivatives market of Hong Kong Exchanges and Clearing Limited.
When the VHSCEI is at relatively higher levels, this generally implies that the market is expecting relatively larger changes in the HSCEI over the next 30 days, indicating that investor sentiment is uncertain. Relatively lower VHSCEI values imply that the market expects little change in the HSCEI over the next 30 days, reflecting an overall view among investors that the market will be relatively stable in the short term.
Daniel Wong, Director & Head of Research and Analytics at Hang Seng Indexes, says: “We launched the HSI Volatility Index in 2011 to track the 30-calendar-day expected volatility of the Hang Seng Index, which is a barometer of the overall sentiment of the Hong Kong stock market. The VHSCEI is a similar indicator for the HSCEI, which is designed to reflect investor sentiment towards the overall performance of mainland China enterprises listed in Hong Kong. As the VHSCEI and the HSCEI will generally move in opposite directions, the VHSCEI can be used to develop investment products to manage volatility exposure for investors. These investment products could hedge against investments that use the HSCEI as a benchmark.”
The VHSCEI is calculated and disseminated in real-time at 15-second intervals.

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