S&P, TMX Group to launch volatility index for Canadian stock market

By Melissa Kory

Cleveland, Oct. 14 - Standard & Poor's and TMX Group Inc. announced the launch of the S&P/TSX 60 VIX index, which will bring the "fear index" to the Canadian stock market.

The S&P/TSX 60 VIX will measure the 30-day implied volatility of the Canadian stock market using S&P/TSK 60 index options, which trade on Montreal Exchange. The index will approximate the volatility derived by near- and next-term options.

The index will launch Oct. 18.

VIX is often referred to as the "fear index" because it measures investors' expectations of stock market volatility for the next 30-day period.

"The launch of the S&P/TSX 60 VIX complements the S&P/TSK 60, the leading equity index in Canada," Alex Matturri, executive director at S&P Indices, said in a news release. "The new volatility index will not only serve as a key metric market of sentiment, but will also foster the development of a volatility trading and hedging market in Canada."

TMX Group is the operator of the Toronto Stock Exchange and Montreal Exchange. Standard & Poor's is a global index provider.

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