JP Morgan launches implied volatility indexes
NEWS
The VXY and EM-VXY indexes follow aggregate volatility in currencies through a turnover-weighted index of G7 and emerging market volatility, based on three-month at-the-money forward options. The indexes are designed to measure aggregate risk premiums in currency markets, to calibrate trading strategies and to express views on volatility as an asset class.
John Normand, global currency and commodity strategist at the bank in London, said they will largely appeal to institutional investors such
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