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ASX A-VIX report

This article appeared in the November 2013 ASX Investor Update email newsletter. To subscribe to this newsletter please register with the MyASX section or visit the About MyASX page for past editions and more details.

Our new report will help you understand how investors viewed market volatility and longer-term market sentiment trends.

From ASX

One-month view

The chart below shows how the sharemarket correction seen during the first half of October was matched by the A-VIX rallying from values between 12 and 13 at the end of September to above 16 by 7 October.

The resumption of the S&P/ASX 200 rally saw the A-VIX move lower with several closes below 12, the lowest levels we have seen in the A-VIX since the start of the year.

An A-VIX at these levels is suggestive of continued confidence in the Australian market. This has been reflected in the S&P/ASX 200 making new highs during October and moving to levels not seen since 2008.

S&P/ASX200 and S&P/ASX200 VIX correlation 
- September to November 2013

S&P/ASX200 and S&P/ASX200 VIX correlation - September to November 2013

Source: ASX

The graphic below shows market sentiment at the end of October was in positive territory.

S&P/ASX 200 VIX indicator chart - as at the close of 31-Oct-13

One-year view

The next chart shows the A-VIX over 15 months to October 31, 2013. The 52-week high was 21.67, and the 52-week low was 10.54.

S&P/ASX 200 VIX line chart
- August 2012 to October 2013
S&P/ASX 200 VIX line chart - over 12 months to October 2013

Source: ASX

Five-year view

The next chart shows the relationship between the A-VIX and S&P / ASX 200 index between January 2008 and October 2013. Note how the A-VIX (the blue line below) which measures  expected market volatility, peaked during the 2008 global financial crisis, 2010 eurozone crisis, and in late 2011 amid fears of another GFC. As the A-VIX rose, the S&P/ASX 200 fell (green line).

S&P/ASX200 and S&P/ASX200 VIX correlation 
- January 2008 to October 2013

S&P/ASX200 and S&P/ASX200 VIX correlation - January 2008 to October 2013

Source: ASX

Understanding the A-VIX

The S&P/ASX 200 VIX (A-VIX) is a real-time volatility index that provides investors, financial media, researchers and economists with an insight into investor sentiment and expected levels of market volatility. The index tracks S&P/ASX 200 index option prices as a means of monitoring anticipated levels of near-term volatility in the Australian equity market.

Since a volatility index at relatively high levels implies a market expectation of very large changes in the S&P/ASX 200 while a relatively low VIX value implies a market expectation of very little change, the S&P/ASX 200 VIX will often move inversely to the equity market.

From ASX

Learn more about the VIX, or read the latest ASX Investor Update story on the VIX, or watch this exclusive interview with FNN on the launch of S&P/ASX 200 VIX futures.


The views, opinions or recommendations of the author in this article are solely those of the author and do not in any way reflect the views, opinions, recommendations, of ASX Limited ABN 98 008 624 691 and its related bodies corporate ("ASX"). ASX makes no representation or warranty with respect to the accuracy, completeness or currency of the content. The content is for educational purposes only and does not constitute financial advice. Independent advice should be obtained from an Australian financial services licensee before making investment decisions. To the extent permitted by law, ASX excludes all liability for any loss or damage arising in any way including by way of negligence.

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