VDAX

The DAX volatility index ( VDAX ) expresses the expected fluctuation width of the stock index DAX.

The VDAX is the implied volatility of the German stock benchmark index ' DAX 45 days in percentage points at. A high value indicates a troubled market, low values ​​can be a development without large price fluctuations expected. The VDAX is therefore also called " fear gauge ". About the direction of change, ie rising or falling prices, it is not conclusive. Calculation is based on the prices of a fictitious option on the DAX. The VDAX was introduced on 5 December 1994. Since 14 July 1997, the German Börse AG calculates the VDAX using the Black -Scholes formula.

On 20 April 2005, on a more modern method of calculation that does not require theoretical option pricing model, based VDAX -NEW has been established. Although this code is similar to the previous VDAX, but based on the futures exchange EUREX actually traded options, making it replicable as underlying. The calculation was adapted to the international index VSTOXX. A difference from the VDAX is that the horizon was reduced from 45 to 30 days. In the medium term VDAX -NEW replace the old VDAX.