VOLATİLİTE ENDEKSLERİ: GELİŞİMİ, TÜRLERİ, UYGULAMALARI VE TRVIX ÖNERİSİ

Abstract

İlk defa Chicago Opsiyon Borsası tarafından 1993 yılında oluşturulan volatilite endeksi (VIX) piyasalardaki korkunun derecesini ölçen bir endeks olup, finansal piyasaların gelecekteki belirsizlikleri hakkında bilgi sağlaması nedeniyle dünya genelinde takip edilen önemli göstergelerden biri olmuştur. Temelde örtülü volatilite kavramına dayanan volatilite endeksleri 1970’li yılların ortalarından itibaren finansal piyasalarda kullanılmak amacıyla oluşturulmaya başlanmıştır. İlk endeks sonrasında başta gelişmekte olan piyasalarda sonrasında da gelişmekte olan piyasalarda volatilite endeksleri oluşturulmaya başlanmış olup, bu endeksler hesaplanma metodolojileri göre, oluşturulma biçimlerine yani akademik veya resmi endeks olup olmamalarına göre ve hesaplamada kullanılan opsiyonların dayanak varlıklarına göre sınıflandırılabilmektedirler. Ülkemizde de VIX endeksi uluslararası piyasaları izlemek için kullanılıyor olsa da henüz bir volatilite endeksi oluşturulmuş değildir. Bu çalışmada, gelişmiş piyasalarda uygulama alanı bulan ve risk yönetimi için önemli bir yere konumlandırılmış olan volatilite endeksleri tanıtılmış, dünya genelindeki volatilite endekslerine ilişkin olarak referans olma niteliğinde bilgilere değinilerek Türkiye için modelden bağımsız volatilite endeksi hesaplanırken kullanılabilecek en uygun modelin Chicago Opsiyon Borsası tarafından VIX endeksi hesaplaması sırasında kullanılan metodoloji olduğu düşünülmektedir.

Keywords

• Volatilite Endeksi
• Korku Endeksi
• Örtülü Volatilite
• Volatilite Riski

Volatility Indices: History, Types, Applications and a TRVIX Proposal

Abstract

Volatility index, firstly introduced by Chicago Board Options Exchange in 1993 and named as VIX, measures the degree of the fear in financial markets. Since it provides the information about uncertainty of the financial markets in future, it has become an important and followed indicator around the world. Volatility indexes, basically based on concept of implied volatility, have been started to create to use in the financial markets since mid-1970s. After introducing first index, both developed and developing countries has started to introduce volatility indexes subsequently and they can be classified  according to their calculation methodology,  formation of by whom (by academicians or by officials) and underlying asset of options that are used in calculations. Although VIX has been used for monitoring international financial markets, it has not been introduced yet in Turkish financial markets. This study provides theoretical and applicative information about volatility index which is used and seen as important tool for risk management in developed financial markets. It is proposed that the most appropriate volatility index calculation methodology in which volatility index is model free for Turkey is the methodology used by Chicago Board Options Exchange.

Keywords

• Volatility Index
• Fear Index
• Implied Volatility
• Volatility Risk

References

1. A VIX for Canada (2010), Montreal Exchange-Canadian Derivatives Exchange. Retrieved from https://www.m-x.ca/f_publications_en/vixc_presentation_en.pdf.
2. Areal, B. C., & Pinho, N. M. (2008). FTSE-100 implied volatility index. SSRN Electronic Journal, 1-64. http://dx.doi.org/10.2139/ssrn.1102135
3. Bo Zhang, V. (2010). Daily value-at-risk models at financial crisis period: Evidence in Australia (Master’s thesis, Auckland Technology University). Retrieved from https://pdfs.semanticscholar.org/1bd1/b13 122b820fe171b5a0ce7da919301ace097.pdf?_ga=2.253130432.839631439.1566860833-1495184010.1 540767630
4. Brenner, M., & Galai, D. (1989). New financial instruments for hedging changes in volatility. Financial Analysts Journal, 45(4), 61-65. Retrieved from https://www.jstor.org
5. Chicago Board Options Exchange [CBOE] (2009). The CBOE Volatility Index [VIX Wixwhite paper]. Retrieved from https://www.optionseducation.org/referencelibrary/white-papers/page-assets/ vixwhite.aspx.
6. Cox, J. C., & Rubinstein, M. (1985). Options markets. New Jersey: Prentice Hall.
7. Demeterfi, K., Derman, E., Kamal, M., & Zhou, J. (1999). More than you ever wanted to know about volatility swaps (Goldman Sachs Quantitative Strategies Research Notes March 1999). Retrieved from https://pdfs.semanticscholar.org/3d9c/fbe5ff32fd805f79c85b1e48fa9ac84e9128.pdf?_ga=2.150419199.839631439.1566860833-1495184010.1540767630
8. Derman, E., Kamal, M., Kani, I., McClure, J., Pirasteh, C., & Zou, J. Z. (1998). Investing in volatility. Futures and Options World, 147, 1-10. Retrieved from http://stockoptions.org.il/Admin/App_ Upload/Investing%20in%20Volatility(1).pdf

9. Dowling, S., & Muthuswamy, J. (2005). The implied volatility of Australian index options. SSRN Electronic Journal. http://dx.doi.org/10.2139/ssrn.500165
10. Financial Times Stock Exchange [FTSE]. (2017a). FTSE implied volatility index [FTSE Russell factsheet]. Retrieved from https://research.ftserussell.com/Analytics/FactSheets/temp/1ccf7d3c-c771-4add-b8f0-44f403f1c215.pdf
11. Financial Times Stock Exchange [FTSE]. (2017b). FTSE MIB implied volatility index [FTSE Russell factsheet]. Retrieved from https://research.ftserussell.com/Analytics/FactSheets/temp/5b407242-0555-400d-ad89-36e194b7035a.pdf
12. Fleming, J., Ostdiek, B., & Whaley, R. E. (1995). Predicting stock market volatility: A new measure. Journal of Futures Markets, 15(3), 265-302. doi:10.1002/fut.3990150303
13. Galai, D. (1979). A proposal for indexes for traded call options. The Journal of Finance, 34(5), 1157-1172. https://doi.org/10.1111/j.1540-6261.1979.tb00062.x
14. Gastineau, G. L. (1977). An index of listed option premiums. Financial Analysts Journal, 33(3), 70-75. Retrieved from https://doi.org/10.2469/faj.v33.n3.70
15. Giner, J., & Morini, S. (2004). El índice vix para la predicción de volatilidad: Un estudio internacional (Universidad de La Laguna Departamento de Economia Financiera y Contabilidad, Documento de Trabajo, 2004-10). Retrieved from https://accedacris.ulpgc.es/bitstream/10553/916/1/688.pdf
16. Gonzalez-Perez, M. T., & Novales, A. (2011). The information content in a volatility index for Spain. SERİEs-Journal of Spanish Economic Association, 2(2), 185-216. doi:10.1007/s13209-010-0031-6
17. Index Methodology for Managing HSI Volatility Index. (2012). Retrieved from http://www.hsi.com.hk/HSI-Net/static/revamp/contents/en/dl_centre/methodologies/IM_VHSIe.pdf
18. Jiang, G. J. (2005). The model-free implied volatility and its information content. The Review of Financial Studies, 18(4), 1305-1342. doi:10.1093/rfs/hhi027
19. Kotzé, A., Joseph, A., & Oosthuizen, R. (2009). The new South-African volatility index: New SAVI. SSRN Electronic Journal, 1-6. http://dx.doi.org/10.2139/ssrn.2198359
20. Latane, H. A., & Rendleman, R. J. (1976). Standard deviations of stock price ratios implied in option prices. The Journal of Finance, 31(2), 369-381. https://doi.org/10.1111/j.1540-6261.1976.tb01892.x
21. López, R., & Navarro, E. (2012). Implied volatility indices in the equity market: A review. African Journal of Business Management, 6(December), 11909-11915. doi:10.5897/AJBM12.272
22. Maghrebi, N., Kim, M.-S., & Nishina, K. (2007). The KOSPİ200 implied volatility index: Evidence of regime switches in volatility expectations. Asia-Pacific Journal of Financial Studies, 36(2), 163-187. Retrieved from http://www.apjfs.org
23. Moraux, F., Navatte, P., & Villa, C. (1999). The predictive power of the French market volatility index: A multi horizons study. Review of Finance, 2(3), 303-320. doi:10.1023/A:1009873516217
24. Moscow Exchange. (2017). The new Russian market volatility index-RIV. Retrieved from http://www.moex.com/s381
25. Muzzioli, S. (2013). The information content of option-based forecasts of volatility: Evidence from the Italian stock market. Quarterly Journal of Finance, 3(1), 1-46. https://doi.org/10.1142/S2010139213500055
26. Nikkei Stock Average Volatility Index Real-Time Version Index Guidebook. (2014). Retrieved from https://indexes.nikkei.co.jp/nkave/archives/file/nikkei_stock_average_volatility_index_guidebook_en.pdf
27. Nishina, K., Maghrebi, N., & Kim, M.-S. (2006). Stock market volatility and the forecasting accuracy of implied volatility indices (Discussion Papers in Economics and Business, Discussion Paper No. 06-09). Retrieved from http://www2.econ.osaka-u.ac.jp/library/global/dp/0609.pdf
28. Padhi, P. (2011). On the linkages among selected Asian, European and the US implied volatility indices (NSE Working Paper No. WP/3/2011). Retrieved from https://www.nseindia.com/educa tion/content/NSEWP_3.pdf
29. Palaniswamy, R., Lakshminarayanan, K., & Venkatesh, V. (2013). Volatility index-a new tool for risk management. Journal of Contemporary Research in Management, 4(3). Retrieved from https://psgim.ac.in/2018/03/journal/
30. Poon, S. H., & Granger, C. W. J. (2003). Forecasting volatility in financial markets: A review. Journal of Economic Literature, 41(2), 478-539. doi: 10.1257/002205103765762743
31. S&P/ASX 200 VIX Methodology. (2017). S&P/ASX 200 VIX Methodology. Retrieved from http://us.spindices.com/indices/strategy/sp-asx-200-vix
32. Siriopoulos, C., & Fassas, A. (2008a). An investor sentiment barometer - Greek implied volatility index. Global Finance Journal, 23(2), 77-93. https://doi.org/10.1016/j.gfj.2012.03.001
33. Siriopoulos, C., & Fassas, A. (2008b). The information content of VFTSE. SSRN Electronic Journal. http://dx.doi.org/10.2139/ssrn.1307702
34. Siriopoulos, C., & Fassas, A. (2009). Implied volatility indices – A review. SSRN Electronic Journal, 1-39. http://dx.doi.org/10.2139/ssrn.1421202
35. Skiadopoulos, G. (2004). The Greek implied volatility index: Construction and properties. Applied Financial Economics, 14(16), 1187-1196. doi:10.1080/0960310042000280438
36. Telçeken, N. (2014). Volatilite endeksleri, önemi ve Türkiye volatilite endeksi (Yayınlanmamış Doktora Tezi). İstanbul Üniversitesi Sosyal Bilimler Enstitüsü, İstanbul.
37. Ting, H. A. (2007). Fear in the Korea market. Review of Futures Markets, 16(1), 106-140. Retrieved from https://ink.library.smu.edu.sg/lkcsb_research/634/
38. Whaley, R. E. (1993). Derivatives on market volatility: Hedging tools long overdue. The Journal of Derivatives, 1(1), 71-84. https://doi.org/10.3905/jod.1993.407868
39. Whaley, R. E. (2000). The investor fear gauge. The Journal of Portfolio Management, 26(3), 12-17. doi:10.3905/jpm.2000.319728
40. Whaley, R. E. (2008). Understanding VIX. SSRN Electronic Journal. http://dx.doi.org/10.2139/ssrn.1296743
41. White Paper India VIX. (t.y.). Retrieved from https://www.nseindia.com/content/indices/white_paper_ IndiaVIX.pdf
42. Yang, M. J., & Liu, M. Y. (2012). The forecasting power of the volatility index in emerging markets: Evidence from the Taiwan stock market. International Journal of Economics and Finance, 4(2), 217-231. doi:10.5539/ijef.v4n2p217
43. Zhang, J. E., Shu, J., & Brenner, M. (2010). The new market for volatility trading. Journal of Futures Markets, 30(9), 809-833. doi:10.1002/fut.20448