VOLATİLİTE ENDEKSLERİ: GELİŞİMİ, TÜRLERİ, UYGULAMALARI VE TRVIX ÖNERİSİ

Öz

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.

Anahtar Kelimeler

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

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

Öz

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.

Anahtar Kelimeler

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

Kaynakça

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