Thursday, January 10, 2019

Financial Products News #2019 - 2
Nasdaq Begins Dissemination of Nasdaq-100 Volatility Index, VOLQ, Effective Thursday, January 24, 2019

Markets Impacted:

  • All Markets

Data Feeds Impacted:

  • Nasdaq Global Index Data Service (GIDS)

Contact Information:

  • Nasdaq Global Indexes at the Toll Free Number +1 844 717 0708 (for US Callers) or +1 301 978 8311 (for International Callers)

What you need to know:

Effective Thursday, January 24, 2019, Nasdaq will begin disseminating the following new indexes on the Nasdaq Global Index Data ServiceSM (GIDS)


What are the new indexes?

The Nasdaq-100 Volatility Index, VOLQ (“Volatility Index”), (Ticker Symbol: VOLQ) measures changes in 30 day implied volatility of the Nasdaq-100® index (NDX). The Volatility Index uses the prices of certain listed options on NDX to obtain the prices of synthetic precisely at-the-money (ATM) options. The ultimate Volatility Index component options used directly in the computation include a total of four NDX options from each of four expirations for a total of sixteen component options derived from observation of sixteen NDX option bids and offers (a total of thirty-two input observations). The synthetic ATM option prices are then used to calculate 30-day closed-form implied volatility. The result is a closed-form measure of implied volatility for the Nasdaq-100 index that focuses on the options practitioners, hedgers, and traders use most, at-the-money options.

How are the indexes disseminated?

Effective Thursday, January 24, 2019, data recipients will receive real-time index information from the proprietary GIDS data feed with the following attributes:

Instrument ID Instrument Name Currency Frequency FP Type Brand Session ID
VOLQ
Nasdaq-100 Volatility Index, VOLQ
USD
1 Second I NQ AME

In addition to the real-time tick messages, Nasdaq will support the following directory messages on GIDS:

  • Equities Summary (Message Type F): Disseminated at the end of the U.S. and European trading session to relay the summary of the current trading day's activity for an equity index.
  • Index Directory (Message Type R): Disseminated at the start of each day to relay basic index information.

Where can I find additional information?

For questions about Nasdaq index products, please contact Nasdaq Global Indexes at the Toll Free Number +1 844 717 0708 (for US Callers) or +1 301 978 8311 (for International Callers) or visit GIW.


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Nasdaq (Nasdaq: NDAQ) is a leading global provider of trading, clearing, exchange technology, listing, information and public company services. Through its diverse portfolio of solutions, Nasdaq enables customers to plan, optimize and execute their business vision with confidence, using proven technologies that provide transparency and insight for navigating today's global capital markets. As the creator of the world's first electronic stock market, its technology powers more than 90 marketplaces in 50 countries, and 1 in 10 of the world's securities transactions. Nasdaq is home to approximately 3,900 total listings with a market value of approximately $13 trillion. To learn more, visit: business.nasdaq.com.