ETF Global Implied Volatility

The ETFG IV was designed by ETF Global and measures the market’s expectation of 30-day volatility.  This expectation is derived through a model free formula using a price adjusted range of strike prices over two series of option expirations.  Given that liquid option contracts are not traded on all ETPs, the IV may be calculated on an ETP’s individual constituents and the values aggregated to derive a weighted IV value.  If satisfactory option data is unavailable, a number of statistical processes are used to compute future volatility from other data points.

ETFG Implied Volatility Index (ETFG IVI)

This is an ETF Global proprietary index that gauges the future volatility of the ETP universe.  The index is the equal weighted implied volatility (IV) of all available ETPs in our system.

Continue on to Quant.