Nikkei 225 VI Futures Index
Index Guidebook

Nikkei Inc.

・This document is the index guidebook of the Nikkei 225 VI Futures Index calculated andpublished by Nikkei Inc. (Nikkei) since December 3, 2012. This document is drawn by
Nikkei and it would be changed or modified corresponding to the revision of the index
calculation rule etc.
・Copyright of this document is owned by Nikkei, and any copies, reprints and reproductionof this document are prohibited without the prior approval of Nikkei. This document isprepared solely for the understanding of the index that Nikkei calculates and publishes,
and it is not to be construed as a solicitation or an offer to buy or sell any securities orrelated financial instruments.
・This English document is a translation of the original document dated January 23, 2023 in
Japanese and may not be an entirely accurate translation of the original Japanesedocument. In any case where differences arise between the English versi on and theoriginal Japanese version, the original Japanese document will prevail.

(January 23, 2023 version)

GB-VIF-E-20230123

1: Concept
The Nikkei 225 VI Futures Index is designed to reflect the daily price fluctuation of aposition that combines the near term and the next term Nikkei Stock Average Volatility
Index Future (Nikkei 225 VI Future) prices at specified weights. The weights areadjusted daily to keep the maturity of the combined future contracts constant as the term
exact one month.
2: Index Calculation(1)Basic Points
・Index value on a day is calculated by multiplying the index value on the previous day
by the change rate on the day based on the prices of the Nikkei 225 VI Futures.
・Use the closing prices and settlement prices of the Nikkei 225 VI Futures on the Osaka
Exchange (OSE), which are published by the OSE.
・The index value is expressed as the figures rounded to two decimal places. Unit of theindex value is “points”.
・Cover the near-term (first-term) future and the next-term (second-term) future. The two
future contracts used to calculate the index are rolled respectively to their next
delivery months on next business day after the last trading date of the near-term futurecontract (normally final settlement date of the Nikkei 225 VI Futures, i.e. SQ Date).
・The index value on February 27, 2012 was 100,000 points.
・The index is calculated and published as the value on the end-of-day basis since
December 3, 2012.
(2)FormulaThe Nikkei 225 VI Futures Index is calculated in accordance with the following formul a.
①On each trading day excluding SQ Date

Index Value t = Index Value t-1 ×

F 1,t × W 1,t-1 ＋ F 2,t × W 2,t-1
F 1,t-1 × W 1,t-1 ＋ F 2,t-1 × W 2,t-1②SQ Date (*1)
Index Value t = Index Value t-1 ×F 1,tF 2,t-1

WhenW i,t : “Weight” for i-th term future contract at a time point of t
F i,t : Future price of i-th term future contract at a time point of t
*1: Please note that when a time point of t is the SQ Date, the near-term future at a time point t (=SQ Date) is theCopyright 2012 Nikkei Inc. All rights reserved.

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same as next-term future at a time point of t-1(= the last trading date of the near-term future).

(3)Future pricePriority in the usage of prices is as follows :① Closing price (Last trading price)② Settlement price(4)Definition of the “Weight” for each delivery month
Each “Weight” for the near-term future and the next-term future is determined on thefollowing steps :①Obtain the “Target Term days”, the total number of business days in the current roll ed
period from the SQ Date for the previous-term future to the last trading date of thenear-term future(both dates inclusive, e.g. “18” in the following example). (*2)②Divide the number of days, one day shorter than the days to maturity (business-daybasis, including both current day and the last trading date) of the near -term future by“Target Term days” and round down the result to two decimal places, then obtain the“Weight” for the near-term future.(e.g. 17/18=0.94 on Sep 12, 2012 for the Oct 2012contract)③Subtract the “Weight” for the near-term future from 1, then obtain the “Weight” fornext-term future.(e.g. 1-0.94=0.06 on Sep 12, 2012 for the Nov 2012 contract)*2: The “Target Term days” stays constant from the previous rolled date to the day before the following rolled date.
*3: The “Weight” for the near-term future on the last trading day becomes “0”.

A sample calculation of “Weight” between September 12, 2012 (SQ Date, previous rolleddate) and October 10, 2012 (SQ Date, the following rolled date) is shown below.
Table 1 : A sample calculation of “Weight”
Date
Sep/12/2012
Sep/13/2012
Sep/14/2012
Sep/18/2012
Sep/19/2012
Sep/20/2012
Sep/21/2012
Sep/24/2012
Sep/25/2012
Sep/26/2012
Sep/27/2012
Sep/28/2012
Oct/1/2012
Oct/2/2012
Oct/3/2012
Oct/4/2012Oct/5/2012
Oct/9/2012
Oct/10/2012

Days to maturity(Oct 2012)18
1716151413121110987654321-

Days to maturity(Nov 2012)
4342
41
40
39
38
37
36
35
34
33
32
3130
2928
272625Weight(Oct 2012)
0.94 (17/18)
0.88 (16/18)
0.83 (15/18)
0.77 (14/18)
0.72 (13/18)
0.66 (12/18)
0.61 (11/18)
0.55 (10/18)
0.50 (9/18)
0.44 (8/18)
0.38 (7/18)
0.33 (6/18)
0.27 (5/18)
0.22 (4/18)
0.16 (3/18)
0.11 (2/18)
0.05 (1/18)
0.00 (0/18)-Copyright 2012 Nikkei Inc. All rights reserved.

Weight(Nov 2012)
0.06
0.12
0.17
0.23
0.28
0.34
0.39
0.45
0.50
0.56
0.62
0.67
0.73
0.78
0.84
0.89
0.95
1.00
0.96 (24/25)

Weight(Dec 2012)
0.04

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3: Calculation Example of index value (in case of September 28 and October 10, 2012)(1) Calculation on September 28, 2012 (On each trading day excluding SQ date)*In the following example, “Current day” is September 27, 2012, “Previous day” is September 26, 2012, “near-termfuture” is Oct 2012 contract and “next-term future” is Nov 2012 contract.

・Nikkei 225 VI Futures Index (Previous day) = 58104.26
・”Weight” for near-term future (Previous day) = 0.38
・Future price of near-term future (Previous day) = 19.40
・Future price of near-term future (Current day) = 19.25
・”Weight” for next-term future (Previous day) = 0.62
・Future price of next-term future (Previous day) = 20.25
・Future price of next-term future (Current day) = 19.90
Nikkei 225 VI Futures Index (Current day)
= 58104.26×{(0.38×19.25+0.62×19.90)÷(0.38×19.40+0.62×20.25)}= 58104.26×0.986249…=57305.315490…≈ 57305.32(2) Calculation on October 10, 2012 (On SQ Date)*In the following example, “Current day” is October 10, 2012 and “Previous day” is October 9, 2012.

・Nikkei 225 VI Futures Index (Previous day) = 53215.11
・Future price of Nov 2012 contract (*4) (Previous day) = 18.50
・Future price of Nov 2012 contract (*4) (Current day) = 18.65
Nikkei 225 VI Futures Index (Current day)
= 53215.11×(18.65÷18.50) = 53215.11×1.008108…=53646.583864…≈ 53646.58(*4) Although Nov 2011 contract was the near-term (first-term) future on current day, same contract was thenext-term (second-term) future on previous day.

4: Treatment of the index value(1)Publication of the index value
As a general rule, the index is published as the value on the end -of-day basis by 4:30pm
on every business day on Nikkei Indexes (http://indexes.nikkei.co.jp/en/).
(2)Retroactively Calculation in the past
The Nikkei 225 VI Futures Index was calculated retroactively on the end-of-day basis, toFebruary 27, 2012, base date of the index (=100,000 points). The “Weight” between thenext date after the base date (=February 28, 2012) and the day before first rolled date(=March 13, 2012) was calculated by using the “Target Term days” on condition thatFebruary 8, 2012 was the rolled date. And the level of the index value has been raised by

Copyright 2012 Nikkei Inc. All rights reserved.

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two digits since January 23, 2023 by multiplying the index value on the previous
business day by 100 when it was calculated.
(3) Modification of the index valueIf any event which affects the index value occurs (e.g. correction of the futures prices
published by the OSE), as a general rule, retroactive calculation for the modification will
not be conducted.
5: Others(1)Licensing
The Nikkei 225 VI Futures Index is an intellectual property that belongs to Nikkei. All of
the rights to the indices such as right to calculate, publicize, disseminate, and use these
indices are reserved by Nikkei.
Licensing agreement with Nikkei is necessary if companies intend to create Index linked funds and passive funds etc. It is also required to use this index for disseminating,providing, showing and etc. to the third party in the way as Nikkei decides.
Also in case of using the index to for creation of Exchange Traded Product listed onJapanese markets, a license to use the index shall not be granted for a certain period oftime after the index is launched because a company that provides advice in developing
the index makes an offer to use the index in advance for the purpose.
(2)Risk
Nikkei calculates and publishes the Nikkei 225 VI Futures Index in accordance with themethods described in this document. In the event of circumstance not described in thisdocument, or if Nikkei determines it is impossible to use the methods described in thisdocument, Nikkei may use an alternative method of the index calculation as it deems
valid.
In case of a breakdown of computer system, natural disasters or any other unavoidable
situations, Nikkei may postpone or cancel the calculation of the ind ex. Nikkei, under any
circumstance, does not guarantee the accuracy of this index. Should any error in thecalculation of the index take place, Nikkei shall not be liable for any damages sustainedby any person or organization.
This document could be changed corresponding to the revision of the index calculatio nrule etc in the future. Information expressed in this document is subject to change
without notice and in those cases Nikkei is under no obligation to update any recipientsof this document. Nikkei shall not accept any liability for any loss or damage ar isingfrom the usage of all or any part of this document.

Copyright 2012 Nikkei Inc. All rights reserved.

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(3)ContactIndex Business Office, Nikkei Inc.
Email: index@nex.nikkei.co.jp

Copyright 2012 Nikkei Inc. All rights reserved.

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Appendix : Change history of Index Guidebook
November 13, 2012 version

Initial Version

March 24, 2014 version

In “2:Index Calculation (1)Basic Points”- modified the exchange name to “Osaka Exchange”
due to the trade name change.

January 23, 2023 version

Added a description about the level adjustment to“4:Treatment of the index value (2)Retroactively
Calculation in the past”

Copyright 2012 Nikkei Inc. All rights reserved.

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