Index NewsMay 15, 2023

Changes to the Index Guidebook of Nikkei 225 VI
Nikkei Inc. will revise the Index Guidebook of the Nikkei Stock Average Volatility Index (Nikkei 225VI) effective from May 29, 2023. Osaka exchange will revise the method of setting the strike prices
for Nikkei 225 options effective from the same date. In accordance with this change, Nikkei will
amend the definition of strike prices used for the index calculation etc.
For details regarding the revision, please see to the changes to the Guidebook below.
2: Index Calculation (1)Basic Points
Current Rule

New Rule

・Use the prices of the Nikkei 225 futures and・Use the prices of the Nikkei 225 futures andNikkei 225 options on the Osaka Exchange

Nikkei 225 options (excepting mini options) on(OSE), which the OSE publishes as the future

the Osaka Exchange (OSE), which the OSEand option prices respectively.

publishes as the future and option prices
respectively.

・The index is calculated every 15 seconds

・The index is calculated every 15 seconds

during the day session of the Nikkei 225

during the day session of the Nikkei 225options on the OSE (excluding the pre-options on the OSE (excluding the pre-closing)closing). The index starts to be calculated fromfrom Monday through Friday except Japanese

15 seconds after the end of the opening

national holiday. The index starts to beauction usually 15 seconds past 9 A.M., and it

calculated from 15 seconds after the end of theis also calculated at the end of the closing

opening auction usually 15 seconds past 9auction.

A.M., and it is also calculated at the end of theclosing auction.

・Cover the near-term (the first-term) option

・Cover the near-term (the first-term) option

and the next-term (the second-term) option

and the next-term (the second-term) option.

(excepting weekly options). The options to

The options to calculate the index are rolled to

calculate the index are rolled to the next

the next delivery month on one business day

delivery month on three business days before

before the last trading date of the near-term

the last trading date of the near-term option.

option. Also cover the near-term (the first-term)

Also cover the near-term (the first-term) future,future (excepting mini futures and micro

and the future is rolled to the next-term futurefutures), and the future is rolled to the next-

on three business days before the last trading

term future on one business day before the last

date of the near-term future.

trading date of the near-term future.

・Strike price added based on application from・(Deleted)participants (so-called "On-demand strikeprices") are not included in the calculation.
However, the on-demand strike price which
overlaps in an additional strike price band in
response to fluctuation of the underlying index
after its setting will be included in thecalculation.
2: Index Calculation (3)Formula Note *7
Current Rule

New Rule

In case that the option prices at 6 or more

In case that at the 17th or more strike prices

consecutive strike prices are invalid, the prices

from the ATM, the option prices at threeof put options at lower strike prices than these

consecutive strike prices (hereinafter called

consecutive strike prices and the prices of call

“Tri-strike Prices”) are invalid or are less than

options at higher strike prices than theseor equal 1 yen, the prices of put options atconsecutive strike prices are not used for thelower strike prices than Tri-strike Prices andcalculation even if these options are traded

the prices of call options at higher strike prices

with some volume.

than Tri-strike Prices are not used for thecalculation even if these options are tradedwith some volume.

Please note that theoption prices at Tri-strike Prices are used forthe calculation even if the prices are less thanor equal 1 yen.

News Tag : Nikkei225VI, Guidebook, FromNikkei

Index Business Office, Nikkei Inc.
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