Interdealer broker Tullett Prebon has launched a global cross-asset volatility index for investors that aggregates volatility conditions at individual asset levels and provides an indication of future realised volatility.
Tullett says that it developed the index in recognition that global price volatility, particularly in cross-asset correlation investment scenarios, is increasingly difficult to measure.
The TPGlobalVol Index works by analysing commodities, equities, foreign exchange and interest rate trade data from Tullett Prebon’s brokerage arm to establish a cross asset view of predicted volatility. It uses variance swap methodologies and equally weights 13 assets in the four primary asset classes.
The TPGlobalVol Index has been 14 months in development. Steph Duckworth, global chief operating officer of Tullett Prebon says, “Up to this point volatility has been calculated on single asset classes and at a very local market level. The TP GlobalVol Index is the first benchmark of its kind to take a cross-asset global market view and as a result is more representative of the international trading environment.”