Press Release

BME creates IBEX 35® options-based strategy and volatility index series

27 September, 2017

To be calculated and disseminated as of 16 October

BME has created a series of indices based on IBEX 35® options that complete the IBEX® index family. The main objective of these new indices is to measure the implied volatility of the market and offer certain investment strategies based on derivative products.

The new indices, which will begin to be calculated as of 16 October and will be disseminated at the close of each session through the website (www.bmerv.es) are:

• The IBEX 35® BUYWRITE index, which replicates a hypothetical strategy consisting of being systematically bought in an IBEX 35® Futures and sold in a Call option on the IBEX 35®

• The IBEX 35® PUTWRITE index is designed to replicate a hypothetical strategy consisting of being systematically sold in a Put option with the IBEX 35® as underlying

• The IBEX 35® PROTECTIVE PUT index is created to replicate a hypothetical strategy consisting of being systematically bought in an IBEX 35® Futures and bought in a Put option on the IBEX 35®

• The IBEX 35® SHORT STRANGLE index aims to replicate a hypothetical strategy by being systematically sold in a Call option and simultaneously sold in a Put option with the IBEX 35® as underlying

• The VIBEX® index is intended to reflect changes in the listed implicit volatility of Options on the IBEX 35® in the MEFF exchange, with a constant 30 days expiry.

• The IBEX 35® SKEW Index shows the trend of the volatility skew in the IBEX 35® options and serves as a market risk indicator

These new instruments provide investors with a wide range of investment strategies and more information on market volatility.

Please see below a link to a document (available in Spanish only) setting out the main features of these new indices:

http://www.bmerv.es/docs/SBolsas/docsSubidos/Indices-volatilidad-IBEX35-SEP17.pdf

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