The strategy and volatility index series with IBEX 35® options to be disseminated as of tomorrow

As of tomorrow BME will start disseminating – through the major stock market data vendors - the family of strategy and volatility indices based on IBEX 35® options that it created in October last year. These indicators, which will be published at the end of each trading session, measure the market’s implied volatility and show the performance of certain investment strategies based on derivative products traded on MEFF, BME’s derivatives market. The new indices disseminated by BME are as follows:

• The VIBEX® is the Spanish market’s implicit volatility index. It gauges the implicit volatility of Options on the IBEX 35® with a constant 30-day expiry.

• The IBEX 35® SKEW Index shows the trend of the volatility skew in the IBEX 35® options. The volatility Skew is defined as the changes in volatility for each strike price.

• The IBEX 35® BUYWRITE replicates a hypothetical strategy consisting of being systematically bought in an IBEX 35® Futures and sold in a Call option on the IBEX 35®. It is therefore a strategy similar to being bought into an IBEX 35® basket with the added return coming from the sale of an option.

• The IBEX 35® PUTWRITE index replicates a systematic sale of Put options. It is a bullish strategy where the return is limited to the margin posted but with unlimited loses.

• The IBEX 35® PROTECTIVE PUT replicates a hypothetical strategy consisting of being systematically bought in an IBEX 35® Futures and bought in a Put option on the same index. It is a bullish strategy with limited loses and unlimited returns, equivalent to buying a Call. The more dramatic index fluctuations the better performance and viceversa.

• The IBEX 35® SHORT STRANGLE index replicates a systematic sale of Put and Call options. It corresponds to a neutral strategy (neither bullish nor bearish) awaiting low volatility and whose return is limited to the margin posted. Given that its performance is based on volatility, it is an index with a very poor correlation with the IBEX 35®, in this way increasing portfolio.

Through these new instruments, BME aims to provide investors with a wide range of investment strategies and more information on market volatility.

For daily performance of these indices, please click on this link:

http://www.bmerv.es/ing/Indices/Ibex/Strategy-Indices-Derivatives-Information.aspxv