VOLATİLİTE ENDEKSLERİ: GELİŞİMİ, TÜRLERİ, UYGULAMALARI VE TRVIX ÖNERİSİ

Year 2019, Volume: 4 Issue: 2, 204 - 228, 30.08.2019

Niyazi Telçeken , Murat Kıyılar , Eyüp Kadıoğlu

https://doi.org/10.30784/epfad.534052

Cited By: 7

Abstract

İlk defa Chicago Opsiyon Borsası tarafından 1993 yılında oluşturulan
volatilite endeksi (VIX) piyasalardaki korkunun derecesini ölçen bir endeks
olup, finansal piyasaların gelecekteki belirsizlikleri hakkında bilgi sağlaması
nedeniyle dünya genelinde takip edilen önemli göstergelerden biri olmuştur.
Temelde örtülü volatilite kavramına dayanan volatilite endeksleri 1970’li
yılların ortalarından itibaren finansal piyasalarda kullanılmak amacıyla
oluşturulmaya başlanmıştır. İlk endeks sonrasında başta gelişmekte olan
piyasalarda sonrasında da gelişmekte olan piyasalarda volatilite endeksleri
oluşturulmaya başlanmış olup, bu endeksler hesaplanma metodolojileri göre,
oluşturulma biçimlerine yani akademik veya resmi endeks olup olmamalarına göre
ve hesaplamada kullanılan opsiyonların dayanak varlıklarına göre
sınıflandırılabilmektedirler. Ülkemizde de VIX endeksi uluslararası piyasaları
izlemek için kullanılıyor olsa da henüz bir volatilite endeksi oluşturulmuş
değildir. Bu çalışmada, gelişmiş piyasalarda uygulama alanı bulan ve risk
yönetimi için önemli bir yere konumlandırılmış olan volatilite endeksleri
tanıtılmış, dünya genelindeki volatilite endekslerine ilişkin olarak referans
olma niteliğinde bilgilere değinilerek Türkiye için modelden bağımsız
volatilite endeksi hesaplanırken kullanılabilecek en uygun modelin Chicago
Opsiyon Borsası tarafından VIX endeksi hesaplaması sırasında kullanılan
metodoloji olduğu düşünülmektedir.

Keywords

Volatilite Endeksi, Korku Endeksi, Örtülü Volatilite, Volatilite Riski

Volatility Indices: History, Types, Applications and a TRVIX Proposal

Abstract

Volatility
index, firstly introduced by Chicago Board Options Exchange in 1993 and named
as VIX, measures the degree of the fear in financial markets. Since it provides
the information about uncertainty of the financial markets in future, it has
become an important and followed indicator around the world. Volatility
indexes, basically based on concept of implied volatility, have been started to
create to use in the financial markets since mid-1970s. After introducing first
index, both developed and developing countries has started to introduce
volatility indexes subsequently and they can be classified  according to their calculation methodology,  formation of by whom (by academicians or by
officials) and underlying asset of options that are used in calculations.
Although VIX has been used for monitoring international financial markets, it
has not been introduced yet in Turkish financial markets. This study provides
theoretical and applicative information about volatility index which is used
and seen as important tool for risk management in developed financial markets.
It is proposed that the most appropriate volatility index calculation
methodology in which volatility index is model free for Turkey is the
methodology used by Chicago Board Options Exchange.

Keywords

Volatility Index, Fear Index, Implied Volatility, Volatility Risk

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