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First ETF tracking S&P 500 VIX volatility futures index debuts on TWSE

First Published 30th December 2016

Taiwan Stock Exchange's Fubon S&P 500 VIX Short-term Futures ETF tracks a U.S. volatility index.

Taipei - The first ETF tracking a U.S. volatility futures index has debuted on the Taiwan Stock Exchange (TWSE). The listing of the 'Fubon S&P 500 VIX Short-Term Futures ETF' (stock code: 00677U), issued by Fubon Securities Investment Trust Co. Ltd., will add diversity to Taiwan's ETF market.

The new ETF tracks the S&P 500 VIX Short-Term Futures Index Excess Return, which offers exposure to a daily rolling long position in the first and second month Volatility Index Futures (VIX Futures), listed on the Chicago Board Options Exchange (CBOE). The underlying index of the VIX Futures is the Volatility Index (VIX Index), which is calculated based on the prices of S&P 500 Index options and negatively correlates with movements in the S&P 500 Index.