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As a part of my self learning process, I'm trying to gather the list of volatility indices for all major asset classes.

Equity: CBOE VIX (US), VSTOXX (EU), ?? (UK), ?? (JPY)

Commodities: ??

Interest Rates: MOVE index, SRVIX, ??

Credit: ??

FX: DBCVIX, ??

Real Estate: ??

Cash: ??

What are the preferred Volatility indices for these asset classes? Also, are there any caveats one should be aware of while referring to these indices to assess uncertainty?

Edit: I'm not specifically looking for tick by tick data. Rather, I'm searching for vol indices that are generally considered benchmarks, such as the VIX in equities. I was surprised to not find such vol indices for other asset classes as easily as for equities.

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  • $\begingroup$ @DimitriVulis thanks! That looks useful, unfortunately doesn't completely answer my question. Rather than the actual data, I'm looking specifically for the Vol Indices that are considered as standard for different asset classes. Once I know the index name I should be able to find the data :-) $\endgroup$ Feb 7, 2022 at 13:15
  • $\begingroup$ If you go on CBOE's website, they have a bunch of indices and whatnot that they create and maintain, over a number of asset classes. $\endgroup$ Feb 7, 2022 at 14:55
  • $\begingroup$ For T bonds: "The MOVE index is constructed in a roughly similar way to the VIX. It is a yield curve weighted index of the normalised implied volatility on 1-month Treasury options which are weighted on the 2, 5, 10, and 30 year contracts over the next 30 days." $\endgroup$
    – nbbo2
    Feb 7, 2022 at 15:32
  • $\begingroup$ I found MOVE and SRVIX too. MOVE seems very recent. I'll update the post to add these two. $\endgroup$ Feb 7, 2022 at 15:33
  • $\begingroup$ FX: JPM has indices ("VXY") for G7 and EM as well as global. DB also has an index, "CVIX". $\endgroup$
    – user42108
    Feb 7, 2022 at 16:19

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I think it's best to start with explaining what the VIX actually is, because I think afterwards it will be clear(er) why indices like that don't exist for everything you ask for (or are not usually used).

The VIX index is theoretically the square root of the variance swap strike and computed via SPX options that are listed for trading on the Cboe. Once you understand that VIX is akin to Variance swaps, you will probably realise it makes little sense to talk about a VIX for real estate or cash.

For credit, interest rates and commodities, it helps to look at how the fair value of a variance swaps is computed as the integral of weighted prices of out-of-the-money options over all strikes. One obvious problem here is that options markets are composed of a discrete set of option prices for a given maturity. Due to these practical difficulties in replicating the actual log payout across strikes, the market for equity index varswaps usually trades at a basis to the replicating portfolio. SPX however is very liquid and has a huge range of strikes.

Credit, and interest rates are a completely different beast. This article by ANTONIO MELE AND YOSHIKI OBAYASHI offers a concise explanation why variance swaps are more complex in the FI world. For example, you can have yield vol, as well as price vol. The MOVE index measure yield vol computed computed with the following weights: 20% 2-Yr, 20% 5-Yr, 40% 10-Yr and 20% 30-Yr. Supposedly 10-Yr is overweight as it is the benchmark maturity for OTC options (based on volume estimates at the time of creation). TYVIX measured price vol (which is a lot less common).

FX, for example, is generally quoted in IVOL. So in FX, with a well defined vol surface there is usually little need for VIX type computations. You can look at this answer to see that VIX is not very different from a "simple" 1m ATM vol (in value, not in how it is computed). Below is a comparison, where the 1m ATM vol comes from a vol surface.
enter image description here

In my opinion, before you try to simply find stuff that is "similar" to VIX, I think it may be best to ask yourself first why you would want that? VIX is marketed by the CBOE as the market’s expectation of future volatility. However, neither IVOL, nor the (square root of the) fair strike of a variance swap are truly expectations of realized volatility. Wikipedia's VIX page shows that the VIX has virtually the same predictive power as past volatility alone.

If you simply want to measure "uncertainty", it is completely sufficient to look at ATM IVOL (as shown in the chart above).

That said, the CME is building CVOL (Scroll down to see a short video). This indices exist for all sorts of asset classes (also in the link).

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    $\begingroup$ Thanks, this answer was really helpful. Also, apologies, I should've mentioned in my question that I wasn't necessarily looking for something exactly like VIX, but just a volatility tracker similar to VIX. The CME CVOL is perfect for what I'm looking for! :-) $\endgroup$ Feb 10, 2022 at 8:16

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