April 23, 2021
Datalinx Notice 2021-003
TMX Product Announcement
Two New Indices on TSX Real-Time Index (TX1) Feed
S&P/TSX 60 VIX Index
(Index ID VIXI)
The S&P/TSX 60 VIX Index approximates the 30-day implied volatility that is derived by the near-term and next-term options on iShares S&P/TSX60 Index ETF options. Options roll to the next-term five calendar days prior to expiration. CORRA (USD Overnight Repo Rate) is used to interpolate the risk free rates.
S&P/TSX 60 3% Decrement Index
(Total Return Index ID: TX03, Net Total Return Index ID: TXN3)
The S&P/TSX 60 3% Decrement Index seeks to measure the performance of the S&P/TSX 60 Index, less a fixed amount of 3% per year.
Please note that beginning of day and end of day index data, including constituent information, is available via FTP. The launch date for these products is Monday April 26, 2021. For more information, please contact TMX Datalinx at datasales@tmx.com.
The S&P/TSX 60 VIX Index and S&P/TSX Composite Index are products of S&P Dow Jones Indices LLC and TSX Inc. All rights reserved. S&P® is a registered trademark of Standard & Poor's Financial Services LLC ("S&P"). Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"). TSX® is a registered trademark of TSX Inc.
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