The South African Volatility Index (SAVI) Top 40 is a forecast of Equity Market risk in South Africa. It is modelled on the VIX, a popular measure for the volatility of the S&P 500. The SAVI Top 40 enables investors to gauge fear and market sentiment relating to the local Equity Market. In essence, the SAVI constructs a forward-looking index that provides a daily prediction of market volatility in three months’ time. It is calculated using implied volatilities obtained daily from specific Top 40 options.
The index itself is not a tradable product; it is a transparent indicator of market sentiment.
Market commentators, economists, traders and investors interested in identifying market patterns can refer to the SAVI Top 40. Those interested in taking a direct view on volatility can trade variance futures accessed through an Equity Derivatives member.