The South African Volatility Index (SAVI) Top 40 is a forecast of South Africa’s Equity Market risk. 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 positive or negative market sentiment in the Equity Market. When volatility is low, there is a measure of complacency or lack of fear in the market. When volatility is high, there fear in the market, which makes large market moves more likely.
The SAVI Top 40 is 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.
Who should use this?
The index itself is a transparent indicator of market sentiment and not a tradable product.
Market commentators, economists, traders and investors interested in identifying market patterns may refer to the SAVI Top 40. Those interested in taking a trading position on volatility can trade variance futures accessed through an Equity Derivatives member.
- A tool to measure market sentiment.
- Users can monitor fear forecasts daily.
- Users can estimate how far prices are expected to move in a given time frame.
- It includes all the dimensions of volatility.
- You can trade volatility by trading in a variance future.
- The index itself is a forward-looking perspective and may not be correct. It should be used for reference purposes only.
- Investors who trade variance futures should bear in mind that trading futures is high risk. Private investors can lessen the risks of trading by ensuring they have a high degree of product knowledge. Private investors should always invest within their means and deal with experienced brokers.