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Tullett Prebon Press Releases

21 Mar 11
Tullett Prebon launches benchmark index for global, cross asset, volatility measurement

New York, London, Paris, Singapore, 21 March, 2011:
Tullett Prebon, one of the world’s leading inter-dealer brokers (IDB), has launched tpGlobalVol Index, a global volatility index providing investors with the first truly global cross-asset volatility benchmark.

Recognising that global price volatility, particularly in cross-asset correlation investment scenarios, is increasingly difficult to measure, Tullett Prebon has developed an index that aggregates volatility conditions at an individual asset level and provides an indication of future realised volatility.

Utilising trade data from Tullett Prebon’s global brokerage presence, the tpGlobalVol Index analyses highly accurate commodities, equities, foreign exchange and interest rate data to establish a unique global cross-asset view of predicted volatility. Tullett Prebon’s global presence, market independence and composite understanding of markets all combine to ensure the index provides an exceptional understanding of global markets.

Steph Duckworth, Global Chief Operating Officer of Tullett Prebon commented “The tpGlobalVol Index has been 14 months in development and we believe that, as an extension of our global brokerage and data delivery capabilities, the index provides a unique perspective on global volatility.”

He added: “Up to this point volatility has been calculated on single asset classes and at a very local market level. The tpGlobalVol Index is the first benchmark of its kind to take a cross-asset global market view and as a result is more representative of the international trading environment”.

The tpGlobalVol Index uses industry standard variance swap methodologies and equally weights thirteen assets in four primary asset classes, recognising that any index of this kind must be accurate and stable.

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