CIRCULAR NO. SEBI/DNPD/CIR-35/2007, DATED 15-1-2008
The SEBI appointed
Derivatives Market Review Committee (DMRC), headed by Professor M. Rammohan
Rao, recommended the introduction of Volatility Index and Futures and Options
on this Index.
Accordingly, it has been
decided that, to begin with, Exchanges shall construct a Volatility Index and
disseminate the same. The Exchanges are free to decide whether they want to
adopt any of the Volatility Index computation models available globally or may
like to develop their own model for computation of Volatility Index. The
detailed methodology for computing the Volatility Index shall be disseminated
by the Exchange for the benefit of the market participants and investors.
Based on experience gained
and awareness generated, derivatives on Volatility Index shall be considered
for introduction in due course of time.
This
circular is being issued in exercise of powers conferred by sub-section (1) of
Section 11 of the Securities and Exchange Board of India Act, 1992, to promote
the development of the securities market.
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