SEPTEMBER 2017 STOXX STRATEGY INDEX GUIDE

Transcription

1 SEPTEMBER 07 STOXX STRATEGY INDEX GUIDE

2 CONTENTS /77. INTRODUCTION TO THE STOXX INDEX GUIDES 5. CHANGES TO THE GUIDE BOOK 6.. HISTORY OF CHANGES TO THE STOXX STRATEGY GUIDE 6 3. GENERAL PRINCIPLES INDEX RATIONALE METHODOLOGY REVIEW POLICIES INDEX TERMINATION POLICY 7 7. STOXX SHORT AND LEVERAGED INDICES OVERVIEW BASIC DATA CALCULATION THE STOXX SHORT / LEVERAGE INDEX FORMULA COST OF BORROWING CALCULATION OF THE OPTIMAL LEVERAGE FACTOR ADJUSTMENTS DUE TO EXTREME MARKET MOVEMENTS REVERSE SPLIT TRADING SUSPENSION 3 4. EURO STOXX 50 BUYWRITE OVERVIEW BASIC DATA CALCULATION ROLLING TRADING SUSPENSION 5. EURO STOXX 50 PROTECTIVE PUT 80% 8M 6/3 5.. OVERVIEW 5.. BASIC DATA 5.3. CALCULATION ROLLING 4 8. EURO STOXX 50 VOLATILITY (VSTOXX) OVERVIEW CONCEPT BASIC DATA VSTOXX MAIN INDICES AND SUB-INDICES CALCULATION OF INDEX TICKS INPUT DATA Preparaion of Opion prices Discoun raes CALCULATION OF VSTOXX MAIN INDICES CALCULATION OF VSTOXX SUB-INDICES CALCULATION OF INDEX SETTLEMENT LEVEL VERIFICATION OF INDEX TICKS CALCULATION OF COMPONENTS WEIGHTS 9 6. EURO STOXX 50 PUTWRITE OVERVIEW BASIC DATA CALCULATION INDEX FORMULA ROLLING TRADING SUSPENSION/ NON-TRADING DAYS 8 9. EURO STOXX 50 VOLATILITY OF VOLATILITY (V-VSTOXX) OVERVIEW CONCEPT BASIC DATA V-VSTOXX MAIN INDICES AND SUB- INDICES CALCULATION OF INDEX TICKS INPUT DATA 33

3 CONTENTS 3/ Preparaion of Opion prices Discoun raes CALCULATION OF V-VSTOXX MAIN INDICES CALCULATION OF VSTOXX SUB-INDICES CALCULATION OF INDEX SETTLEMENT LEVEL VERIFICATION OF INDEX TICKS CALCULATION OF COMPONENTS WEIGHTS EURO STOXX 50 VOLATILITY-BALANCED OVERVIEW BASIC DATA CALCULATION INDEX FORMULAS EQUITY AND VOLATILITY EXPOSURE VSTOXX SHORT-TERM FUTURES INVESTABLE INDICES VSTOXX SHORT-TERM FUTURES INVESTABLE INDEX OVERVIEW BASIC DATA CALCULATION Index Formula Roll Procedure VSTOXX SHORT-TERM FUTURES INVERSE INVESTABLE INDEX OVERVIEW BASIC DATA CALCULATION Index Formula Roll Procedure CONSEQUENCES OF AN INDEX DISRUPTION EVENT EURO STOXX 50 RISK CONTROL INDICES 5. EURO STOXX 50 DVP FUTURES 38.. OVERVIEW 38.. BASIC DATA CALCULATION INPUT DATA INDEX FORMULA ROLLING CONSEQUENCES OF AN INDEX DISRUPTION EVENT 40. STOXX VOLATILITY FUTURES 4.. OVERVIEW 4.. BASIC DATA 4.3. CALCULATION INPUT DATA INDEX FORMULA ROLLING CONSEQUENCES OF AN INDEX DISRUPTION EVENT OVERVIEW BASIC DATA CALCULATION INDEX FORMULA DETERMINATION OF THE TARGET WEIGHT (TGTW) USING IMPLIED VOLATILITY DETERMINATION OF THE TARGET WEIGHT (TGTW) USING REALIZED VOLATILITY DETERMINATION OF EQUITY WEIGHT (W) AND INDEX REBALANCING DAYS STOXX RISK CONTROL INDICES OVERVIEW BASIC DATA CALCULATION INDEX FORMULA DETERMINATION OF THE TARGET WEIGHT DETERMINATION OF THE EQUITY WEIGHT AND INDEX REBALANCING DAYS EURO STOXX 50 INVESTABLE VOLATILITY 57

4 CONTENTS 4/ OVERVIEW BASIC DATA CALCULATION INPUT DATA UNDERLYING VSTOXX SUB-INDICES COMPOSITE VSTOXX 3M FORWARD-STARTING IMPLIED VOLATILITY LEVELS WEIGHTINGS INDEX CALCULATION INDEX DISRUPTIONS OVERVIEW BASIC DATA CALCULATION 73. STOXX GLOBAL BASKET 76.. OVERVIEW 76.. BASIC DATA CALCULATION STOXX CURRENCY HEDGED OVERVIEW BASIC DATA CALCULATION DEFINITIONS DAILY HEDGED INDICES MONTLHY HEDGED INDICES STOXX FUTURES ROLL INDICES OVERVIEW BASIC DATA CALCULATION STOXX FUTURES REPLICATION INDICES OVERVIEW BASIC DATA CALCULATION EURO STOXX 50 MULTI-ASSET FIXED ALLOCATION INDICES OVERVIEW BASIC DATA CALCULATION DYNAMIC ALLOCATION MOMENTUM RISK CAP INDICES 7

5 . 9. INTRODUCTION EURO STOXX 50 TO VOLATILITY THE STOXX FVOLATILITY INDEX GUIDES (V-VSTOXX) 5/77 The STOXX index guides are separaed ino he following sub-ses:» The STOXX Calculaion guide provides a general overview of he calculaion of he STOXX equiy indices, he disseminaion, he index formulas and adjusmens due o corporae acions» The STOXX Index Mehodology guide conains he equiy index specific rules regarding he consrucion and derivaion of he porfolio based indices, he individual componen selecion process and weighing schemes» The STOXX Sraegy guide conains he formulas and descripion of all nonequiy/sraegy indices» The STOXX Dividend Poins Calculaion guide describes he dividend poins producs» The STOXX Disribuion Poins Calculaion guide describes he disribuion poins producs» The STOXX ESG guide conains he index specific rules regarding he consrucion and derivaion of he ESG indices, he individual componen selecion process and weighing schemes» The istoxx guide conains he index specific rules regarding he consrucion and derivaion of he istoxx indices, he individual componen selecion process and weighing schemes» The STOXX Reference Raes guide conains he rules and mehodologies of he reference rae indices» The STOXX Saisical Calculaions guide provides a deailed view of definiions and formulas of he saisical calculaions as uilized in he repors, facshees, indices and presenaions produced by STOXX» The STOXX Bond Index guide conains he bond index specific rules regarding he consrucion of he indices, he individual componen selecion process, weighing schemes and overview of he index and bond analyics formulas All rule books are available for download on hp://

6 . 9. CHANGES EURO STOXX THE 50 VOLATILITY GUIDE BOOK FVOLATILITY (V-VSTOXX) 6/77.. HISTORY OF CHANGES TO THE STOXX STRATEGY GUIDE May 0: Updae of Adjusmens due o Exreme Marke Movemens December 0: Updae of 5. STOXX Shor and Leverage February 03: Updae of 5. STOXX Shor and Leverage May 03: Inroducion of EURO STOXX 50 BuyWrie (00%) index as sub-index of exising EURO STOXX 50 BuyWrie index Augus 03: Deailed lising of RIC codes used for Inerbank Raes in Chaper November 03: Inroducion of EURO STOXX 50 Fuures Roll March 04: Chaper 5. STOXX Shor and Leverage April 04: Reformulaion of EURO STOXX 50 Volailiy (VSTOXX) mehodology June 04: Addiion of index flag descripion o EURO STOXX 50 Volailiy (VSTOXX) mehodology July 04: Addiion of chaper 3 GENERAL PRINCIPLES Augus 04: Adjusmen of Risk Conrol indices; correcion of EURO STOXX 50 Volailiy (VSTOXX) main indices formula; addiion of componens weighs calculaion for EURO STOXX 50 Volailiy (VSTOXX) main indices; addiion of STOXX Global 3D Prining Tradable Daily Shor Sepember 04: Clarificaion of reurn ypes of risk conrol indices November 04: Adjusmen of hresholds for reverse splis for STOXX Leverage and Shor indices in chaper March 05: Expansion of STOXX Currency Hedged index wih he inroducion of STOXX Daily Hedged indices May 05: Clarificaion of disincion beween implied and realized volailiy in he calculaion of EURO STOXX 50 Risk Conrol indices June 05: Clarificaion on ineres raes applied o Risk Conrol indices June 05 (): Clarificaion regarding real-ime calculaion of Currency Hedged indices July 05: Clarificaion regarding he weigh capping in he Risk Conrol indices July 05(): Inroducion of EURO STOXX 50 Proecive Pu 80% 8m 6/3 Ocober 05: Updae of real-ime calculaion rule for Currency Hedged indices Ocober 05 (): Inroducion of EURO STOXX 50 Volailiy of Volailiy (V-VSTOXX); amendmens o EURO STOXX 50 Volailiy (VSTOXX) April 06: Inroducion of EURO STOXX 50 Traded Fuures Roll and EURO STOXX 50 Fuures Replicaion May 06: Inroducion of EURO STOXX 50 Muli-Asse indices July 06: Addiion of STOXX Fuures Roll and Fuures Replicaion indices o secions 8 and 9 Augus 06: Addiion of STOXX Global Baske Augus 06: Enhancemen of he EURO STOXX 50 Muli-Asse index family inroducion of EURO STOXX 50 Muli-Asse Momenum Risk Cap indices Sepember 06: Clarificaion on he inclusion crieria for OESX opions in VSTOXX index and OSX opions in V-VSTOXX index March 07: Inroducion of VSTOXX Shor-Term Fuures Invesable indices Sepember 07: V-VSTOXX: change o opions on VSTOXX fuures wih OVS as daa source

7 3. 9. GENERAL EURO STOXX PRINCIPLES 50 VOLATILITY FVOLATILITY (V-VSTOXX) 7/ INDEX RATIONALE STOXX defines he index raionale as he basis for applying a cerain mehodology in order o achieve he index objecive. STOXX performs inensive research and may conduc conversaions wih marke paricipans and hird paries for his purpose. STOXX discloses he index objecive in every case. 3.. METHODOLOGY REVIEW POLICIES STOXX consanly moniors he execuion of he index calculaion rules in order o ensure he validiy of he index mehodology. STOXX also conducs general mehodology reviews in a periodic and ad-hoc basis, o reflec economic and poliical changes and developmens in he invesmen indusry. As resul of hese aciviies, STOXX inroduces changes o he mehodology books. Maerial changes are noified o subscribers and he media hrough he usual communicaion channels. Clarificaions of he mehodology are updaed in he rulebook. All changes are racked in he secion. Hisory of changes o he STOXX Sraegy Guide INDEX TERMINATION POLICY For he erminaion of an index or index family for which ousanding producs are presen in he marke o he knowledge of STOXX, a marke consulaion wih he involved cliens will be iniiaed by STOXX o ake ino accoun heir views and concerns relaed o he erminaion or ransiion. A consulaion period will be opened. Is duraion depends on he specific issue. Afer he consulaion period and in case of furher acion needed, a noificaion will be issued and he process defined above will be followed. In he case of a ransiion, STOXX will launch he alernaive index and will noify of is characer as a suiable replacemen for an exising index whose calculaion should be disconinued in he fuure. This noificaion advices cliens on he alernaive recommended by STOXX as replacemen. The imeframe in which boh indices will be calculaed in parallel will be disclosed in he noificaion s ex and will be no shorer han hree monhs. For he erminaion of an index or index family for which, o he knowledge of STOXX, no lised financial producs are issued in he marke, a press release noificaion or noificaion o subscribers will be communicaed a leas hree monhs before coming ino force. Cliens or hird paries wih ineres in he index or index family are urged o communicae as soon as possible heir concerns o STOXX. Based on he feedback colleced, STOXX may aler he index erminaion decision. For he erminaion of an index wihou financial produc issued on here will be no marke consulaion. Changes o he original noificaion will be communicaed in he same manner.

8 4. 9. EURO STOXX 50 BUYWRITE VOLATILITY FVOLATILITY (V-VSTOXX) 8/ OVERVIEW The EURO STOXX 50 BuyWrie Index reflecs he so-called buy-wrie opion sraegy. Wih his sraegy, which is also referred o as covered call, an invesor buys he EURO STOXX 50 index (price or oal reurn indeces ) as an underlying insrumen and simulaneously sells a EURO STOXX 50 call opion. The index is available as he original EURO STOXX 50 BuyWrie Index, wih opion sruck a 05%, and he subsequenly added EURO STOXX 50 BuyWrie Index (00%), wih opion sruck a 00%. The index is based on he EURO STOXX 50 price index or on he EURO STOXX 50 oal reurn index and a EURO STOXX 50 call opion raded a Eurex. 4.. BASIC DATA Index ISIN Symbol EURO STOXX 50 BuyWrie (Price) CH SX5EBP EURO STOXX 50 BuyWrie (Ne Reurn) CH SX5EBW EURO STOXX 50 BuyWrie (00%) (Price) CH SX5EBP EURO STOXX 50 BuyWrie (00%) (Ne Reurn) CH SX5EBW

9 4.EURO STOXX 50 BUYWRITE 9/ CALCULATION The EURO STOXX 50 BuyWrie index Formula Two versions of he indices are available, Toal Reurn and Price. Toal Reurn The Toal Reurn version of he index combines he EURO STOXX 50 (Ne Reurn) Index and a EURO STOXX 50 call opion. On regular rading days he Toal Reurn version is calculaed as follows: BW(TR) ESTX50(NR) ESTX50(P) ESTX50(NR) EXP ESTX50(P) C EXP 0 EXP C BW(TR) EXP The rolling is carried ou monhly on every hird Friday, i.e. on he expiry dae (EXP). BW(TR) EXP ESTX50(NR) EXP ESTX50(P) ESTX50(NR) EXP ESTX50(P) C EXP EXP 0 C EXP BW(TR) EXP Where: BW(TR) BW(TR)EXP BW(TR)EXP ESTX50(NR) ESTX50(NR)EXP ESTX50(NR)EXP ESTX50(P)EXP ESTX50(P)EXP C C0 = EURO STOXX 50 BuyWrie index or EURO STOXX 50 BuyWrie (00%) index a ime () = Selemen value of EURO STOXX 50 BuyWrie index or EURO STOXX 50 BuyWrie (00%) index a he previous expiry dae (EXP) = Selemen value of EURO STOXX 50 BuyWrie index or EURO STOXX 50 BuyWrie (00%) index a he las expiry dae before he previous expiry dae(exp-) = Las price of EURO STOXX 50 (Ne Reurn) index a ime = Selemen price of EURO STOXX 50 (Ne Reurn) index a he previous expiry dae (EXP) = Selemen price of EURO STOXX 50 (Ne Reurn) index a he las expiry dae before he previous expiry dae (EXP-) = Selemen price of EURO STOXX 50 (Price) index a he previous expiry dae (EXP) = Selemen price of EURO STOXX 50 (Price) index a he las expiry dae before he previous expiry dae (EXP-) = Las price of he EURO STOXX 50 call opion a ime = Inclusion price of he EURO STOXX 50 call opion; i.e. averages of all bes bids quoed on Eurex beween :5 :45 CET on he las expiry dae (EXP)

10 4.EURO STOXX 50 BUYWRITE 0/77 C EXP = Selemen price of old EURO STOXX 50 call opion a he las expiry dae (EXP) C 0 = Inclusion price of he old EURO STOXX 50 call opion; i.e. averages of all bes bids quoed on Eurex beween :5 :45 CET on he las expiry dae (EXP-) before he previous expiry dae (EXP) Price The Price version of he index combines he EURO STOXX 50 (Price) Index and a EURO STOXX 50 call opion. On regular rading days he Price version of he index is calculaed as follows: BW(P) ESTX50(P) ESTX50(P) EXP C C 0 BW(P) EXP The rolling is carried ou monhly on every hird Friday, i.e. on he expiry dae (EXP). BW(P) EXP ESTX50(P) ESTX50(P) EXP EXP- C C EXP 0 BW(P) EXP- Where: BW(P) = EURO STOXX 50 BuyWrie (Price) index or EURO STOXX 50 BuyWrie (00%) (Price) index a ime () BW(P)EXP = Selemen value of EURO STOXX 50 BuyWrie (Price) index or EURO STOXX 50 BuyWrie (00%) (Price) index a he previous expiry dae (EXP) BW(P)EXP = Selemen value of EURO STOXX 50 BuyWrie (Price) index or EURO STOXX 50 BuyWrie (00%) (Price) index a he las expiry dae before he previous expiry dae (EXP-) ESTX50(P)EXP = Selemen price of EURO STOXX 50 (Price) index a he previous expiry dae (EXP) ESTX50(P)EXP = Selemen price of EURO STOXX 50 (Price) index a he las expiry dae before he previous expiry dae (EXP-) C = Las price of he EURO STOXX 50 call opion a ime () C0 = Inclusion price of he EURO STOXX 50 call opion; i.e. averages of all bes bids quoed on Eurex beween :5 :45 CET on he las expiry dae (EXP) C EXP = Selemen price of old EURO STOXX 50 call opion a he las expiry dae (EXP) C 0 = Inclusion price of he old EURO STOXX 50 call opion; i.e. averages of all bes bids quoed on Eurex beween :5 :45 CET on he las expiry dae (EXP-) before he previous expiry dae (EXP)

11 4.EURO STOXX 50 BUYWRITE / ROLLING The EURO STOXX 50 BuyWrie index requires a monhly rollover procedure, whereby he old EURO STOXX 50 call opion ceases rading a noon (:00 CET) on he pre-deermined expiry dae, i.e. he hird Friday of a monh, and is replaced by a new EURO STOXX 50 call opion whose las rading day falls on he nex expiry dae. The new one-monh EURO STOXX 50 call opion mus have a remaining lifeime of one monh, and mus be 5 percen ou-of-he-money (i.e. he highes srike price below or equal o he EURO STOXX 50 selemen price plus 5 percen). The EURO STOXX 50 BuyWrie (00%) index is subjec o he same monhly rolling procedure, bu he new one-monh EURO STOXX 50 call opion mus be a-he-money (i.e. he highes srike price below or equal o he EURO STOXX 50 selemen price) TRADING SUSPENSION If here is a suspension of he EURO STOXX 50 Index (price or oal reurn) or he EURO STOXX 50 call opion ha is included in he EURO STOXX 50 BuyWrie Index or EURO STOXX 50 BuyWrie (00%) index, he index will be calculaed using he laes prices ha were available. If a suspension occurs on an expiry dae during he averaging process, i.e. :5 - :45 CET, only bids made before he suspension will be considered. In cases where he averaging procedure does no sar a all (i.e. he suspension sars before :5 CET) hen he averaging will be delayed unil he end of he suspension on he same index business day. The averaging process will sar 30 minues afer he end of he suspension and i will hen ake 30 minues. If he suspension coninues unil he end of rading hen he averaging will be delayed unil he nex index business day a :5 CET.

12 5. 9. EURO STOXX 50 PROTECTIVE VOLATILITY PUT FVOLATILITY 80% 8M 6/3 (V-VSTOXX) / OVERVIEW The EURO STOXX 50 Proecive Pu 80% 8m 6/3 index aims o replicae a combined invesmen in he EURO STOXX 50 index and a long posiion in a pu opion on he same index. The invesmen objecive of he replicaed sraegy is o profi from he appreciaion of he EURO STOXX 50, while simulaneously limi he losses in falling markes hrough he pu opion. The pu opion is rolled quarerly in March, June, Sepember and December. On each roll dae, he exising opion is sold and replaced by a new one wih 80% srike. Addiionally, he opions purchased in June and December will maure in 8 monhs, while hose purchased in March and Sepember in 5 monhs (i.e., hey keep he same mauriy of he exising opion). The index is based on he EURO STOXX 50 price index or on he EURO STOXX 50 ne reurn index and a EURO STOXX 50 pu opion raded a Eurex. 5.. BASIC DATA Index ISIN Symbol EURO STOXX 50 Proecive Pu 80% 8m 6/3 (Price) CH SX5PP8P EURO STOXX 50 Proecive Pu 80% 8m 6/3 (Ne Reurn) CH SX5PP8T

13 5.EURO STOXX 50 PROTECTIVE PUT 80% 8M 6/3 3/ CALCULATION Two versions of he indices are available, Ne Reurn and Price. Ne Reurn The Ne Reurn version of he index combines he EURO STOXX 50 (Ne Reurn) Index and a EURO STOXX 50 pu opion. On regular rading days he index is calculaed as follows: PP(NR) ESTX50(NR) ESTX50(P) ESTX50(NR) ROLL ESTX50(P) P ROLL 0 ROLL P PP(NR) ROLL On rolling days he index is calculaed as follows: PP(NR) ROLL ESTX50(NR) ROLL ESTX50(P) ESTX50(NR) ROLL ESTX50(P) P' ROLL ROLL 0 P' ROLL PP(NR) ROLL Price The Price version of he index combines he EURO STOXX 50 (Price) Index and a EURO STOXX 50 pu opion. On regular rading days he index is calculaed as follows: PP(P) ESTX50(P) ESTX50(P) ROLL P P 0 PP(P) ROLL On rolling days he index is calculaed as follows: PP(P) ROLL ESTX50(P) ESTX50(P) ROLL ROLL- P' P' ROLL 0 PP(P) ROLL- Where: PP(TR) PP(NR)ROLL PP(NR)ROLL PP(P) PP(P)ROLL = EURO STOXX 50 Proecive Pu (Toal Reurn) index a ime () = Selemen value of EURO STOXX 50 Proecive Pu (Ne Reurn) index a he previous rolling dae (ROLL) = Selemen value of EURO STOXX 50 Proecive Pu (Ne Reurn) index a he las rolling dae before he previous rolling dae(roll-) = EURO STOXX 50 Proecive Pu (Price) index a ime () = Selemen value of EURO STOXX 50 Proecive Pu (Price) index a he previous rolling dae (ROLL)

14 5.EURO STOXX 50 PROTECTIVE PUT 80% 8M 6/3 4/77 PP(P)ROLL = Selemen value of EURO STOXX 50 Proecive Pu (Price) index a he las rolling dae before he previous rolling dae (ROLL-) ESTX50(NR) = Las price of EURO STOXX 50 (Ne Reurn) index a ime ESTX50(NR)ROLL = Selemen price of EURO STOXX 50 (Ne Reurn) index a he previous rolling dae (ROLL) ESTX50(NR)ROLL = Selemen price of EURO STOXX 50 (Ne Reurn) index a he las rolling dae before he previous rolling dae (ROLL-) ESTX50(P) = Las price of EURO STOXX 50 (Price) index a ime ESTX50(P)ROLL = Selemen price of EURO STOXX 50 (Price) index a he previous rolling dae (ROLL) ESTX50(P)ROLL = Selemen price of EURO STOXX 50 (Price) index a he las rolling dae before he previous rolling dae (ROLL-) P = Mid price of he EURO STOXX 50 pu opion a ime during he day or Selemen price of he EURO STOXX 50 pu opion for endof-day calculaion P0 = Inclusion price of he EURO STOXX 50 pu opion on he las ROLL dae (ROLL) P ROLL = Exi price of old EURO STOXX 50 pu opion a he las rolling dae (ROLL) P 0 = Inclusion price of he old EURO STOXX 50 pu opion on he las rolling dae (ROLL-) before he previous rolling dae (ROLL) Inclusion price (P0, P 0): VWAP of bes ask quoes beween :5:00 and :45:00 Inraday price (P): mid quoe End-of-day price (P): selemen value Exi price (P ROLL): VWAP of bes bid quoes beween :5:00 and :45: ROLLING The index requires a quarerly rollover procedure, on he pre-deermined rolling dae, i.e. he hird Friday of March, June, Sepember, December where he curren opion is sold and replaced by a new EURO STOXX 50 pu opion. If such a day is a non-rading day for EUREX, he preceding rading day is aken. On each roll dae, he purchased EURO STOXX 50 pu opion mus be 0 percen ou-of-hemoney or less (i.e. he lowes srike price higher han or equal o he selemen price of he EURO STOXX 50 Price index minus 0 percen). On he roll daes of June and December, he replacing opion will maure on he 8 h following monh; on he roll daes of March and Sepember he mauriy will be 5 monhs ahead.

15 6. 9. EURO STOXX 50 PUTWRITE VOLATILITY FVOLATILITY (V-VSTOXX) 5/ OVERVIEW The EURO STOXX 50 PuWrie Index replicaes he performance of a collaeralized pu opion sraegy. The index is based on a quarerly scheme wih monhly pu opion ranches, i.e.» he invesmen noional is invesed ino he hree-monh Euribor marke;» monhly pu opions are wrien in hree ranches;» inra-quarer pu opions are cash seled by borrowing in he one-monh Euribor marke if necessary. The index is based on he EURO STOXX 50 pu opion raded a Eurex and Euribor. 6.. BASIC DATA Index ISIN Symbol EURO STOXX 50 PuWrie (Price) CH SX5E3P 6.3. CALCULATION INDEX FORMULA A ime Wrie a number N of pus wih price p and srike K» Inves I + p N a he hree-monh EURIBOR rae» The number of pus N is given by he condiion of oal cash collaeralizaion a +: 3 r I p N Where:, r NK N K, 3 I r 360, p r I Δ, + = EURO STOXX 50 PuWrie index a ime () = Acual number of calendar days of he firs opion ranche The srike K is chosen 5 percen ou-of-he-money, i.e. i represens he lowes srike of available EUREX pu opions ha is above 95 percen of he EURO STOXX 50 selemen price.

16 6.EURO STOXX 50 PUTWRITE 6/77 A ime +» Wrie a number N+ of pus wih price p+ and srike K+» Borrow/lend he cash balance s p N p N C (can be posiive or negaive) from seling he N pu opions a price s p (which is zero if he opion maures ou-of-he-money) of he previous ranche and wriing he new ranche a he onemonh Euribor marke a rae r+.» The number of pu opions N+ is given by he condiion of oal cash collaeralizaion a +:, 3,, s 3,, s 3,, r 360 p K r 360 p N I 360 N p N K N r 360 p N I r 360 N p p N r 360 p N I r 360 C Where: Δ +,+ = Acual number of calendar days of he second opion ranche Δ,+ = Acual number of calendar days of he firs and second opion ranche The srike K + is chosen 5 percen ou-of-he-money, i.e. i represens he lowes srike of available EUREX pu opions ha is above 95 percen of he EURO STOXX 50 selemen price. A + he index level reads: s 3, p N r 360 p N I I

17 6.EURO STOXX 50 PUTWRITE 7/77 A ime +» Wrie a number N+ of pus wih price p+ and srike K+» Borrow/lend he cash balance, s r 360 C p N p N C (can be posiive or negaive) from seling he N + pu opions a price p + s (which is zero if he opion maures ou-of-he-money) of he previous ranche and wriing he new ranche a he onemonh EURIBOR marke a rae r +.» The number of opion N+ is given by he condiion of oal cash collaeralizaion a +3: 3, 3 3, 3,, s 3 3, 3,, s 3 3, 3, r 360 p K r 360 p N I r 360 r 360 C p N N K N r 360 p N I r 360 r 360 C p N p N K N r 360 p N I r 360 C Where: Δ+,+3 = Acual number of calendar days of he second opion ranche Δ,+3 = Acual number of calendar days of he firs, second and hird opion ranche The srike K + is chosen 5 percen ou-of-he-money, i.e. i represens he lowes srike of available EUREX pu opions ha is above 95 percen of he EURO STOXX 50 selemen price. A + he index level reads: s, 3, p N r 360 C r 360 p N I I

18 6.EURO STOXX 50 PUTWRITE 8/77 A ime +3 The new index level reads (wih p + s denoing he selemen price of he hird opion ranche N + ): I 3 3 s, 3 3, I p N r C r N p 360 Aferwards, he scheme is applied ieraively ROLLING The EURO STOXX 50 PuWrie index requires a monhly rollover procedure, whereby he old EURO STOXX 50 pu opion ceases rading a noon (:00 CET) on he pre-deermined expiry dae, i.e. he hird Friday of a monh, and is replaced by a new EURO STOXX 50 pu opion whose las rading falls on he nex expiry dae. The new one-monh EURO STOXX 50 pu opion mus have a remaining lifeime of one monh, and mus be 5 percen ou-of-he-money (i.e. he lowes srike price above or equal o he EURO STOXX 50 selemen price minus 5 percen) TRADING SUSPENSION/ NON-TRADING DAYS If here is a suspension of he EURO STOXX 50 pu opion which is included in he EURO STOXX 50 PuWrie index, he index will be calculaed using he laes prices available. If a suspension occurs on an expiry dae during he averaging process, i.e. :5 - :45 CET only bids made before he suspension will be considered. In cases where he averaging procedure does no sar a all (i.e. he suspension sars before :5 CET), he averaging will be delayed unil he end of he suspension on he same index business day. The averaging process will sar 30 minues afer he end of he suspension and i will hen ake 30 minues. If he suspension coninues unil he end of he rading, he averaging will be delayed unil he nex index business day a :5 CET. Ineres is accrued on all calculaion daes of he EURO STOXX 50 PuWrie Index.

19 7. 9. STOXX EURO STOXX SHORT 50 AND VOLATILITY LEVERAGED FVOLATILITY INDICES (V-VSTOXX) 9/ OVERVIEW Leveraged indices are linked o he changes in he underlying index, applying a leverage facor o movemens in he underlying index. Therefore, a posiive change of he underlying index will resul in he corresponding leveraged performance of leveraged indices compared o he closing level from he las rebalancing. Shor indices are linked inversely o he changes in he underlying index, applying a negaive leverage facor o movemens in he underlying index. Therefore, invesing in shor indices yields he reverse performance of he underlying index, compared o he closing level from he las rebalancing. The leverage effec causes a disproporionae change in capial employed during posiive and negaive marke movemens. This effec can be achieved by raising addiional capial and reinvesing ino he underlying index (posiive leverage) or by invesing capial from purchases and addiional ineress (negaive leverage). Invesors can make use of his opporuniy o employ a profiable invesmen sraegy wih low iniial capial in order o muliply he chances of profi considerably. On he oher hand his leverage effec carries he inheren risk of a disproporionae capial loss ( downside risk ). 7.. BASIC DATA Index ISIN Symbol Leverage (L) EURO STOXX 50 Daily Leverage (Price) CH SX5EL EURO STOXX 50 Daily Leverage (Ne Reurn) DE000A0Z3K43 SX5TL EURO STOXX 50 Daily Shor (Gross Reurn) CH SX5TS - EURO STOXX 50 Daily Double Shor (Gross Reurn) CH SX5TS - EURO STOXX 50 Opimal Daily Leverage (Ne Reurn) CH SX5ODLEN L* EURO STOXX <Supersecor> Daily Leverage x3 (Gross <see Vendor Code 3 Reurn) shee> EURO STOXX <Supersecor> Daily Shor x3 (Gross <see Vendor Code -3 Reurn) shee> STOXX Europe 600 Daily Shor (Gross Reurn) CH SXXGRS - STOXX Europe 600 Daily Double Shor (Gross Reurn) CH SXXRS - STOXX Europe 600 <Supersecor> Daily Shor (Gross <see Vendor Code - Reurn) shee> STOXX Europe 600 <Supersecor> Daily Double Shor <see Vendor Code - (Gross Reurn) shee> EURO STOXX 50 Monhly Leverage (Ne Reurn) CH SX5TLM EURO STOXX 50 Monhly Double Shor (Gross Reurn) CH SX5GTSM - STOXX Global 3D Prining Tradable Daily Shor (Gross Reurn) CH STG3DPS - <furher indices as lised in he STOXX vendor code shee> 7.3. CALCULATION

20 7.STOXX SHORT AND LEVERAGED INDICES 0/ THE STOXX SHORT / LEVERAGE INDEX FORMULA The Daily Leverage indices are calculaed as follows: IDX LevIDX LevIDXT L (( L) IRT IDXT L c M ) d 360 Where: LevIDX IDX IR cm T d L LEVERAGE TERM FINANCE/INTEREST TERM = Leverage index = Underlying index = Ineres rae (IR): For daily leverage indices, he ineres rae erm consiss of an overnigh ineres rae plus a liquidiy-spread ). For daily shor and opimal leverage indices, an overnigh ineres rae is applied. For monhly leveraged indices, -monh ineres raes are applied The acual ineres rae applied depends on he respecive region. An overview of he ineres raes can be found in he ables below. = Cos o borrow (considered for European shor indices only) = Time of calculaion = Time of las rebalancing day prior o (las rading day for he daily and hird Friday for he monhly indices) = Number of calendar days beween and T = Leverage Facor (for deails please consul he able on he previous page) ) The liquidiy Spread is updaed on a monhly basis. I is deermined using he average over he liquidiy spreads of five index calculaion days ranging from 5h-las o he las calculaion day prior o each monhly rebalancing dae (3rd Friday). To calculae he liquidiy spread, he closing values of he respecive swap raes are aken. The leverage erm describes he effec of Price index movemens on he leveraged index porfolio. The financing erm indicaes he coss of raising capial and reinvesing in he index porfolio (posiive leverage) The ineres erm indicaes he ineres received from lending capial and he cos o borrow he index porfolio (negaive leverage) The ineres rae depends on he region: Region / Counry Ineres rae RICs Americas USD LIBOR ON USDLIBORON= Europe / EONIA= Eurozone EONIA UK GBP-LIBOR ON GBPLIBORON= Oceania AUD Domesic Ineres Rae AUCASH=RBAA Asia USD LIBOR ON USDLIBORON= Laam USD LIBOR ON USDLIBORON=

21 7.STOXX SHORT AND LEVERAGED INDICES /77 BRIC USD LIBOR ON USDLIBORON= Global USD LIBOR ON USDLIBORON= Liquidiy spreads as added for leveraged indices: Region / Counry Liquidiy spread RICs USD LIBOR Y USD Y ON Swap USDLIBORY= - Americas Rae USDYOIS= Europe / EURIBOR Y EUR Y ON Swap EURIBORYD= - Eurozone Rae EUREONY= GBP LIBOR Y GBP Y ONSwap GBPLIBORY= - UK Rae GBPYOIS= Oceania AUD LIBOR Y AUD Y Swap Rae AUDYD= - AUDYOIS= USD LIBOR Y USD Y ON Swap USDLIBORY= - Asia Rae USDYOIS= USD LIBOR Y USD Y ON Swap USDLIBORY= - Laam Rae USDYOIS= USD LIBOR Y USD Y ON Swap USDLIBORY= - BRIC Rae USDYOIS= USD LIBOR Y USD Y ON Swap USDLIBORY= - Global Rae USDYOIS= COST OF BORROWING The STOXX Daily Shor indices are designed o ensure a high degree of radabiliy and replicabiliy. Calculaion: c M w i i,m ci, M Where: n cm ci,m wi,m = Number of shares in he index = Cos of borrowing he index a ime M = Cos of borrowing of company i a ime M = Weigh of he share i in he index The cos of borrowing will be updaed on a monhly basis afer he close on he hird Friday. Daa source: The daa is provided o STOXX by daa explorers, he aggregaor of sock lending informaion CALCULATION OF THE OPTIMAL LEVERAGE FACTOR The opimal leverage facor L* is deermined every monh based on he risk-reurn profile of he underlying index. Relevan facors are he growh rae of he underlying index and he volailiy refleced by he VSTOXX index. L min 4;max ; * * r LT Where:

22 7.STOXX SHORT AND LEVERAGED INDICES /77 r =IRT IDX TT0 IDX 0 T µ = growh rae of he underlying index; σ impliedvolaily : if available = volailiy of he underlying index; max Vol(0);Vol(60) : else Vol(n) = realized volailiy over n days; Vol(n) 5 n T 365 ktn IDX ln IDX For he European STOXX indices he implied volailiy as measured by he VSTOXX index is considered in he calculaion of he opimal leverage. k k ADJUSTMENTS DUE TO EXTREME MARKET MOVEMENTS Daily Leverage and Daily Shor Indices: The rebalancing is based on he calculaion of average index values over a ime window of 0 minues. The ime window o calculae he average sars 5 minues afer and ends 5 minues afer he rigger even occurs. The rebalancing is riggered when he underlying index loses more han x% (leverage indices) or appreciaes by more han x% (shor indices) compared o is previous day s close. The breach of he rigger is checked on a ickby-ick basis. During his ime window, he average of boh he underlying index (IDX) and he Leveraged / Shor (LevIDX) index are calculaed. The wo averages hen subsiue respecively IDXT and LevIDXT in he index calculaion formula. The respecive rigger values (x) are given in he following able: Leverage facor Trigger value x = -5,00% 3 x = -6,66% 4 x = -,50% 5 x = -0,00% 6 x = -0,00% 7 x = -0,00% 8 x = -0.00% - x = 50,00% - x = 5,00% -3 x = 6,66% -4 x =,50% -5 x = 0,00% -6 x = 0,00% -7 x = 0,00% -8 x = 0.00%

23 7.STOXX SHORT AND LEVERAGED INDICES 3/77 Over he course of he 0 minue period in which he average is deermined, he index is no disseminaed. The index disseminaion ends 5 minues afer he rigger even and is resumed wih an index level equal o he deermined average 5 minues afer he rigger even. Should he inraday rebalancing be riggered less han 5 minues prior o he end of he index calculaion day, he regular overnigh rebalancing is carried ou. If he sraegy index reaches a value of 0 or below over he course of he 5, he index is se o a value of 0 and is calculaion / disseminaion is disconinued Monhly Leverage Indices: If he reference index (closing value) rises or falls by more han 40% in he course of he monh, he monhly leveraged and shor indices will be subjec o an exraordinary adjusmen. If a breach occurs, he calculaion of he leveraged index is suspended for ha day. The index levels IDXT and LevIDXT for he nex day are se equal o he respecive closing values on he day on which he breach occurred.. Herewih he risk of a poenial oal loss is minimized. The monhly leveraged and shor indices have a floor value of zero. Opimal Leverage Indices: If daily leveraged or shor indices drop by more han 50 percen a he ime of calculaion in comparison o he closing prices on he las adjusmen day T hen he leverage will be adjused. During he adjusmen hose prices are considered which were received las before ime. No addiional refinancing coss ( Financing Term ) are calculaed and no addiional ineress are credied ( Ineres Term ). The rebalancing will be carried ou by simulaing a new day: := T (i.e. IDXT = IDX and LevIDXT = LevIDX) d := REVERSE SPLIT If he closing value of a daily leverage or daily shor index drops below 00 index poins, a reverse spli is carried ou. The affeced leverage or shor index is muliplied wih a facor of 000. The reverse spli is carried ou based on he index close en rading days afer he index iniially dropped below a closing value of 00 poins, nowihsanding wheher he index rises above a level of 00 poins in he meanime. For opimal leverage indices as well as for monhly adjused leverage and shor indices, no reverse spli is carried ou TRADING SUSPENSION The STOXX leverage and shor indices are calculaed on he same days and during he same ime as he underlying STOXX indices are calculaed. If here is suspension of he underlying index, he leveraged and shor indices will be calculaed wih he laes prices available.

24 8. 9. EURO STOXX 50 VOLATILITY FVOLATILITY (VSTOXX) (V-VSTOXX) 4/ OVERVIEW 8... CONCEPT Volailiy is a measure of he level of uncerainy prevailing in cerain markes. In principle, here are wo differen approaches o esimae volailiy. Hisorical volailiy involves measuring he sandard deviaion of hisorical closing prices for any paricular securiy over a given period of ime. Implied volailiy, on he oher hand, is derived from opion prices. This kind of volailiy represens he esimaes and assumpions of marke paricipans involved in a rade, on he basis of a given opion price. The EURO STOXX 50 Volailiy Index (VSTOXX) does no measure implied volailiies of a-hemoney EURO STOXX 50 opions, bu he implied variance across all opions of a given ime o expiry. The opion conracs on he EURO STOXX 50 are among he Eurex producs wih highes rading volume. The VSTOXX model has been joinly developed by Goldman Sachs and Deusche Börse. I offers grea advanages in erms of rading, hedging and inroducing derivaive producs on his index BASIC DATA Index Code ISIN VSTOXX VTX DE000A0C3QF VSTOXX 60 days VSTX60 DE000AA4LU0 VSTOXX 90 days VSTX90 DE000AA4LV8 VSTOXX 0 days VSTX0 DE000AA4LW6 VSTOXX 50 days VSTX50 DE000AA4LX4 VSTOXX 80 days VSTX80 DE000AA4LY VSTOXX 0 days VSTX0 DE000AA4LZ9 VSTOXX 40 days VSTX40 DE000AA4L00 VSTOXX 70 days VSTX70 DE000AA4L8 VSTOXX 300 days VSTX300 DE000AA4L6 VSTOXX 330 days VSTX330 DE000AA4L34 VSTOXX 360 days VSTX360 DE000AA4L4 VSTOXX M V6I DE000A0G87B VSTOXX M V6I DE000A0G87C0 VSTOXX 3M V6I3 DE000A0G87D8 VSTOXX 6M V6I4 DE000A0G87E6 VSTOXX 9M V6I5 DE000A0G87F3 VSTOXX M V6I6 DE000A0G87G VSTOXX 8M V6I7 DE000A0G87H9 VSTOXX 4M V6I8 DE000A0G87J5

25 8.EURO STOXX 50 VOLATILITY (VSTOXX) 5/ VSTOXX MAIN INDICES AND SUB-INDICES The VSTOXX main indices are calculaed for rolling 30, 60, 90, 0, 50, 80, 0, 40, 70, 300, 330 and 360 days o expiry via linear inerpolaion of he suiing sub-indices. The VSTOXX main indices are herefore independen of a specific ime o expiry, i.e. hey do no expire. This helps o eliminae effecs ha ypically resul in srong volailiy flucuaions close o expiry. Apar from he VSTOXX main indices, 8 sub-indices are calculaed and disribued, covering he EURO STOXX 50 opion expiries ranging from one monh o wo years. For opions wih longer ime o expiry, no such sub-indices are currenly available. The VSTOXX sub-indices are calculaed on he basis of all opions available in he Eurex sysem. 8.. CALCULATION OF INDEX TICKS The model for VSTOXX aims a making pure volailiy radable - i.e. i should be possible o replicae he indices wih an opions porfolio which does no reac o price flucuaions, bu o changes in volailiy only. This is no achieved hrough direc replicaion of volailiy, bu raher of variance. A porfolio of EURO STOXX 50 opions wih differen exercise prices and weighing, mees his goal: he implied volailiies of all eligible opions wih a given ime o expiry are considered INPUT DATA During he calculaion hours for he VSTOXX and he eigh corresponding sub-indices (09:5 o 7:30 CET), he following daa is used via snapshos every five seconds: EURO STOXX - EURO STOXX 50 Index 50 OESX - Bes bid, bes ask, las rade and selemen price of all EURO STOXX 50 opions - STOXX will exclude from heir indices all opions as soon as heir delising becomes known o STOXX (e.g. direc noificaion from he marke, or unavailabiliy of a selemen price) EONIA - Euro Overnigh Index Average - overnigh ineres rae EURIBOR - EURIBOR - Euro Inerbank Offered Raes money marke reference raes for,, monhs (calculaed once a day, :00 CET, by he European Banking Federaion) REX - Yield of he -year REX as he longer-erm ineres rae 8... PREPARATION OF OPTION PRICES Firs, he rade, mid and selemen prices of each opion and corresponding imesamps are idenified. A price filer is applied in ha any price below 0.5 poins is ignored. The mid price is only calculaed when he following requiremens are fulfilled: a. boh he bid and ask price are available and b. boh he bid and ask price are equal o or greaer han 0. poins and a. he bid-ask spread does no exceed he following hresholds:

26 8.EURO STOXX 50 VOLATILITY (VSTOXX) 6/77 i. normal marke: 8% of bid price, wih a minimum of. poins and a maximum of 8 poins and ii. fas marke: 6%, wih a minimum value of.4 poins and a maximum of 3 poins. For each opion used in he calculaion of a sub-index, he Inclusion Price is hen defined as he mos recen among: a. rade price, or b. mid price, or c. selemen price. If boh a rade price and a mid price exis wih idenical imesamp, preference is given o he rade price. Example: Srike Selemen Bid (ime) Ask (ime) Mid (ime) Las-raded (ime) Price (09:05) (09:04) (09:05) (09:05) (09:04) 9.53 (09:05) 8.4 (09:05) 0. (09:0) DISCOUNT RATES Discoun Rae Period Code ISIN EONIA day EUD EU EURIBOR monh monh EUM EU EURIBOR monhs monhs EUM EU EURIBOR 3 monhs 3 monhs EU3M EU EURIBOR 6 monhs 6 monhs EU6M EU EURIBOR 9 monhs 9 monhs EU9M EU EURIBOR monhs monhs EU EU REX -year (Price index) years REX DE CALCULATION OF VSTOXX MAIN INDICES Twelve VSTOXX main indices are calculaed wih fixed ime o expiry. The main indices are calculaed by linear inerpolaion of he sub-indices whose imes o mauriy beer represen he argeed fixed ime o expiry. If wo sub-indices exis whose ime o mauriy bracke he ime o mauriy argeed by he main index, hen he main index is calculaed as inerpolaion of he wo sub-indices. When he mauriy of wo sub-indices used in he calculaion of a main index approaches, he respecive ime o mauriies may no bracke he fixed ime o mauriy of he main index: in his case, he algorihm exrapolaes beween he wo sub-indices. However, as ime passes by, as soon as an inerpolaion beween wo oher sub-indices becomes possible, he algorihm swiches o he new sub-index pair.

27 8.EURO STOXX 50 VOLATILITY (VSTOXX) 7/77 Each VSTOXX main index is calculaed as a ime-weighed average of wo VSTOXX sub-indices, as shown in he following formula: MainIndex m = 00 [ T s ( SubIndex s ) T l-t m + T l T T l -T s ( SubIndex l T ) T m-t s ] T 365 T l -T s T m where: m MainIndexm SubIndexs SubIndexl Ts Tl Tm T365 = Fixed ime o mauriy, expressed as number of days, argeed by he main index. = VSTOXX main index wih fixed ime o mauriy of m days. = VSTOXX sub-index wih shorer mauriy used in he iner(exra)polaion. = VSTOXX sub-index wih longer mauriy used in he iner(exra)polaion. = Seconds o expiry of SubIndexs. = Seconds o expiry of SubIndexl. = Seconds in m ( day = 86,400 sec.). = Seconds in a sandard year of 365 days (3,536,000 sec.). If one of or boh he sub-indices required for he calculaion of a main index are no available, he main index is no calculaed CALCULATION OF VSTOXX SUB-INDICES Each of he eigh VSTOXX sub-indices is calculaed according o he formula shown below: SubIndex i =00 σ i where: i i T i F i Ki,0 Ki,j Ki,j = i h sub-index (i =,,8). = Implied variance for he he i h OESX expiry dae: σ i = T i T Ki,j R i M Ki,j - ( F i -) 365 T i T 365 K i,0 j K i,j = Seconds o he i h OESX expiry dae. = Forward a-he-money price for he i h OESX expiry dae, derived from exercise price for which he absolue difference beween call and pu prices is smalles. If muliple pairs of calls and pus exis wih idenical price differences, a forward price will be calculaed as he simple average of he corresponding implied forward prices: F i =K min C-P +R i (C-P) = Highes exercise price no exceeding Fi. = Exercise price of he j h ou-of-he-money opion, afer soring he opions by heir exercise prices in ascending order (i.e. call opions for exercise prices above Ki,0, pu opions oherwise). = Average disance beween he exercise prices of he wo opions sruck respecively immediaely above and immediaely below Ki,j. On he boundaries, he simple disance beween he highes (lowes) and second-highes (lowes) exercise price for call (pu) opions is used:

28 8.EURO STOXX 50 VOLATILITY (VSTOXX) 8/77 K i,j = (K i,j+-k i,j- ) MKi,j = Inclusion price of he opion wih exercise price K i,j. MKi,0 R i ri = Average of pu and call prices of he opion wih exercise price Ki,0. = Refinancing facor for he i h OESX expiry dae: R i =e r i T i T 365 = Inerpolaed risk-free ineres rae valid for he i h OESX expiry dae: r i = T l-t m T l -T s r s + T m-t s T l -T s r l If less han five opions can be used for he calculaion of a sub-index, ha sub-index is no calculaed. The sub-indices are calculaed up o wo days prior o expiry. Each new sub-index, i.e. an index calculaed wih newly issued opions, is disseminaed for he firs ime on he second rading day of he relevan EURO STOXX 50 opions. Example: Ti = ri =.496% Ri = e.496% x = K i,j ΔK i,j Call Pu Call-Pu M Ki,j, K i,j R i M Ki,j K i,j Ki,min C-P = 800 Fi = x ( ) = Ki,0 = 800

29 8.EURO STOXX 50 VOLATILITY (VSTOXX) 9/77 σ i = ( ) = SubIndex i = = CALCULATION OF INDEX SETTLEMENT LEVEL A Selemen Day is defined, for each main index, as he 30 h calendar day preceding he expiry of he EURO STOXX 50 opions. The Selemen Level of each main index is calculaed on he Selemen Day as he average of all valid icks ha index produced during an expanding ime window saring a :30:00 CET up o he curren calculaion ime and no laer han :00:00 CET: n Sele index = n ick index,i i= where ick index,i indicaes he i h ick for he relevan main index up o calculaion ime. Inerim selemen values, i.e. values calculaed on he expanding window before :00:00 CET, are disseminaed wih an V flag. The final selemen value is marked as F VERIFICATION OF INDEX TICKS Wih reference o boh sub- and main indices, each index ick is verified before being published. The process will resul in he addiion of a flag o he individual index ick, showing is saus. Saus flags are updaed a every index ick, i.e. hey reflec he saus of he ick hey are associaed o. A ick can be flagged as eiher A (for Approved ick) or U (for Unapproved ick). Any ick exceeding a cerain deviaion olerance limi from he previous ick is flagged as U. The maximum deviaion allowed is se respecively o ±0% for sub- and ±8% for main indices. A sub-index ick flagged as U will sill be used in he calculaion of any derived main index. Any main index derived from an Unapproved sub-index will inheri he U saus flag. Index icks flagged as U are displayed for informaion purpose only and are no mean o be considered as valid values. However, main index icks marked as U are used in he calculaion of he respecive index selemen level CALCULATION OF COMPONENTS WEIGHTS

30 8.EURO STOXX 50 VOLATILITY (VSTOXX) 30/77 The weigh of he individual opions composing a VSTOXX main index can be obained by simply expanding he index formula and rearranging is erms. By neglecing he AM adjusmen erm in he sub-index formula, variance can be approximaed as: σ i K i,j T i T R i M Ki,j = 365 T i T 365 j K i,j S Ki,j This expression can be plugged in he main index formula o obain: MainIndex m 00 [ T s T 365 which simplifies in: T s T 365 S Ks,j T l-t m T l -T s + T l T 365 T l T 365 S Kl,j T m-t s T l -T s ] T 365 T m MainIndex m 00 [S Ks,j T l-t m T l -T s +S Kl,j T m-t s T l -T s ] T 365 T m. By defining: WS s = N s N m ( N l-n m N l -N s ) WS l = N l N m ( N m-n s N l -N s ) and RS s = S Ks,j WS s T 365 T s RS l = S Kl,j WS l T 365 T l he main index approximaion can be resaed as: MainIndex m 00 RS s + RS l. Terms RS s and RS l represen he value of he wo sub-porfolios of opions in he main index: he main index is given by he ime-weighed sum of all opions marke values. The conribuion of each j h opion o he oal marke value of he porfolio is simply he porion of ha opion s RSj over he oal RSs +RSl: RS j s = R s ( K s,j K S K j ) WS s T 365 j T s

31 8.EURO STOXX 50 VOLATILITY (VSTOXX) 3/77 RS j l = R l ( K l,j K S K j ) WS l T 365 j T l and an individual opion s weigh is hen obained as: w j = RS j. RS s +RS l

32 9. EURO STOXX 50 VOLATILITY OF FVOLATILITY (V-VSTOXX) 3/ OVERVIEW 9... CONCEPT The EURO STOXX 50 Volailiy of Volailiy Index (V-VSTOXX) measures he implied volailiy of he opion conracs on he VSTOXX fuures, raded on he Eurex Exchange. In general erms, he algorihm is he same as he one applied in he calculaion of he VSTOXX index, bu some differences exis, reflecing he specificaions of he underlying conracs. For insance, he suband main indices cover differen mauriies and he opions price filers are applied wih differen hresholds. The following paragraphs will refer o he VSTOXX mehodology and differeniae where required BASIC DATA Index Code ISIN V-VSTOXX VVTX DE000A3PCG9 V-VSTOXX 60 days VVSTX60 DE000A3PCH7 V-VSTOXX 90 days VVSTX90 DE000A3PCJ3 V-VSTOXX 0 days VVSTX0 DE000A3PCK V-VSTOXX 50 days VVSTX50 DE000A3PCL9 V-VSTOXX 80 days VVSTX80 DE000A3PCM7 V-VSTOXX 0 days VVSTX0 DE000A3PCN5 V-VSTOXX monh VV6I DE000A3PCQ8 V-VSTOXX monhs VV6I DE000A3PCR6 V-VSTOXX 3 monhs VV6I3 DE000A3PCS4 V-VSTOXX 4 monhs VV6I4 DE000A3PCT V-VSTOXX 5 monhs VV6I5 DE000A3PCU0 V-VSTOXX 6 monhs VV6I6 DE000A3PCV8 V-VSTOXX 7 monhs VV6I7 DE000A3PCW6 V-VSTOXX 8 monhs VV6I8 DE000A3PCX4

33 9.EURO STOXX 50 VOLATILITY OF VOLATILITY (V-VSTOXX) 33/ V-VSTOXX MAIN INDICES AND SUB-INDICES The 7 V-VSTOXX main indices are calculaed for rolling 30, 60, 90, 0, 50, 80, 0 days o expiry via linear inerpolaion of he suiing sub-indices. The V-VSTOXX main indices are herefore independen of a specific ime o expiry, i.e. hey do no expire. This helps o eliminae effecs ha ypically resul in srong volailiy flucuaions close o expiry. Apar from he VSTOXX main indices, 8 sub-indices are calculaed and disribued, covering he VSTOXX opion expiries ranging from one monh o eigh monhs. The V-VSTOXX sub-indices are calculaed on he basis of all opions available in he Eurex sysem. 9.. CALCULATION OF INDEX TICKS Please refer o VSTOXX mehodology INPUT DATA During he calculaion hours for he V-VSTOXX sub- and main indices (09:5 o 7:30 CET), he following daa is used via snapshos every five seconds: OVS EONIA EURIBOR - Bes bid, bes ask, las rade and selemen price of all VSTOXX fuures opions - STOXX will exclude from heir indices all opions as soon as heir delising becomes known o STOXX (e.g. direc noificaion from he marke, or unavailabiliy of a selemen price) - Euro Overnigh Index Average - overnigh ineres rae - EURIBOR - Euro Inerbank Offered Raes money marke reference raes for,, monhs (calculaed once a day, :00 CET, by he European Banking Federaion) 9... PREPARATION OF OPTION PRICES Firs, he rade, mid and selemen prices of each opion and corresponding imesamps are idenified. A price filer is applied in ha any price below 0. poins is ignored. The mid price is only calculaed when he following requiremens are fulfilled: c. boh he bid and ask price are available and d. boh he bid and ask price are equal o or greaer han 0.05 poins and b. he bid-ask spread does no exceed he following hresholds: iii. normal marke: 0% of bid price, wih a minimum of 0.4 poins and a maximum of 4 poins and iv. fas marke: 40%, wih a minimum value of 0.8 poins and a maximum of 8 poins. For each opion used in he calculaion of a sub-index, he Inclusion Price is hen defined as he mos recen among: d. rade price, or e. mid price, or