The volatility index VDAX-NEW tracks the degree of fluctuation expected by the derivatives market – i.e. the implied volatility – for the DAX index. The index expresses in percentage terms what degree of volatility is to be expected for the following 30 days.

For example, a VDAX-NEW level of 20 at a DAX level of 15,000 means that fluctuations between 14,140 and 15,860 index points are expected on the futures market. 

The volatility is negatively correlated with the price development of a market. As a rule, if DAX prices fall, the VDAX-NEW price rises.

The calculation of this index is based on DAX option contracts, which are quoted both “at the money“ and “out of the money“. Thus, VDAX-NEW has a broader volatility surface than VDAX, which only takes into account options that are “at the money”.