--- title: "Nikkei Stock Average Volatility Index" description: "Nikkei Stock Average Volatility Index is maintained by JPX/Nikkei and covers Japanese equity volatility benchmark. How it selects and weights its constituents." canonical: https://www.getswoopr.com/stocks/indexes/nikkei-volatility/ source: "Swoopr Investment: https://www.getswoopr.com" --- # Nikkei Stock Average Volatility Index: What It Measures and How It Is Built ## Direct Answer > The Nikkei Stock Average Volatility Index is a rule-based measurement of Japanese equity volatility benchmark, maintained by JPX/Nikkei. Like every index it owns nothing: it is a number produced by applying a published weighting formula to a selected list of companies, revised on a schedule the provider sets. ## What this index covers The Nikkei Stock Average Volatility Index covers Japanese equity volatility benchmark, within the Japan market. JPX/Nikkei defines which securities are eligible, how they are selected from that pool, and how much each one contributes to the published number. The index name does not state a fixed company count, so the number of constituents follows the eligibility rules rather than a target. ## How constituents are weighted There are no stock weights. The value is inferred from out of the money Nikkei 225 option premiums across strikes, using a fair variance estimate of the kind used for over the counter variance swaps, for a near term and a next term expiry. The two are combined by interpolation (or extrapolation) to a constant horizon of 30 days. The weighting method is the single biggest driver of how an index behaves. Two indexes covering the same market can diverge for years purely because they weight differently, which is why comparing index levels without knowing the method tells you very little. ## What qualifies for inclusion Inputs are Osaka Exchange Nikkei 225 futures and Nikkei 225 options, excluding mini options, mini futures and micro futures. Only out of the money options that have traded are used, measured against the near term futures price, and options with invalid prices are treated as though that strike did not exist. Eligibility rules are the part of an index most readers never look at and the part that decides what it can possibly measure. A screen that excludes a whole sector, or admits only one listing venue, shapes the result far more than any day of trading does. ## When the membership is revised Calculated every 15 seconds during the Osaka Exchange day session on business days, starting 15 seconds after the opening auction ends and again at the closing auction. Option expiries and the futures contract roll to the next delivery month one business day before the last trading date of the near term contract. The interest rate input is the one month TORF from the previous business day. Reconstitution is the one date an index changes shape by design rather than by price. Funds tracking it have to trade toward the new membership, which is why the schedule matters to anyone holding the tracker rather than only to the provider. ## The rule that surprises people If all trading in Nikkei 225 futures and options is halted by the circuit breaker rule linked to Nikkei 225 futures, Nikkei halts updating of the index. A correction to an option or futures price published by the exchange is, as a general rule, not applied by recalculating the index retroactively. ## References - [JPX/Nikkei: Nikkei Inc. Nikkei Stock Average Volatility Index Real time Version Index Guidebook (January 27, 2025 version)](https://indexes.nikkei.co.jp/nkave/archives/file/nikkei_stock_average_volatility_index_guidebook_en.pdf), as published 2025. Every rule described on this page is taken from this document. ## Current Nikkei Stock Average Volatility Index constituents JPX/Nikkei publishes and licenses the Nikkei Stock Average Volatility Index constituent list. Swoopr does not republish it here. The provider's own page is the authoritative source for current membership and weights. [JPX/Nikkei: official Nikkei Stock Average Volatility Index page](https://www.jpx.co.jp/english/markets/indices/index.html) ## Related reading - [All stock market indexes](https://www.getswoopr.com/stocks/indexes/): how indexes are built, weighted and revised. - [Asia-Pacific indexes](https://www.getswoopr.com/stocks/indexes/asia-pacific/): others covering the same region. - [Index concentration](https://www.getswoopr.com/technical-analysis/market-concentration/index-concentration/): measuring how much of an index sits in its largest holdings. - [Index rebalancing and inclusion effects](https://www.getswoopr.com/stocks/corporate-actions-catalysts/index-rebalancing-and-inclusion-effects/): what happens to a stock when index membership changes. ## Frequently Asked Questions ### Who maintains the Nikkei Stock Average Volatility Index? JPX/Nikkei maintains the Nikkei Stock Average Volatility Index and publishes the methodology document that defines its eligibility and weighting rules. ### What does the Nikkei Stock Average Volatility Index measure? It measures Japanese equity volatility benchmark. The index is a calculated number applying a weighting formula to a selected list of companies, and it holds nothing itself. ### Where can I see the current Nikkei Stock Average Volatility Index constituents? JPX/Nikkei publishes the current constituent list. Swoopr does not republish it, because index providers license constituent data and Swoopr holds no such licence. ## About the author The [Swoopr Editorial Team](https://www.getswoopr.com/authors/swoopr-editorial-team/) writes Swoopr Investment's educational library, covering market structure, analysis methods and the mechanics behind the numbers investors read every day. Our [editorial policy](https://www.getswoopr.com/legal/editorial-policy/) and [corrections policy](https://www.getswoopr.com/legal/corrections-policy/) set out how this content is produced, reviewed and fixed when it is wrong.