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Banca del Gottardo Launches the Volatility Index on the Swiss Market Index

Lugano (ots)

The VSMI® - Gottardo SMI®-Volatility Index will be
published as from 8 January 2003. The index measures the expected
risk of the Swiss stock market. The concept of a so-called "real-time
index" enables investors to assess expected volatility on a real-time
basis.
The index is calculated on the basis of SMI option contracts
traded on the Eurex. The SMI represents to a large extent the
capitalisation and the turnover of the entire Swiss stock market.
The VSMI® shows a fixed time to maturity of 45 days. The
calculation takes into account only at-the-money options, that is,
options with a delta of 0.50. Unlike traditional volatility indexes,
option series are selected dynamically (i.e. during trading activity)
and take into account the intraday price movement of the underlying
security. Thanks to these characteristics, the VSMI® may become a
benchmark for this market.
A guide to the index as well as historical data can be downloaded
from www.vsmi.ch. This website takes particularly into account the
need for greater transparency, as both parameters for the calculation
of an individual option (e.g. yield curve or estimated dividends) and
the data required to calculate the index can be viewed in one single
place. To make a comparison with other volatility indexes easier, the
website offers clear graphical presentations. In addition to the
current level of the VSMI®, a daily average price (settlement price)
is calculated. The latter will enable financial institutions to issue
derivative products on the VSMI®.
Real-time prices are available on the following information
platforms:
- Reuters: .VSMI
   - Bloomberg: VSMI Index
   - Telekurs:VSMI,602
   Internet: www.vsmi.ch
VSMI® is a registered trademark of the SWX Swiss Exchange. The
Banca del Gottardo calculates the VSMI® on the basis of the Swiss
Market Index (SMI®). The SWX Swiss Exchange cannot be held
responsible for any errors.
Banca del Gottardo, with head office in Lugano (Switzerland),
relies on a well expanded national and international network. Thanks
to its highly qualified teams of experts and its affiliates,
subsidiaries, branches and representative offices in Zurich, Geneva,
Lausanne, Bellinzona, Chiasso, Locarno, Bergamo, Milan, Athens,
Luxembourg, Monaco, Vienna, Prague, Hong Kong, Nassau (Bahamas), as
well as an important participation in Paris, the bank offers top
level financial services to its local and international clientele.

Contact:

Specific information on the VSMI® and on derivative products:

Banca del Gottardo
Gottardo Financial Solutions
Schützengasse 31
8023 Zürich
Tel. +41/1/229'59'99
Fax +41/1/215'73'32
mailto:vsmi@gottardo.com

General information on the Banca del Gottardo

Banca del Gottardo
Franco Rogantini
Medienabteilung
Viale S. Franscini 8
6901 Lugano
Tel. +41/91/808'33'60
Fax +41/91/923'94'33
mailto:franco.rogantini@gottardo.com

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