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Definition

The South African Volatility Index (or SAVI as it is known) is an index which measures volatility in the JSE Top 40. It is similar to the VIX on the S&P500 index. The index forecasts risk in the market in three months time. It is calculated from specific Top 40 options and the SAVI itself is not tradeable. When the SAVI is low then the market is confident of its direction and large market swings are relatively unlikely - the opposite is also true.

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