Tullett Prebon will unveil a new volatility index on March 21, 2011, The Wall Street Journal reports. The TP Global Volatility Index, which has been recalibrated daily in test mode since July 2010, will track privately traded swaps across four asset classes and use a similar methodology that draws on variance. The index displays a volatility-like number across four interest rates, which are euro, sterling, dollar and yen, four stock indexes, three currency pairs, including dollar/yen, euro/dollar and sterling/dollar, along with gold and oil. Tullett may also consider licensing the index to market participants so investors can trade around it, but initially it will publish levels daily.

Click here for the story from The Wall Street Journal.