SPIKES Logo Spikes Logo with One Color SPIKES Logo Spikes Logo with One Color MIAX Logo (White) MIAX Logo with White MIAX Options Logo (underlined) MIAX Options Logo in White with underline MIAX PEARL Logo (underlined) MIAX PEARL Logo in White with underline MIAX Emerald Logo (underline) MIAX Emerald Logo in White with underline Contact Icon Phone icon used to suggest contact information Subscriptions & Notifications Icon Bell icon used to suggest Subscription & Notification information Portal Icon Silhouette icon used to suggest Portal/Profile functionality Search Icon Magnifying Glass icon used to suggest Search functionality Close Icon An X icon used to suggest the dismissal of information US Flag Icon An simplified Unites States Flag used to categorize content types Plus Icon A plus sign in a circle designates expandable content Minus Icon A minus sign in a circle designates closeable, expanded content News Icon A folded newspaper icon Paper Icon A few paper sheets as an icon to represent documents Process Icon An icon showing a series of arrows and elements that represents a decision tree or process Download Icon An inbox icon representing the download action Metrics Icon Three bars representing a graph Date Icon Calendar icon representing notable dates FAQ Icon A question mark icon used for Frequently Asked Questions Contract Icon A document icon with a ribbon Clipboard Icon An icon of a clipboard containing information and checkmarks

Product Information

SPIKES™ Volatility Index (index symbol: SPIKE) is a measure of the expected 30-day volatility in the SPDR S&P 500 ETF (SPY). SPY is the largest exchange traded fund in the world and tracks the most watched stock index in the United States.

SPIKES™ is built using the popular variance swap methodology and uses live option prices to calculate volatility. This is consistent with the way the trading community is used to modeling risk and hedging exposure.

SPIKES™ is traded on MIAX—one of the fastest and most efficient options platforms in the world, offering fully electronic execution.


The SPIKES Index and volatility products offer a number of unique features designed to produce highly accurate, robust data and create a transparent and open auction settlement process.









Frequently Asked Questions

  • What is volatility?

    Volatility is the amount of variation in a time series of prices, measured by the standard deviation of log returns. Historical volatility is based on what was observed in the past, and implied volatility is the expected future volatility derived from the options market's prices. The implied volatility over the next 30 days is a common measurement used to compare volatilities of different time periods or different instruments.

  • What does the SPIKES Volatility Index measure?

    The SPIKES Volatility Index measures expected 30-day volatility in the SPDR® S&P 500® ETF Trust (SPY) options.

  • How is SPIKES calculated?

    SPIKES uses SPY option prices and interpolates between two expirations' computed variances to determine the 30-day volatility. The full index methodology guide is available here.

  • What are some key features of SPIKES?

    Using SPY options inputs provides a high degree of accuracy. The options are multiply listed across many venues, ensuring no single point of failure for the option price inputs to the index.

    SPIKES Price Dragging technique prioritizes trades over quotes, and updates option price inputs using an algorithm designed to insulate the index from erratic movements in the bid-ask spread of constituent options by only considering order submissions which change the market in a meaningful way.

    SPIKES truncates SPY options inputs at consecutive 5 cent bids which reduces the number of low-priced components in the index. This decreases the potential to distort the index value as fewer far out-of-the-money puts are used in the calculation of the index.

    SPIKES is calculated and disseminated every 100 milliseconds, ensuring timely and accurate representation of actual market conditions.

    The full index methodology guide is available here.

  • Who created SPIKES?

    SPIKES has been developed by T3 Index - a research-driven financial indexing firm focused on developing innovative, investible proprietary indices that transform the way people invest and manage risk.


  • How can I trade SPIKES?

    Cash settled index options are available on MIAX Options. The ticker is SPIKE.

  • Can I hold the SPIKES index itself?

    No. Since the SPIKES index components change over time, it is impossible to hold the index itself.

  • How is settlement determined?

    The final settlement value is calculated from actual opening prices of SPY options on MIAX Options through the SPIKES™ Special Settlement Auction and makes use of a new Special Settlement Imbalance Process (SSIP).

    A document explaining the settlement value in detail is available here (link to settlement process guide).