A Better Check on Vol of Vol
The VSPIKES™ Index (symbol: VSPKE) is a measure of expected 30-day volatility in the SPIKES® Volatility Index and provides a reliable metric on the volatility of volatility.
VSPIKES is constructed using the Simple Variance Swap methodology, where it can be replicated by a static portfolio of SPIKES Options. By weighting the included calls and puts equally in a variance swap calculation, VSPIKES overcomes a fundamental flaw in the structure of existing vol of vol indexes, thereby offering the most accurate barometer of the volatility of volatility currently available to traders.
Like the SPIKES Volatility Index, VSPIKES uses the proprietary 'price dragging' technique, designed to reduce erratic movements in the index during periods of high volatility and/or low liquidity in the broader market.
MIAX® and T3 Index are pleased to introduce VSPIKES, which provides a powerful benchmarking tool to reliably provide volatility traders with a better indicator for decision making.
Overview of VSPIKES Index
Complete walkthrough of VSPIKES index calculation