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Our SPIKES index measures the expected 30-day volatility in the SPDR S&P 500 ETF (SPY), one of the most actively traded securities in the world. Developed in response to the market’s demand for a more rigorous and dependable volatility gauge, the SPIKES index is specifically designed to be highly resilient and more responsive in today’s highly automated markets. Additionally, SPIKES is equipped with proprietary design features such as “price-dragging” to help stabilize the index during times of market stress.
The enhanced design of SPIKES vastly improves index stability and better reflects the nature of today’s predominantly electronic options market. It offers a huge advantage over the slower, manually traded floor-based S&P 500 index options. We are confident that the launch of SPIKES futures and options products will be viewed by the trading community as an exceptional alternative to the current volatility product offerings of other exchanges.