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Options on the SPIKES Volatility Index Now Trading
On 19 February 2019, MIAX Options commenced trading of options on the SPIKES Volatility Index, opening the volatility market to competition for the first time in history.
The SPIKES Index is a measure of the expected 30-day volatility in the SPDR S&P 500 ETF (SPY). SPIKES is built using the popular variance swap methodology and uses live option prices to calculate volatility.
Built on tight SPY option bid-ask spreads, SPIKES Index offers radically faster dissemination, publishing every 100 milliseconds as opposed to every 15 seconds. Its proprietary ‘price dragging’ technique minimizes price distortions for traders in volatile and illiquid markets by insulating the index from erratic movements in the bid-ask spread of constituent options.
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