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The VSPIKES Index (symbol: VSPKE) is a measure of expected 30-day volatility in the SPIKES® 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 competing volatility of volatility indexes, offering an alternative benchmarking tool that provides volatility traders with a powerful indicator for decision making.

Like the SPIKES Volatility Index, VSPIKES uses a 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® is proud to partner with T3 Index to provide the VSPIKES Index.

VSPIKES Resources
VSPIKES Index Summary
Overview of the VSPIKES Index
VSPIKES Index Methodology
Complete walkthrough of the VSPIKES index calculation