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.