Bats-T3 SPY Volatility Index

Ticker: SPYIX

The Bats T3 SPY Volatility Index, also known as the SPYIX ("Spikes") is a measure of expected 30-day volatility in the SPDR S&P 500 ETF (SPY) — the world's largest exchange traded fund, which tracks the most widely followed stock index in the U.S.

SPY is the world's most actively traded security with nearly $24bn in daily notional value traded per day in the third quarter of 2015. Options associated with the SPY account for nearly half of the $110bn in notional value traded per day across all U.S. equity options.

Developed in partnership with T3 Index, a respected expert in volatility and options-related indexing, the SPYIX features the following benefits:

  • Reliability – The SPYIX is calculated using highly active, electronically traded, multiply listed SPY options. This presents an improvement over the slower, manually traded, floor-based S&P 500 index options used to calculate other volatility benchmarks, ensuring the SPYIX better reflects the nature of today's high-velocity, and principally electronic, financial markets.
  • Stability – The SPYIX incorporates a proprietary “price-dragging” technique to capture live options prices. This reduces erratic intraday movement in the index that can otherwise occur from relying on only midpoint values. Price dragging only updates the price of the option in the index when a trade occurs or the quote passes through the current price level, helping prevent routine quote adjustments in out-of-the-money options from unnecessarily impacting the index value.
  • Compatibility – The SPYIX uses the well-known variance swap methodology to estimate the market's expectation of volatility. This aligns to the way the trading community models risk and hedges exposure, and makes the SPYIX highly compatible with existing volatility-based futures, options and exchange-traded products already available in the market.

As the operator of the largest venue for continuous equities trading in the U.S.; the largest global destination for ETF trading, and operator of one of the fastest-growing U.S. options businesses, the launch of the SPYIX is a logical next step for our customers.

For additional details on the construction methodology, please see the Bats-T3 SPY Volatility Index White Paper.

For historical comparison data, please click here.

For licensing opportunities and other inquiries: spyix@bats.com

Additional Documents