Difference between revisions of "SPIKES Volatility Index"

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[[File:SPIKES powered by MIAX.png|link=http://www.miaxoptions.com/spikes|float|right]]
 
[[File:SPIKES powered by MIAX.png|link=http://www.miaxoptions.com/spikes|float|right]]
  
On April 13, 2018 [[MIAX Options]] and T3 Index announced that they would launch the index on MIAX Options. The agreement included an exclusive license for [[MIAX Options]] to launch cash settled options on SPIKE in the second half of 2018.<ref>{{cite web|url=https://www.prnewswire.com/news-releases/miax-options-and-t3-index-to-launch-spikes-volatility-index-proprietary-products-to-follow-on-miax-exchanges-300629534.html|name=MIAX Options and T3 Index to Launch SPIKES Volatility Index; Proprietary Products to Follow on MIAX Exchanges|org=Cision PR Newswire|date=December 7, 2018}}</ref>
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In February 2019, [[MIAX Options]] and T3 Index launched options on SPIKES MIAX Options.<ref>{{cite web|url=https://www.reuters.com/article/miax-futures/miax-to-launch-futures-on-spikes-volatility-index-on-nov-18-idUSL2N26B1DD|name=MIAX to launch futures on SPIKES volatility index on Nov 18|org=Reuters|date=November 19, 2019}}</ref>
  
SPY sees more than $32.5 billion in daily notional value as of early 2018. A by-product of SPY’s popularity is a highly liquid market for its associated options, which account for nearly half of the $110 billion in notional value traded per day across all US equity options.
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A futures contract on SPIKES was launched on November 18, 2019 on the [[Minneapolis Grain Exchange]] with MIAX. The contract multiplier is $1,000 and trades on the CME Group's Globex platform, which is used by MGEX.<ref>{{cite web|url=https://www.prnewswire.com/news-releases/mgex-launches-spikes-futures-in-collaboration-with-miax-and-t3-index-300960034.html|name=MGEX Launches SPIKES Futures in Collaboration with MIAX and T3 Index|org=MIAX Press Release|date=November 19, 2019}}</ref>
  
The SPIKES Volatility Index is calculated using live prices on options linked to SPY and represents the market’s expectation of price movements in SPY over the next 30 days.<ref>{{cite web|url=https://www.miaxoptions.com/sites/default/files/spikes-files/SPIKES_Methodology_Guide_10152018.pdf|name=SPIKES Methodology Guide|org=MIAX Options|date=December 13, 2018}}</ref>
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The SPIKES Volatility Index is calculated using live prices on options linked to SPY and represents the market’s expectation of price movements in SPY over the next 30 days. SPY sees more than $32.5 billion in daily notional value as of early 2018. A by-product of SPY’s popularity is a highly liquid market for its associated options, which account for nearly half of the $110 billion in notional value traded per day across all US equity options.<ref>{{cite web|url=https://www.miaxoptions.com/sites/default/files/spikes-files/SPIKES_Methodology_Guide_10152018.pdf|name=SPIKES Methodology Guide|org=MIAX Options|date=December 13, 2018}}</ref>
  
 
== References ==
 
== References ==

Revision as of 08:57, 19 November 2019

The SPIKES volatility 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. Additionally, SPIKES is equipped with proprietary design features such as "price-dragging" to help stabilize the index during times of market stress. It was created by T3 Index, a financial indexing firm.

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In February 2019, MIAX Options and T3 Index launched options on SPIKES MIAX Options.[1]

A futures contract on SPIKES was launched on November 18, 2019 on the Minneapolis Grain Exchange with MIAX. The contract multiplier is $1,000 and trades on the CME Group's Globex platform, which is used by MGEX.[2]

The SPIKES Volatility Index is calculated using live prices on options linked to SPY and represents the market’s expectation of price movements in SPY over the next 30 days. SPY sees more than $32.5 billion in daily notional value as of early 2018. A by-product of SPY’s popularity is a highly liquid market for its associated options, which account for nearly half of the $110 billion in notional value traded per day across all US equity options.[3]

References

  1. MIAX to launch futures on SPIKES volatility index on Nov 18. Reuters.
  2. MGEX Launches SPIKES Futures in Collaboration with MIAX and T3 Index. MIAX Press Release.
  3. SPIKES Methodology Guide. MIAX Options.