About the VSMI Volatility Index
Price volatility is a measure of the level of uncertainty prevailing in markets, or with respect to individual underlying instruments. In principle, there are two different approaches to estimate volatility: on the one hand, it is possible to determine historical volatility by measuring the standard deviation of prices for any particular security over a given period. On the other hand, volatility can be derived implicitly from option prices (‘implied volatility’). Implied volatility therefore measures the estimates and assumptions of market participants towards the future, based on a given option price.
Basis:
The Swiss Market Index (SMI) is the main blue-chip index of the Swiss equity market. It tracks the 20 most liquid and largest components of the Swiss Performance Index (SPI). The Price Return version of the index is used as the underlying of the option contracts which are traded at Eurex. Volatility represents the key risk factor for the price determination in options trading. The higher the estimated or expected volatility, the higher the price of an option.
Volatility Sub-indices:
SIX calculates indices of variable time to expiration and fixed time to expiration. The variable indices consider all options which expire at a defined point in the future. They are ranging from one month up to two years. The fixed indices calculate a time weighted average of two variable indices to keep a constant time to expiration. For example, the VSMI is the constant 30-day average of the sub-indices expiring within the next one month and the next two months.
The VSMI measures implied volatility across the options of a given time to expiration. This model offers advantages in terms of trading, hedging, and introducing derivative products on this index. The VSMI as the main, maturity-independent index has a fixed remaining time to expiration (residual term) of 30 days. The VSMI and its various sub-indices are calculated every five seconds. There is no index review as the VSMI does not have any components.
The index was launched on April 20, 2005, with historical index values available since January 4, 1999.
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Key Product Information about the VSMI Volatility
| Historical Data Since | January 4, 1999 |
| Launch Date | April 20, 2005 |
| Calculation Interval | 5 seconds |
Factsheets
Explore our factsheets to gain in-depth insights into our indices at SIX. Find detailed descriptions, key figures, the methodology and much more. Statistical factsheets are available on the SIX Index Data Center.
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Additional Information
The use of the VSMI and its registered trademark as well as the access to restricted index data are governed by a licensing agreement. To request for an index data license, please get in touch with us.
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