SPIKES Volatility Index

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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.


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.[1]

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.

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.[2]


  1. MIAX Options and T3 Index to Launch SPIKES Volatility Index; Proprietary Products to Follow on MIAX Exchanges. Cision PR Newswire.
  2. SPIKES Methodology Guide. MIAX Options.