Choosing how to measure stock market volatility just got more volatile.
BATS Global Markets Inc. and benchmarking firm T3Index Pty. Ltd. on March 8 announced they had launched the SPYIX, or “Spikes,” an index that measures expected 30-day volatility in large-cap stocks.
The new index is in direct competition with the long-running Chicago Board Options Exchange Volatility index, or VIX, as a tool to measure equity market volatility.
While the CBOE VIX measures expected 30-day volatility conveyed by Standard & Poor's 500 stock index option prices, the SPYIX will measure option price volatility of State Street Global Advisors' SPDR S&P 500 exchange-traded fund, or SPY, the world's most actively traded security.
The SPYIX is calculated using highly active, electronically traded, multiply listed SPY options. That makes it more reflective of the largely electronic options market than indexes like the VIX that use manually traded, floor-based S&P 500 index options to calculate the volatility benchmark, said a white paper on the new index on BATS' website.
Officials at BATS would not comment further, citing a quiet period because the company is planning an IPO in the second quarter.
