About the VSMI Volatility Index

The objective of the VSMI model is to make pure volatility tradable, i.e. to replicate the index with a portfolio which responds not to price fluctuations, but to changes in volatility alone. Rather than using volatilities directly, this means using variances - or volatility squared.

The VSMI applies implicit variances to all SMI options of the same maturity that are traded on Eurex. Alongside the subindices for different maturities the VSMI - as the maturity-independent main index - is determined on the basis of a fixed residual term of 30 days.

Launched on 20 Apr 2005
History available since 4 Jan 1999

Key Product Information

  • Methodology Rulebook for Volatility Index VSMI

    Get all the information you need on the methodology used for the Volatility Index VSMI

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Daily Performance

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