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.
The calculation method is the same as that used for the VSTOXX® and VDAX-NEW®.
The VSMI and the volatility subindices are calculated between 8.50 am and 5.30 pm on every
trading day. The continuous calculation of any given subindex does not begin until all of the
required input data have been collected. The subindex is then recalculated and published every minute.
VSMI is a registered trademark of theSIX Swiss Exchange. Its use is subject to licence.