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VSMI® - Volatility Index on the SMI®


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. show more

Legal notice

VSMI® is a registered trademark of the SIX Swiss Exchange. Licensing is subject to a fee.