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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

Product Information

Downloads

Index information
DescriptionDownload
VSMI indices, xls file for all volatility indices
VSMI guide
VSMI guide eff. 3 January 2019
Factsheet VSMI
All indices calculated by SIX

Historical index data
DescriptionDownload
Historical closing prices VSMI Volatility index
Historical closing prices VSMI Volatility index 60 days
Historical closing prices VSMI Volatility index 90 days
Historical closing prices VSMI Volatility index 120 days
Historical closing prices VSMI Volatility index 150 days
Historical closing prices VSMI Volatility index 180 days
Historical closing prices VSMI Volatility index 210 days
Historical closing prices VSMI Volatility index 240 days
Historical closing prices VSMI Volatility index 270 days
Historical closing prices VSMI Volatility index 300 days
Historical closing prices VSMI Volatility index 330 days
Historical closing prices VSMI Volatility index 360 days
Historical closing prices VSMI Volatility index 1 month
Historical closing prices VSMI Volatility index 2 month
Historical closing prices VSMI Volatility index 3 month
Historical closing prices VSMI Volatility index 6 month
Historical closing prices VSMI Volatility index 9 month
Historical closing prices VSMI Volatility index 12 month
Historical closing prices VSMI Volatility index 18 month
Historical closing prices VSMI Volatility index 24 month

Legal notice

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