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.