Glossary

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VSMI

The objective of the VSMI model is to make pure volatility tradable. To that purpose, an index is created that does not reflect price changes but instead only changes in volatility.

The basis for calculating the term-independent main index (which has a constant, rolling term to maturity of 30 days) are the implied variances in Eurex options on the SMI. Various sub-indices cover the specific terms of the Eurex options. In this connection the implied variance of all option contracts in a given term are taken into account for each term to expiry.

See alsoIndex
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