Draft:VolDex

  • Comment: SeekingAlpha is not a reliable source. qcne (talk) 16:54, 6 December 2024 (UTC)


VolDex is a family of financial indices measuring implied volatility, developed by Nations Indexes, Inc., a Chicago-based index provider. The principal index, VOLI, tracks the implied volatility of the S&P 500 over a 30-calendar-day period using at-the-money options on the SPDR S&P 500 ETF (ticker: SPY).[1] A second index, the Nasdaq-100 Volatility Index (VOLQ), applies the same methodology to the Nasdaq-100 and was developed in partnership with Nasdaq.[2] Both indices are disseminated in real time via Nasdaq's Global Index Data Service.

VolDex indices are most often compared with the CBOE Volatility Index (VIX). The primary methodological distinction is that the VIX uses a variance swap-based calculation drawing on a broad range of strike prices, while VolDex is a closed-form calculation using only options near the current market price of the underlying asset.[1][3]

History

Nations Indexes, Inc. was founded by Scott Nations, a former Chicago-based proprietary options trader. The company introduced VolDex in June 2013.[1] Writing in the financial trade journal Risk, journalist Yakob Peterseil described the launch as a challenge to the VIX's two-decade market position, noting that VolDex "only looks at the implied volatility of a precisely at-the-money option due to expire in precisely 30 days," contrasting this with the VIX, which "prices future S&P 500 variance."[1]

In August 2013, the International Securities Exchange (ISE) filed with the U.S. Securities and Exchange Commission a proposed rule change to list options on the Nations VolDex index.[3] The SEC published notice of proceedings in November 2013[4] and approved the rule change on January 28, 2014 (Exchange Act Release No. 71365, 79 FR 4512).[5]

In 2018, Crain's Chicago Business identified VolDex as one of several products seeking to challenge Cboe's dominance in volatility products following controversy surrounding the VIX.[6]

In 2019, Nasdaq licensed the VolDex methodology from Nations Indexes to create the Nasdaq-100 Volatility Index (VOLQ).[2] CME Group announced futures on VOLQ in August 2020[7] and launched the contracts on October 5, 2020.[8]

Methodology

VolDex is a closed-form measure of at-the-money implied volatility.[1][3] The calculation uses the first in-the-money and first out-of-the-money call and put options for expirations that bracket the target tenor. For the 30-day index, this means one expiration before and one after 30 calendar days (43,200 minutes) from the moment of calculation.

Forward prices for each expiration are derived from put-call parity. These define the at-the-money level; option prices are then interpolated to yield hypothetical at-the-money put and call prices, which are combined to produce the VolDex value.[3]

The methodology can be applied to multiple tenors and asset classes. Tenors include zero days-to-expiration (0DTE), one day, seven days, thirty days, and periods through 360 days. Asset classes include the S&P 500, Nasdaq-100, Russell 2000, U.S. Treasury bonds, gold, silver, and individual equities.[9]

The component expirations for the 30-day index roll each Thursday morning to the Friday expirations that are approximately 29 and 36 days in the future.[3]

Indices

VOLI (S&P 500)

VOLI is the original VolDex index, measuring 30-day implied volatility from at-the-money options on SPY, the S&P 500 ETF.[1] It is disseminated in real time under the ticker symbol VOLI, and historical data maintained by Nasdaq covers a period beginning January 31, 2005.

VOLQ (Nasdaq-100 Volatility Index)

VOLQ measures 30-day implied volatility of the Nasdaq-100 Index. Developed jointly by Nasdaq and Nations Indexes and introduced in 2019,[2] it applies the VolDex methodology to at-the-money options, using the two nearest in-the-money and out-of-the-money puts and calls across the four nearest weekly expirations.[9] Nasdaq described VOLQ as a complement to, rather than a replacement for, the VIX.[2]

CME Group launched futures on VOLQ on October 5, 2020.[7][8][10] The U.S. Securities and Exchange Commission received a filing in September 2020 to list options on VOLQ at Nasdaq PHLX.[11]

Academic research

Roger Lee, a professor of mathematics and Faculty Director of the Financial Mathematics Program at the University of Chicago, published research in 2017 titled "Pricing and Hedging of VolDex Futures and Options." The paper developed an analytical framework for valuing VolDex derivatives within a model encompassing both the dynamics of the underlying asset and the VolDex index.[12]

See also

References

  1. ^ a b c d e f Peterseil, Yakob (20 September 2013). "Vix challenged by new volatility index". Risk. Retrieved 1 June 2026.
  2. ^ a b c d "Nasdaq nearing launch of its own volatility index". S&P Global Market Intelligence. 2019. Retrieved 1 June 2026.
  3. ^ a b c d e "Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing of Proposed Rule Change To List Options on the Nations VolDex Index". Federal Register. 78: 47058. 2 August 2013. Retrieved 1 June 2026.
  4. ^ "Self-Regulatory Organizations; International Securities Exchange, LLC; Order Instituting Proceedings To Determine Whether To Approve or Disapprove a Proposed Rule Change, as Modified by Amendment No. 1, To List Options on the Nations VolDex Index". Federal Register. 6 November 2013. Retrieved 1 June 2026.
  5. ^ Kiernan, Kaitlyn (29 January 2014). "ISE Gets Green Light to List VolDex Options". The Wall Street Journal.
  6. ^ Marek, Lynne (18 May 2018). "VIX woes open up opportunities for Cboe rivals". Crain's Chicago Business.
  7. ^ a b "CME Group to Launch Futures on Nasdaq-100 Volatility Index (VOLQ)" (Press release). CME Group. 13 August 2020. Retrieved 1 June 2026.
  8. ^ a b "CME to launch volatility index futures contract". Crain's Chicago Business. 2020. Retrieved 1 June 2026.
  9. ^ a b "VOLQ: How to Measure Nasdaq-100 Volatility". Traders Magazine. 2020. Retrieved 1 June 2026.
  10. ^ "VOLQ Launches on CME". Markets Media. 2020. Retrieved 1 June 2026.
  11. ^ "Self-Regulatory Organizations; Nasdaq PHLX LLC; Notice of Filing of Proposed Rule Change To List and Trade Options on a Nasdaq-100 Volatility Index". Federal Register. 8 September 2020. Retrieved 1 June 2026.
  12. ^ Lee, Roger (24 July 2017). "Pricing and Hedging of VolDex Futures and Options". University of Chicago. {{cite journal}}: Cite journal requires |journal= (help)

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