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.	If your browser supported Java or if you had turned this feature on, this page would display a realtime market index chart like the one shown in the screenshot below:

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.

The calculation method is the same as that used for the VSTOXX® and VDAX-NEW®.

The VSMI and the volatility subindices are calculated between 8.50 am and 5.30 pm on every Eurex trading day. The continuous calculation of any given subindex does not begin until all of the required input data have been collected. The subindex is then recalculated and published every minute.

VSMI is a registered trademark of the SIX Swiss Exchange. Its use is subject to licence.

Index information

Description	Download
VSMI guide
Factsheet VSMI

Historical index data

Description	Download
Historical closing prices VSMI

Static data

Description	Download
VSMI indices, xls file for all volatility indices

Static data of all SIX Swiss Exchange indices

Description	Download
Current list of all indices calculated by SIX Swiss Exchange

Legal notice

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