Bats-T3 SPY Volatility Index (SPYIX) - Expected 30-Day Volatility Measure

Oct 12, 2026

The Bats-T3 SPY Volatility Index (SPYIX, “Spikes”) quantifies expected 30-day volatility for the SPDR S&P 500 ETF (SPY) using live option prices. It applies a variance swap methodology to construct a rules-based index from a selected set of SPY options, weighted to generate a single index value. To enhance stability, SPYIX uses a proprietary “price dragging” technique and incorporates electronic, high-activity option markets rather than slower floor-based quotes, improving representation and reducing erratic movements during low liquidity.

LanguageEnglish

CategoryPresentations

FormatPDF

Pages7

Reading Time3 min

AccessFree to download

Introduction

SPYIX as an expected 30-day volatility measure

SPYIX Formula

Calculation Methodology

Expiration selection rules

30-day interpolation approach

Price dragging method

Option selection and ATM strike determination

The Bats-T3 SPY Volatility Index Introducing the SPYIX (“Spikes”) Page 1 INTRODUCTION The Bats-T3 SPY Volatility Index (SPYIX – the “Spikes”) is a measure of expected 30-day volatility in the SPDR S&P 500 ETF (SPY), the largest exchange traded fund in the world that tracks the most widely-followed stock index in the United States. With nearly $24 billion in daily notional value traded in the third quarter of 2015, the SPY is the world’s most actively traded security. A by-product of the SPY’s popularity is a highly liquid market for its associated options, accounting for nearly half of the $110 billion in notional value traded per day across all U.S. equity options.1 Therein, the SPYIX Volatility Index is calculated using live prices on options linked to the SPY and represents the market’s expectation of price movements in the SPY over the next 30 days. To best align to the way the trading community models risk and hedges exposure, the SPYIX is constructed using the well known variance swap methodology using actual options prices to calculate volatility. The SPYIX can be physically replicated with a strip of options, and can easily be incorporated into the existing ecosystem of volatility-based products, including options, futures, and ETPs. In addition, the SPYIX incorporates material enhancements in its calculation to help improve index stability – namely its proprietary “price dragging” technique, which is designed to reduce erratic movements in the index during periods of low liquidity in the broader market. Moreover, to calculate the index, the SPYIX uses highly-active, electronically-traded multiply SPY options over slower, manually traded ﬂoor-based S&P 500 index options. This better reﬂects the nature of today’s high-velocity, and principally electronic, options market. As a global exchange leader operating at the forefront of electronic markets around the globe, with proven expertise in trading U.S. and European equities and ETFs and U.S. options, Bats is proud to partner with T3 Index to offer the SPYIX as an alternative measure of equity benchmark volatility. N4 With nearly $24 billion in daily notional value traded in the third quarter of 2015, the SPY is the world’s most actively traded security . 47 6% 47.6% of the daily notional value of all equity option volume is linked to the SPY 1 “That Giant Sucking Sound You Hear Is the ETF Options Markets”, Bloomberg Business, January 8th, 2016, [http://tinyurl.com/jfwppwh](http://tinyurl.com/jfwppwh) Page 2 THE SPYIX FORMULA Like most indices, the SPYIX has a deﬁned rules-based approach to selecting components – a series of options on the SPY – and weighting them to derive a single price for the index. Therefore, the formula for expected T-term variance is as follows: WHERE: Time to options expiration (in years, with 1-second precision) A list of unique options strikes, ordered from lowest to highest, and corresponding options prices; of a call if ; and of a put if ; if then an average between the ATM put and call prices Half the difference between the strikes on either side of ; For the last (highest and lowest) selected strikes, is simply the absolute difference between and the nearest selected option’s strike Risk-free interest rate to option’s expiration Price of the at-the-money (ATM) call option Price of the ATM put option Strike closest to the point where linearly interpolated call and put prices intersect Page 3 CALCULATION METHODOLOGY The SPYIX is calculated using only standard options on the SPY that expire on the Friday following the third Thursday of each calendar month. Although weekly options on the SPY are available, these are not used in the calculation of the SPYIX Index. The calculation linearly interpolates between the variances of two monthly expirations – near-term (the closest expiration more than two full days into the future) and next-term (the monthly expiration foll

FAQs

What does the SPYIX measure?

The SPYIX measures expected 30-day volatility in the SPDR S&P 500 ETF (SPY) using prices from SPY-linked options.

How are option prices captured for the SPYIX calculation?

SPYIX applies a proprietary “price dragging” approach: it initializes prices to 0, uses the opening bid at the opening quote, updates with trade prices when trades occur, and for new ask/bid quotes uses the more extreme value (ask or bid) if it would move the current option price in that direction.

Which SPY option expirations are used in SPYIX?

SPYIX uses only standard monthly options expiring on the Friday following the third Thursday of each calendar month, and it avoids weekly SPY options in the index calculation.

Oct 12, 2026

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