MIAX®, creator and operator of highperformance securities exchanges, products and services, today announced average daily volume (ADV) for SPIKES® Futures in October 2021 reached 11,952 contracts, a new monthly record and representing a 59.3% increase over the 7,502 ADV in September 2021. In addition, SPIKES Futures volume on October 22, 2021 totaled a new daily record of 22,872 contracts.
Factors behind the growth include an expanded group of market participants, rising open interest, tight bid/ask spreads, and available size to trade. Growing liquidity in SPIKES Futures has also supported market quality improvements in SPIKES Options that trade on MIAX Options.
MIAX also announced that it began disseminating its new VSPIKESTM Index, which is a measure of expected 30day volatility in the SPIKES Volatility Index. MIAX uses a more robust Simple Variance Swap methodology to calculate VSPIKES, which allows for both jumps in the underlying asset and discrete time monitoring. The VSPIKES Index is being disseminated through the Options Price Reporting Authority (OPRA) and traditional market data vendors. More information on VSPIKES can be found here.
SPIKES Futures are based on the SPIKES Volatility Index, which was designed by T3 Index and measures the expected 30-day volatility in the SPDR® S&P 500® ETF (SPY), the most actively traded ETF in the world. The futures contracts are listed on Minneapolis Grain Exchange, LLC (MGEXTM) and accessed via the CME Globex® platform. The SPIKES Volatility Index is calculated and disseminated every 100 milliseconds, offering best-inclass accuracy and stability as a result of its proprietary price-dragging technology. Futures on the SPIKES Index allow traders to benefit from the Index’s innovative design features, including its truncation methodologies and underlying SPY option component liquidity.
SPIKES Futures contract specifications, trading rules, pricing and interface specifications are available on the MGEX website at www.mgex.com. Additional information regarding SPIKES Futures can be found at www.MIAXoptions.com/spikes/futures.
