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Screenshot of a breaking news alert e-mail from Q2 2017
Bats Global Markets (Bats), which recently underwent corporate rebranding, has partnered with T3Index (T3), part of the Triple3 Partners Group, to launch the SPYIX (“the Spikes”).
SPYIX is an index measuring expected 30-day volatility in SPDR S&P 500 ETF (SPY).
The SPYIX is calculated using prices from highly-active, electronically-traded multiply-listed SPY options. SPYIX also includes important features aimed to bolster critical stability during periods of low liquidity in the market.
The index can be physically replicated with a strip of options, and can be easily incorporated into the existing ecosystem of volatility-based products including options, futures and ETPs.
The collaboration with T3 on the SPYIX is led by Tony Barchetto, whom Bats recently appointed as its Executive Vice President, Head of Corporate Development.
Mr. Barchetto said:
“In the wake of recent events, the SPYIX is Bats’ response to the market’s demand for a more rigorous and dependable volatility gauge. SPYIX is specifically designed to better capture and reflect today’s largely electronic options market. We are excited about the opportunity to provide the SPYIX to investors of all types and thank T3 Index for partnering with us on a venture consistent with the Bats mission of Making Markets Better”.
Simon Ho, CEO at T3 Index, said,
“We are pleased to join with Bats in instituting a transformative index like the SPYIX. As an example, SPY options were actively quoted from the market’s opening seconds on August 24, 2015, and we were able to calculate the SPYIX during a time sensitive period when legacy volatility gauges weren’t available to the many investors who were relying on them. We are looking forward to leveraging our firm’s unique benchmarking strengths to find other ways to serve global markets together.”
SPY is the world’s most actively traded security – with almost $24 billion in daily notional value traded per day in the third quarter of 2015 and options associated with the SPY generate nearly half of the $110 billion in notional value traded per day across all US equity options.
The SPYIX is accessible on terminals from both Bloomberg and Reuters.
For the full announcement from Bats, click here.