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Volatility index


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Can anyone shed light on what the volatility index on IG tracks? It doesn't seem to track the classic VIX index, neither those that are a few weeks or months out. I figured it may be an average of say the first and second month VIX futures, but can someone clarify what the underlying is? Thanks!

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  • 2 weeks later...

good question - footnote 11 here gives (only) a high-level answer: https://www.ig.com/uk/help-and-support/spread-betting-and-cfds/fees-and-charges/what-are-igs-indices-spread-bet-product-details

 

...it refers to their commodity pricing method - which I think is described here:

https://www.ig.com/uk/help-and-support/spread-betting-and-cfds/fees-and-charges/how-are-spot-commodities-priced--and-how-is-my-overnight-funding

 

...which would be consistent with what you said - some kind of average between 1st and 2nd nearest contract price 

 

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