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Volatility Index Coverage for Mid-Cap Equity Options

Article Quant Q&A · Author: user2457324
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Summary

The question asks whether implied-volatility indexes based on S&P 400 mid-cap or S&P 600 options are available. The answer points to a volatility index based on Russell 2000 options as a related small-cap benchmark. It also observes that S&P 400 options and futures appear to have limited liquidity, which may constrain the availability or usefulness of an index derived from those instruments.

The response is brief and does not identify a specific S&P 400 or S&P 600 implied-volatility index, describe an index construction method, or provide liquidity measurements. It therefore offers a nearby market reference and a plausible practical limitation, rather than a definitive survey of products. The observation about liquidity is time-sensitive, and the text supplies no date or data with which to assess current market depth. Researchers seeking a directly comparable measure would need to check current exchange listings and option-market activity.

Key ideas

  • A Russell 2000 volatility index is offered as a related small-cap benchmark.
  • The answer does not identify a volatility index based specifically on S&P 400 or S&P 600 options.
  • Limited liquidity in S&P 400 options and futures is presented as a potential obstacle.
  • The response gives no construction details or current liquidity data.

Tags

EquitiesVolatilityOptionsUS markets
Full text
# vix-like index for mid caps


# vix-like index for mid caps












Is there a vix-like index available for s&p 400 mid-cap instruments? i.e., implied vol based on s&p 400 put and call options? also, an iv for the s&p 600? thank you

## Answer by Lliane (score 2)

https://quant.stackexchange.com/a/54778

There is a volatiliy index on russell 2000 http://www.cboe.com/products/vix-index-volatility/volatility-indexes

The sp400 midcap options and future don't seem very liquid.

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