"We're not trying to kill the Vix," says NationsShares President Scott Nations, whose firm is set to launch what it says is a better way to measure volatility.
The underlying security for the Nations Large Cap VolDex is the SPY vs. the far less liquid SPX options for the Vix. VolDex, says Nations, also strips away deep out-of-the-money options whose prices are easily skewed by traders willing buy lottery tickets, no matter the cost.
It's not the first threat to the cash cow for the CBOE, and the exchange has already criticized the new measure for being too narrowly focused. Nearly 24M Vix futures contracts were traded last year.
'I would be shocked if traders decided to start using VolDex in lieu of the Vix,” says Jason Goepfert. “It’s a flawed index ... but it has become institutionalized."Nations VolDex Implied Volatility Indexes.Vix ETFs: CVOL, VXX, VIIX, VXZ, VIIZ, TVIX, TVIZ, XXV, XIV, ZIV, XVIX, VQT, VIXY, VIXM, XVZ, IVOP, UVXY, SVXY.