TMX group

The S&P/TSX 60 VIX seeks to measure the 30-day implied volatility of the Canadian stock market using S&P/TSX 60 index options. The S&P/TSX 60 VIX approximates the 30-day implied volatility that is derived by the near-term and next-term options. To minimize the pricing anomalies on the expiring options during the last few trading days, options roll to the next-term and third-term five (5) calendar days prior to expiration. CORRA (Canadian Overnight Repo Rate), 1-, 2-, and 3-month CDOR (Canadian Dealer Offered Rate) rates are used to interpolate the risk free rates of each maturity.

Methodology   Fact Sheet

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Performance Data

Index Name	Adjusted Market Cap (C$ Billion)	Index Level	1 Day	MTD	QTD	YTD
S&P/TSX 60 VIX	0	16.31	14.06%	7.23%	39.28%	7.66%

Please refer to the Price History Detailed Quote page for TRIV data points.