RealVol Spy Indices


The exchange-traded fund (ETF) known as SPDR® S&P 500® ETF (symbol SPY).

Primary Market

The primary market for SPY trading is NYSE Arca™.

Closing Time

SPY closes at 4:00 PM (16:00) ET each business day.

Underlying Reference Price

The Underlying Reference Price (URP) shall be the close as defined by the primary market, or surrogate markets during a Market Disruption Event (MDE) of the primary market.


On the ex-dividend day of SPY (anticipated to be once each calendar quarter), the URP will be adjusted by adding back the dividend on the ex-dividend date only.  The dividend is not carried over beyond this date.  All other days are calculated normally.


In the event that a market disruption event affects the functioning of the primary market the following instruments shall be referenced and their return may be used as a surrogate (in the order listed).

  1. The SPDR S&P 500 Trust net asset value (NAV) as published by State Street Bank and Trust Company, the trustee of the Trust.
  2. The daily close of S&P 500® index as published by Standard and Poor’s Financial Services, LLC.
  3. The nearest to 4:00 PM ET trade of the E-mini S&P 500 futures contract as listed at the CME.


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