on Wednesday, the Volatility Shares S&P 500 High Volatility Index ETF would invest at least 80% of its net assets in securities that comprise the S&P 500 Volatility – Highest Quintile Index.
The S&P 500 Volatility – Highest Quintile Index, which tracks the performance on the 100 most-volatile stocks in the S&P 500 and is rebalanced quarterly in February, May, August and November, calculates volatility based on available price return data for the trailing one year of trading days leading up to each rebalance date.
Trader Justin Flinn, left, works on the floor of the New York Stock Exchange, Wednesday, March 16, 2022.