How Important Is Exchange Micro Structure to Volatility Indexes?

How important is exchange micro structure to something like a volatility index? Great question. So our methodology for the EVIV and the VIVIV index, which we collectively call the Volmax implied volatility indices, is quite similar to the VIX index with a few novel and differentiator. We also introduced this global order book, which consolidates multiple data sources, as well as this exponentially weighted smoothing mechanism that denoises our index in real time.