Abstract: A method for estimating an expected volatility for financial instruments that are quoted in spread terms but which trade with an upfront and a fixed coupon may include a computer processor: (1) selecting a plurality of options, each option having a different option expiry; (2) for each option expiry, calculating a corresponding forward index level in a price term; (3) selecting a strike price for which an absolute difference between a receiver price and a payer price is smallest; (4) extracting and grouping a plurality of traded receivers having spread strike prices that are lower than the strike price, and payers having spread strike prices greater than the strike price; (5) calculating an expected strike price for each grouped option; (6) calculating an option notional for each of the plurality of options; (7) calculating a fixed expiry VTRAC-X volatility index; and (8) interpolating a fixed time-to-expiry VTRAC-X volatility index.