This paper studies the New Zealand (NZ) dairy derivatives, specifically, whole milk powder (WMP) options, which have been the most actively traded options in NZ since their inception in November 2011. Using the methodology of Zhang and Xiang, the dynamics of the implied volatility smirk of WMP options is documented. Overall, the level, slope and curvature were found to be 0.2625, −0.0194 and 0.0756, respectively. Modifying the CBOE VIX methodology, the NZ Dairy Volatility Index is created; this exhibits a downward trend and is the second-best predictor of WMP returns, after curvature, in the latest subsampleafter 26 June 2017.