Volatility S&P 500 Index

VIX is the ticker symbol and the popular name for the CBOE Volatility Index. It’s a popular measure of the stock market’s expectation of volatility based on S&P 500 index options. It is calculated and disseminated on a real-time basis by the CBOE, and is often referred to as the fear index or fear gauge.

VIX Calculation

VIX values are calculated using.

Only those options are considered whose expiry period lies within more than 23 days and less than 37 days. Then the calculation aggregates the weighted prices of multiple SPX puts and calls over a wide range of strike prices.

For details check https://www.sfu.ca/~poitras/419_VIX.pdf

CBOE also calculates the Nasdaq-100 Volatility Index (VXNSM), CBOE DJIA Volatility Index (VXDSM) and the CBOE Russell 2000 Volatility Index (RVXSM).

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