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 values are calculated using.
- the Cboe-traded standard SPX options, which expire on the third Friday of each month,
- and the weekly SPX options, which expire on all other Fridays.
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).