Graphical Representation of CBOE’s VIXMO Calculation

The dynamically updated chart above uses delayed quotes from Google Finance.  It details the interpolation / extrapolation process that computes the 30 day VIXMO from two close-in months of SPX options (VINMO and VIFMO).  This calculation is the legacy version of the VIX that was used from 23-Sept-2003 through 5-Oct-2014.  On October 6th, 2014 the CBOE modified the calculation to start using SPX weekly options when appropriate—reducing the amount of interpolation/extrapolation required. For more information on that process see Calculating the VIXMO—the Easy Part.  VXST is the CBOE’s 9-day version of the VIX, and  VXV is the CBOE’s 93 day version.

On 1-Oct-2013 the CBOE started providing the VXST index, which gives a 9-day estimate of volatility.  It uses the standard VIX methodology, but uses soon-to-expire SPX options (SPXPM, and SPX).   In the chart / data above I show the 20 minute delayed VXST.

There are two somewhat parallel markets associated with general USA market volatility: the S&P 500 (SPX) options market and the VIX Futures market.  SPX option prices are used to calculate the CBOE’s family of volatility indexes, with the VIX® being the flagship.  VIX futures are priced directly in expected volatility for contracts expiring up to 9 months out.  The nearest VIX Future synchronizes with the VIX once a month—on its expiration date.

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