The VIX style calculation for the March 22nd SPX options closed today at 17.06. The data is from the CBOE’s VIX Term Structure website.
For more background see: VIX Futures—Crystal Ball or Insurance Policy?
- A Very Simple Model for Pricing VIX Futures
- VIX Futures Prices vs. Predictions from a “Simple” Model
- VIX Futures—Crystal Ball or Insurance Policy?
- A 3D View of the S&P 500: Price, Time, and Markets
- Computing Volatility Indexes With VIX Futures
Wednesday, January 29th, 2014 | Vance Harwood