The chart below graphically represents the calculation for the Cboe’s VIX® with near-real-time (20-minute delayed) data, The actual VIX is located on the black dotted line in the left-center of the graph. Click here for a larger snapshot for 12-Nov-2014. The VIX now uses interpolation between two VIX style calculations (VIN and VIF) on SPX options series that are a week apart—bracketing the 30-day target horizon of the VIX.
The dynamically updated chart above uses delayed quotes from Google Finance. For more information on these VIX calculations see Calculating the VIX and Calculating the VIXMO.
The VIX9D is the CBOE’s 9-day version of the VIX, and VIX3M is the CBOE’s 93-day version.
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.
Additional resources:
- VIX Futures’ timescape and historical data: VIX Central
- VIX style indexes and term structure for SPX option expirations up to 2½ years out: CBOE
- The Volatility Watcher’s Toolkit
- Trading VIX Options
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