Graphical VIX & VIXMO calculations

Updated: Apr 8th, 2015 | Vance Harwood

The chart below graphically represents the calculation for the VIX® and the legacy VIX (ticker VIXMO) which was used from September 22, 2003 through October 5th, 2014.  My apologies for the small size / non-expandable format, but this was the best near real time (20 minute delayed) solution I could figure out using Google Sheets. 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 an 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 legacy calculation uses SPX monthly options (now published as VINMO and VIFMO) which requires significantly longer interpolation/extrapolation periods.

Since its inception on October 6th, 2014 the new VIX has often differed significantly from the older calculation, often running 5% or more lower than the legacy number.   This is disconcerting and I initially wondered if the reduced volume/open interest of the SPX weekly options used in the new calculation or some other factor was distorting things, but as I look at the data I’m becoming comfortable with the new calculation as a significant improvement in the accuracy of the index.

The dynamically updated chart above uses delayed quotes from Yahoo Finance.  For more information on these VIX calculations see Calculating the VIX and Calculating the VIXMO.

The VXST is the CBOE’s 9 day version of the VIX, and  VXV 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.

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Wednesday, April 8th, 2015 | Vance Harwood