SPX Term structure | Six Figure Investing

The Volatility Term Structure is Driven by OTM Puts

May 14, 2023September 6, 2013 by Vance Harwood

The CBOE’s VIX® methodology calculates a single theoretically grounded number that quantifies virtually the entire volatility landscape for a specific point in time—pretty cool. Prices for hundreds of different options with different expiration dates can be involved in the calculation. This single number is very useful, but obviously, lots of information is discarded in the distillation. I’ve wondered if the VIX’s compression is hiding some information …

VIX and VXV Show SPX Term Structure at Historic Highs

September 24, 2018August 29, 2012 by

This post was 1st published August, 2012. In addition to the well-known VIX index, the CBOE also publishes the VXV index. It’s computed just like VIX, except that it gauges the implied volatility of SPX options 3 months out, rather than just one month. The chart below shows the 10-year history of these two indexes. < Recently I posted on how the medium term time structure …