Calculating the VIX—The Easy Part

The movements of the CBOE’s VIX® are often confusing.  It usually moves the opposite direction of the S&P 500 but not always.  On Fridays the VIX tends to sag and on Mondays it often climbs because S&P 500 (SPX) option traders are adjusting prices to mitigate value distortions caused by the weekend. In addition to these market driven eccentricities the actual calculation of the VIX has …

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Calculating VIXMO—the Easy Part

Update:  On October 6th, 2014 the CBOE changed the calculation method for the VIX to include SPX weekly options,  the old VIX calculation is still being reported using the VIXMO  (VIX Month Only) ticker.  The new calculation uses the VIX ticker.  For more on the new calculation see “Calculating the New VIX“.   The movements of the CBOE’s VIX® are often confusing.  It usually moves the …

Read moreCalculating VIXMO—the Easy Part