VIX calculation | Six Figure Investing

Graphical VIX calculation & Term Structure

May 4, 2022November 12, 2014 by Vance Harwood

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 …

Calculating the VIX—The Easy Part

April 26, 2023October 21, 2014 by Vance Harwood

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 …